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Sample records for markov model mediator

  1. Criterion of Semi-Markov Dependent Risk Model

    Institute of Scientific and Technical Information of China (English)

    Xiao Yun MO; Xiang Qun YANG

    2014-01-01

    A rigorous definition of semi-Markov dependent risk model is given. This model is a generalization of the Markov dependent risk model. A criterion and necessary conditions of semi-Markov dependent risk model are obtained. The results clarify relations between elements among semi-Markov dependent risk model more clear and are applicable for Markov dependent risk model.

  2. Semi-Markov Arnason-Schwarz models.

    Science.gov (United States)

    King, Ruth; Langrock, Roland

    2016-06-01

    We consider multi-state capture-recapture-recovery data where observed individuals are recorded in a set of possible discrete states. Traditionally, the Arnason-Schwarz model has been fitted to such data where the state process is modeled as a first-order Markov chain, though second-order models have also been proposed and fitted to data. However, low-order Markov models may not accurately represent the underlying biology. For example, specifying a (time-independent) first-order Markov process involves the assumption that the dwell time in each state (i.e., the duration of a stay in a given state) has a geometric distribution, and hence that the modal dwell time is one. Specifying time-dependent or higher-order processes provides additional flexibility, but at the expense of a potentially significant number of additional model parameters. We extend the Arnason-Schwarz model by specifying a semi-Markov model for the state process, where the dwell-time distribution is specified more generally, using, for example, a shifted Poisson or negative binomial distribution. A state expansion technique is applied in order to represent the resulting semi-Markov Arnason-Schwarz model in terms of a simpler and computationally tractable hidden Markov model. Semi-Markov Arnason-Schwarz models come with only a very modest increase in the number of parameters, yet permit a significantly more flexible state process. Model selection can be performed using standard procedures, and in particular via the use of information criteria. The semi-Markov approach allows for important biological inference to be drawn on the underlying state process, for example, on the times spent in the different states. The feasibility of the approach is demonstrated in a simulation study, before being applied to real data corresponding to house finches where the states correspond to the presence or absence of conjunctivitis. © 2015, The International Biometric Society.

  3. Performance Modeling of Communication Networks with Markov Chains

    CERN Document Server

    Mo, Jeonghoon

    2010-01-01

    This book is an introduction to Markov chain modeling with applications to communication networks. It begins with a general introduction to performance modeling in Chapter 1 where we introduce different performance models. We then introduce basic ideas of Markov chain modeling: Markov property, discrete time Markov chain (DTMe and continuous time Markov chain (CTMe. We also discuss how to find the steady state distributions from these Markov chains and how they can be used to compute the system performance metric. The solution methodologies include a balance equation technique, limiting probab

  4. Fitting Hidden Markov Models to Psychological Data

    Directory of Open Access Journals (Sweden)

    Ingmar Visser

    2002-01-01

    Full Text Available Markov models have been used extensively in psychology of learning. Applications of hidden Markov models are rare however. This is partially due to the fact that comprehensive statistics for model selection and model assessment are lacking in the psychological literature. We present model selection and model assessment statistics that are particularly useful in applying hidden Markov models in psychology. These statistics are presented and evaluated by simulation studies for a toy example. We compare AIC, BIC and related criteria and introduce a prediction error measure for assessing goodness-of-fit. In a simulation study, two methods of fitting equality constraints are compared. In two illustrative examples with experimental data we apply selection criteria, fit models with constraints and assess goodness-of-fit. First, data from a concept identification task is analyzed. Hidden Markov models provide a flexible approach to analyzing such data when compared to other modeling methods. Second, a novel application of hidden Markov models in implicit learning is presented. Hidden Markov models are used in this context to quantify knowledge that subjects express in an implicit learning task. This method of analyzing implicit learning data provides a comprehensive approach for addressing important theoretical issues in the field.

  5. Markov chains models, algorithms and applications

    CERN Document Server

    Ching, Wai-Ki; Ng, Michael K; Siu, Tak-Kuen

    2013-01-01

    This new edition of Markov Chains: Models, Algorithms and Applications has been completely reformatted as a text, complete with end-of-chapter exercises, a new focus on management science, new applications of the models, and new examples with applications in financial risk management and modeling of financial data.This book consists of eight chapters.  Chapter 1 gives a brief introduction to the classical theory on both discrete and continuous time Markov chains. The relationship between Markov chains of finite states and matrix theory will also be highlighted. Some classical iterative methods

  6. Decoding and modelling of time series count data using Poisson hidden Markov model and Markov ordinal logistic regression models.

    Science.gov (United States)

    Sebastian, Tunny; Jeyaseelan, Visalakshi; Jeyaseelan, Lakshmanan; Anandan, Shalini; George, Sebastian; Bangdiwala, Shrikant I

    2018-01-01

    Hidden Markov models are stochastic models in which the observations are assumed to follow a mixture distribution, but the parameters of the components are governed by a Markov chain which is unobservable. The issues related to the estimation of Poisson-hidden Markov models in which the observations are coming from mixture of Poisson distributions and the parameters of the component Poisson distributions are governed by an m-state Markov chain with an unknown transition probability matrix are explained here. These methods were applied to the data on Vibrio cholerae counts reported every month for 11-year span at Christian Medical College, Vellore, India. Using Viterbi algorithm, the best estimate of the state sequence was obtained and hence the transition probability matrix. The mean passage time between the states were estimated. The 95% confidence interval for the mean passage time was estimated via Monte Carlo simulation. The three hidden states of the estimated Markov chain are labelled as 'Low', 'Moderate' and 'High' with the mean counts of 1.4, 6.6 and 20.2 and the estimated average duration of stay of 3, 3 and 4 months, respectively. Environmental risk factors were studied using Markov ordinal logistic regression analysis. No significant association was found between disease severity levels and climate components.

  7. Markov Models for Handwriting Recognition

    CERN Document Server

    Plotz, Thomas

    2011-01-01

    Since their first inception, automatic reading systems have evolved substantially, yet the recognition of handwriting remains an open research problem due to its substantial variation in appearance. With the introduction of Markovian models to the field, a promising modeling and recognition paradigm was established for automatic handwriting recognition. However, no standard procedures for building Markov model-based recognizers have yet been established. This text provides a comprehensive overview of the application of Markov models in the field of handwriting recognition, covering both hidden

  8. Model Checking Markov Reward Models with Impulse Rewards

    NARCIS (Netherlands)

    Cloth, Lucia; Katoen, Joost-Pieter; Khattri, Maneesh; Pulungan, Reza; Bondavalli, Andrea; Haverkort, Boudewijn; Tang, Dong

    This paper considers model checking of Markov reward models (MRMs), continuous-time Markov chains with state rewards as well as impulse rewards. The reward extension of the logic CSL (Continuous Stochastic Logic) is interpreted over such MRMs, and two numerical algorithms are provided to check the

  9. A Novel Method for Decoding Any High-Order Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Fei Ye

    2014-01-01

    Full Text Available This paper proposes a novel method for decoding any high-order hidden Markov model. First, the high-order hidden Markov model is transformed into an equivalent first-order hidden Markov model by Hadar’s transformation. Next, the optimal state sequence of the equivalent first-order hidden Markov model is recognized by the existing Viterbi algorithm of the first-order hidden Markov model. Finally, the optimal state sequence of the high-order hidden Markov model is inferred from the optimal state sequence of the equivalent first-order hidden Markov model. This method provides a unified algorithm framework for decoding hidden Markov models including the first-order hidden Markov model and any high-order hidden Markov model.

  10. Markov and mixed models with applications

    DEFF Research Database (Denmark)

    Mortensen, Stig Bousgaard

    This thesis deals with mathematical and statistical models with focus on applications in pharmacokinetic and pharmacodynamic (PK/PD) modelling. These models are today an important aspect of the drug development in the pharmaceutical industry and continued research in statistical methodology within...... or uncontrollable factors in an individual. Modelling using SDEs also provides new tools for estimation of unknown inputs to a system and is illustrated with an application to estimation of insulin secretion rates in diabetic patients. Models for the eect of a drug is a broader area since drugs may affect...... for non-parametric estimation of Markov processes are proposed to give a detailed description of the sleep process during the night. Statistically the Markov models considered for sleep states are closely related to the PK models based on SDEs as both models share the Markov property. When the models...

  11. Stencil method: a Markov model for transport in porous media

    Science.gov (United States)

    Delgoshaie, A. H.; Tchelepi, H.; Jenny, P.

    2016-12-01

    In porous media the transport of fluid is dominated by flow-field heterogeneity resulting from the underlying transmissibility field. Since the transmissibility is highly uncertain, many realizations of a geological model are used to describe the statistics of the transport phenomena in a Monte Carlo framework. One possible way to avoid the high computational cost of physics-based Monte Carlo simulations is to model the velocity field as a Markov process and use Markov Chain Monte Carlo. In previous works multiple Markov models for discrete velocity processes have been proposed. These models can be divided into two general classes of Markov models in time and Markov models in space. Both of these choices have been shown to be effective to some extent. However some studies have suggested that the Markov property cannot be confirmed for a temporal Markov process; Therefore there is not a consensus about the validity and value of Markov models in time. Moreover, previous spacial Markov models have only been used for modeling transport on structured networks and can not be readily applied to model transport in unstructured networks. In this work we propose a novel approach for constructing a Markov model in time (stencil method) for a discrete velocity process. The results form the stencil method are compared to previously proposed spacial Markov models for structured networks. The stencil method is also applied to unstructured networks and can successfully describe the dispersion of particles in this setting. Our conclusion is that both temporal Markov models and spacial Markov models for discrete velocity processes can be valid for a range of model parameters. Moreover, we show that the stencil model can be more efficient in many practical settings and is suited to model dispersion both on structured and unstructured networks.

  12. Markov chain aggregation for agent-based models

    CERN Document Server

    Banisch, Sven

    2016-01-01

    This self-contained text develops a Markov chain approach that makes the rigorous analysis of a class of microscopic models that specify the dynamics of complex systems at the individual level possible. It presents a general framework of aggregation in agent-based and related computational models, one which makes use of lumpability and information theory in order to link the micro and macro levels of observation. The starting point is a microscopic Markov chain description of the dynamical process in complete correspondence with the dynamical behavior of the agent-based model (ABM), which is obtained by considering the set of all possible agent configurations as the state space of a huge Markov chain. An explicit formal representation of a resulting “micro-chain” including microscopic transition rates is derived for a class of models by using the random mapping representation of a Markov process. The type of probability distribution used to implement the stochastic part of the model, which defines the upd...

  13. Zipf exponent of trajectory distribution in the hidden Markov model

    Science.gov (United States)

    Bochkarev, V. V.; Lerner, E. Yu

    2014-03-01

    This paper is the first step of generalization of the previously obtained full classification of the asymptotic behavior of the probability for Markov chain trajectories for the case of hidden Markov models. The main goal is to study the power (Zipf) and nonpower asymptotics of the frequency list of trajectories of hidden Markov frequencys and to obtain explicit formulae for the exponent of the power asymptotics. We consider several simple classes of hidden Markov models. We prove that the asymptotics for a hidden Markov model and for the corresponding Markov chain can be essentially different.

  14. Zipf exponent of trajectory distribution in the hidden Markov model

    International Nuclear Information System (INIS)

    Bochkarev, V V; Lerner, E Yu

    2014-01-01

    This paper is the first step of generalization of the previously obtained full classification of the asymptotic behavior of the probability for Markov chain trajectories for the case of hidden Markov models. The main goal is to study the power (Zipf) and nonpower asymptotics of the frequency list of trajectories of hidden Markov frequencys and to obtain explicit formulae for the exponent of the power asymptotics. We consider several simple classes of hidden Markov models. We prove that the asymptotics for a hidden Markov model and for the corresponding Markov chain can be essentially different

  15. Coding with partially hidden Markov models

    DEFF Research Database (Denmark)

    Forchhammer, Søren; Rissanen, J.

    1995-01-01

    Partially hidden Markov models (PHMM) are introduced. They are a variation of the hidden Markov models (HMM) combining the power of explicit conditioning on past observations and the power of using hidden states. (P)HMM may be combined with arithmetic coding for lossless data compression. A general...... 2-part coding scheme for given model order but unknown parameters based on PHMM is presented. A forward-backward reestimation of parameters with a redefined backward variable is given for these models and used for estimating the unknown parameters. Proof of convergence of this reestimation is given....... The PHMM structure and the conditions of the convergence proof allows for application of the PHMM to image coding. Relations between the PHMM and hidden Markov models (HMM) are treated. Results of coding bi-level images with the PHMM coding scheme is given. The results indicate that the PHMM can adapt...

  16. Probabilistic Reachability for Parametric Markov Models

    DEFF Research Database (Denmark)

    Hahn, Ernst Moritz; Hermanns, Holger; Zhang, Lijun

    2011-01-01

    Given a parametric Markov model, we consider the problem of computing the rational function expressing the probability of reaching a given set of states. To attack this principal problem, Daws has suggested to first convert the Markov chain into a finite automaton, from which a regular expression...

  17. Consistent Estimation of Partition Markov Models

    Directory of Open Access Journals (Sweden)

    Jesús E. García

    2017-04-01

    Full Text Available The Partition Markov Model characterizes the process by a partition L of the state space, where the elements in each part of L share the same transition probability to an arbitrary element in the alphabet. This model aims to answer the following questions: what is the minimal number of parameters needed to specify a Markov chain and how to estimate these parameters. In order to answer these questions, we build a consistent strategy for model selection which consist of: giving a size n realization of the process, finding a model within the Partition Markov class, with a minimal number of parts to represent the process law. From the strategy, we derive a measure that establishes a metric in the state space. In addition, we show that if the law of the process is Markovian, then, eventually, when n goes to infinity, L will be retrieved. We show an application to model internet navigation patterns.

  18. Benchmarking of a Markov multizone model of contaminant transport.

    Science.gov (United States)

    Jones, Rachael M; Nicas, Mark

    2014-10-01

    A Markov chain model previously applied to the simulation of advection and diffusion process of gaseous contaminants is extended to three-dimensional transport of particulates in indoor environments. The model framework and assumptions are described. The performance of the Markov model is benchmarked against simple conventional models of contaminant transport. The Markov model is able to replicate elutriation predictions of particle deposition with distance from a point source, and the stirred settling of respirable particles. Comparisons with turbulent eddy diffusion models indicate that the Markov model exhibits numerical diffusion in the first seconds after release, but over time accurately predicts mean lateral dispersion. The Markov model exhibits some instability with grid length aspect when turbulence is incorporated by way of the turbulent diffusion coefficient, and advection is present. However, the magnitude of prediction error may be tolerable for some applications and can be avoided by incorporating turbulence by way of fluctuating velocity (e.g. turbulence intensity). © The Author 2014. Published by Oxford University Press on behalf of the British Occupational Hygiene Society.

  19. Markov Chain Models for the Stochastic Modeling of Pitting Corrosion

    Directory of Open Access Journals (Sweden)

    A. Valor

    2013-01-01

    Full Text Available The stochastic nature of pitting corrosion of metallic structures has been widely recognized. It is assumed that this kind of deterioration retains no memory of the past, so only the current state of the damage influences its future development. This characteristic allows pitting corrosion to be categorized as a Markov process. In this paper, two different models of pitting corrosion, developed using Markov chains, are presented. Firstly, a continuous-time, nonhomogeneous linear growth (pure birth Markov process is used to model external pitting corrosion in underground pipelines. A closed-form solution of the system of Kolmogorov's forward equations is used to describe the transition probability function in a discrete pit depth space. The transition probability function is identified by correlating the stochastic pit depth mean with the empirical deterministic mean. In the second model, the distribution of maximum pit depths in a pitting experiment is successfully modeled after the combination of two stochastic processes: pit initiation and pit growth. Pit generation is modeled as a nonhomogeneous Poisson process, in which induction time is simulated as the realization of a Weibull process. Pit growth is simulated using a nonhomogeneous Markov process. An analytical solution of Kolmogorov's system of equations is also found for the transition probabilities from the first Markov state. Extreme value statistics is employed to find the distribution of maximum pit depths.

  20. Markov chains and semi-Markov models in time-to-event analysis.

    Science.gov (United States)

    Abner, Erin L; Charnigo, Richard J; Kryscio, Richard J

    2013-10-25

    A variety of statistical methods are available to investigators for analysis of time-to-event data, often referred to as survival analysis. Kaplan-Meier estimation and Cox proportional hazards regression are commonly employed tools but are not appropriate for all studies, particularly in the presence of competing risks and when multiple or recurrent outcomes are of interest. Markov chain models can accommodate censored data, competing risks (informative censoring), multiple outcomes, recurrent outcomes, frailty, and non-constant survival probabilities. Markov chain models, though often overlooked by investigators in time-to-event analysis, have long been used in clinical studies and have widespread application in other fields.

  1. Inhomogeneous Markov Models for Describing Driving Patterns

    DEFF Research Database (Denmark)

    Iversen, Emil Banning; Møller, Jan K.; Morales, Juan Miguel

    2017-01-01

    . Specifically, an inhomogeneous Markov model that captures the diurnal variation in the use of a vehicle is presented. The model is defined by the time-varying probabilities of starting and ending a trip, and is justified due to the uncertainty associated with the use of the vehicle. The model is fitted to data...... collected from the actual utilization of a vehicle. Inhomogeneous Markov models imply a large number of parameters. The number of parameters in the proposed model is reduced using B-splines....

  2. Inhomogeneous Markov Models for Describing Driving Patterns

    DEFF Research Database (Denmark)

    Iversen, Jan Emil Banning; Møller, Jan Kloppenborg; Morales González, Juan Miguel

    . Specically, an inhomogeneous Markov model that captures the diurnal variation in the use of a vehicle is presented. The model is dened by the time-varying probabilities of starting and ending a trip and is justied due to the uncertainty associated with the use of the vehicle. The model is tted to data...... collected from the actual utilization of a vehicle. Inhomogeneous Markov models imply a large number of parameters. The number of parameters in the proposed model is reduced using B-splines....

  3. Markov and semi-Markov switching linear mixed models used to identify forest tree growth components.

    Science.gov (United States)

    Chaubert-Pereira, Florence; Guédon, Yann; Lavergne, Christian; Trottier, Catherine

    2010-09-01

    Tree growth is assumed to be mainly the result of three components: (i) an endogenous component assumed to be structured as a succession of roughly stationary phases separated by marked change points that are asynchronous among individuals, (ii) a time-varying environmental component assumed to take the form of synchronous fluctuations among individuals, and (iii) an individual component corresponding mainly to the local environment of each tree. To identify and characterize these three components, we propose to use semi-Markov switching linear mixed models, i.e., models that combine linear mixed models in a semi-Markovian manner. The underlying semi-Markov chain represents the succession of growth phases and their lengths (endogenous component) whereas the linear mixed models attached to each state of the underlying semi-Markov chain represent-in the corresponding growth phase-both the influence of time-varying climatic covariates (environmental component) as fixed effects, and interindividual heterogeneity (individual component) as random effects. In this article, we address the estimation of Markov and semi-Markov switching linear mixed models in a general framework. We propose a Monte Carlo expectation-maximization like algorithm whose iterations decompose into three steps: (i) sampling of state sequences given random effects, (ii) prediction of random effects given state sequences, and (iii) maximization. The proposed statistical modeling approach is illustrated by the analysis of successive annual shoots along Corsican pine trunks influenced by climatic covariates. © 2009, The International Biometric Society.

  4. Prediction of Annual Rainfall Pattern Using Hidden Markov Model ...

    African Journals Online (AJOL)

    ADOWIE PERE

    Hidden Markov model is very influential in stochastic world because of its ... the earth from the clouds. The usual ... Rainfall modelling and ... Markov Models have become popular tools ... environment sciences, University of Jos, plateau state,.

  5. Markov Chain Modelling for Short-Term NDVI Time Series Forecasting

    Directory of Open Access Journals (Sweden)

    Stepčenko Artūrs

    2016-12-01

    Full Text Available In this paper, the NDVI time series forecasting model has been developed based on the use of discrete time, continuous state Markov chain of suitable order. The normalised difference vegetation index (NDVI is an indicator that describes the amount of chlorophyll (the green mass and shows the relative density and health of vegetation; therefore, it is an important variable for vegetation forecasting. A Markov chain is a stochastic process that consists of a state space. This stochastic process undergoes transitions from one state to another in the state space with some probabilities. A Markov chain forecast model is flexible in accommodating various forecast assumptions and structures. The present paper discusses the considerations and techniques in building a Markov chain forecast model at each step. Continuous state Markov chain model is analytically described. Finally, the application of the proposed Markov chain model is illustrated with reference to a set of NDVI time series data.

  6. Switching Markov chains for a holistic modeling of SIS unavailability

    International Nuclear Information System (INIS)

    Mechri, Walid; Simon, Christophe; BenOthman, Kamel

    2015-01-01

    This paper proposes a holistic approach to model the Safety Instrumented Systems (SIS). The model is based on Switching Markov Chain and integrates several parameters like Common Cause Failure, Imperfect Proof testing, partial proof testing, etc. The basic concepts of Switching Markov Chain applied to reliability analysis are introduced and a model to compute the unavailability for a case study is presented. The proposed Switching Markov Chain allows us to assess the effect of each parameter on the SIS performance. The proposed method ensures the relevance of the results. - Highlights: • A holistic approach to model the unavailability safety systems using Switching Markov chains. • The model integrates several parameters like probability of failure due to the test, the probability of not detecting a failure in a test. • The basic concepts of the Switching Markov Chains are introduced and applied to compute the unavailability for safety systems. • The proposed Switching Markov Chain allows assessing the effect of each parameter on the chemical reactor performance

  7. Classification of customer lifetime value models using Markov chain

    Science.gov (United States)

    Permana, Dony; Pasaribu, Udjianna S.; Indratno, Sapto W.; Suprayogi

    2017-10-01

    A firm’s potential reward in future time from a customer can be determined by customer lifetime value (CLV). There are some mathematic methods to calculate it. One method is using Markov chain stochastic model. Here, a customer is assumed through some states. Transition inter the states follow Markovian properties. If we are given some states for a customer and the relationships inter states, then we can make some Markov models to describe the properties of the customer. As Markov models, CLV is defined as a vector contains CLV for a customer in the first state. In this paper we make a classification of Markov Models to calculate CLV. Start from two states of customer model, we make develop in many states models. The development a model is based on weaknesses in previous model. Some last models can be expected to describe how real characters of customers in a firm.

  8. Markov chains of nonlinear Markov processes and an application to a winner-takes-all model for social conformity

    Energy Technology Data Exchange (ETDEWEB)

    Frank, T D [Center for the Ecological Study of Perception and Action, Department of Psychology, University of Connecticut, 406 Babbidge Road, Storrs, CT 06269 (United States)

    2008-07-18

    We discuss nonlinear Markov processes defined on discrete time points and discrete state spaces using Markov chains. In this context, special attention is paid to the distinction between linear and nonlinear Markov processes. We illustrate that the Chapman-Kolmogorov equation holds for nonlinear Markov processes by a winner-takes-all model for social conformity. (fast track communication)

  9. Markov chains of nonlinear Markov processes and an application to a winner-takes-all model for social conformity

    International Nuclear Information System (INIS)

    Frank, T D

    2008-01-01

    We discuss nonlinear Markov processes defined on discrete time points and discrete state spaces using Markov chains. In this context, special attention is paid to the distinction between linear and nonlinear Markov processes. We illustrate that the Chapman-Kolmogorov equation holds for nonlinear Markov processes by a winner-takes-all model for social conformity. (fast track communication)

  10. Automatic creation of Markov models for reliability assessment of safety instrumented systems

    International Nuclear Information System (INIS)

    Guo Haitao; Yang Xianhui

    2008-01-01

    After the release of new international functional safety standards like IEC 61508, people care more for the safety and availability of safety instrumented systems. Markov analysis is a powerful and flexible technique to assess the reliability measurements of safety instrumented systems, but it is fallible and time-consuming to create Markov models manually. This paper presents a new technique to automatically create Markov models for reliability assessment of safety instrumented systems. Many safety related factors, such as failure modes, self-diagnostic, restorations, common cause and voting, are included in Markov models. A framework is generated first based on voting, failure modes and self-diagnostic. Then, repairs and common-cause failures are incorporated into the framework to build a complete Markov model. Eventual simplification of Markov models can be done by state merging. Examples given in this paper show how explosively the size of Markov model increases as the system becomes a little more complicated as well as the advancement of automatic creation of Markov models

  11. Hidden Markov models applied to a subsequence of the Xylella fastidiosa genome

    Directory of Open Access Journals (Sweden)

    Silva Cibele Q. da

    2003-01-01

    Full Text Available Dependencies in DNA sequences are frequently modeled using Markov models. However, Markov chains cannot account for heterogeneity that may be present in different regions of the same DNA sequence. Hidden Markov models are more realistic than Markov models since they allow for the identification of heterogeneous regions of a DNA sequence. In this study we present an application of hidden Markov models to a subsequence of the Xylella fastidiosa DNA data. We found that a three-state model provides a good description for the data considered.

  12. Weighted-indexed semi-Markov models for modeling financial returns

    International Nuclear Information System (INIS)

    D’Amico, Guglielmo; Petroni, Filippo

    2012-01-01

    In this paper we propose a new stochastic model based on a generalization of semi-Markov chains for studying the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted-indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series such as the first-passage-time distributions and the persistence of volatility. The model is applied to data from the Italian and German stock markets from 1 January 2007 until the end of December 2010. (paper)

  13. Deteksi Fraud Menggunakan Metode Model Markov Tersembunyi Pada Proses Bisnis

    Directory of Open Access Journals (Sweden)

    Andrean Hutama Koosasi

    2017-03-01

    Full Text Available Model Markov Tersembunyi merupakan sebuah metode statistik berdasarkan Model Markov sederhana yang memodelkan sistem serta membaginya dalam 2 (dua state, state tersembunyi dan state observasi. Dalam pengerjaan tugas akhir ini, penulis mengusulkan penggunaan metode Model Markov Tersembunyi untuk menemukan fraud didalam sebuah pelaksanaan proses bisnis. Dengan penggunaan metode Model Markov Tersembunyi ini, maka pengamatan terhadap elemen penyusun sebuah kasus/kejadian, yakni beberapa aktivitas, akan diperoleh sebuah nilai peluang, yang sekaligus memberikan prediksi terhadap kasus/kejadian tersebut, sebuah fraud atau tidak. Hasil ekpserimen ini menunjukkan bahwa metode yang diusulkan mampu memberikan prediksi akhir dengan evaluasi TPR sebesar 87,5% dan TNR sebesar 99,4%.

  14. Partially Hidden Markov Models

    DEFF Research Database (Denmark)

    Forchhammer, Søren Otto; Rissanen, Jorma

    1996-01-01

    Partially Hidden Markov Models (PHMM) are introduced. They differ from the ordinary HMM's in that both the transition probabilities of the hidden states and the output probabilities are conditioned on past observations. As an illustration they are applied to black and white image compression where...

  15. Predicting Protein Secondary Structure with Markov Models

    DEFF Research Database (Denmark)

    Fischer, Paul; Larsen, Simon; Thomsen, Claus

    2004-01-01

    we are considering here, is to predict the secondary structure from the primary one. To this end we train a Markov model on training data and then use it to classify parts of unknown protein sequences as sheets, helices or coils. We show how to exploit the directional information contained...... in the Markov model for this task. Classifications that are purely based on statistical models might not always be biologically meaningful. We present combinatorial methods to incorporate biological background knowledge to enhance the prediction performance....

  16. Hidden Markov models: the best models for forager movements?

    Science.gov (United States)

    Joo, Rocio; Bertrand, Sophie; Tam, Jorge; Fablet, Ronan

    2013-01-01

    One major challenge in the emerging field of movement ecology is the inference of behavioural modes from movement patterns. This has been mainly addressed through Hidden Markov models (HMMs). We propose here to evaluate two sets of alternative and state-of-the-art modelling approaches. First, we consider hidden semi-Markov models (HSMMs). They may better represent the behavioural dynamics of foragers since they explicitly model the duration of the behavioural modes. Second, we consider discriminative models which state the inference of behavioural modes as a classification issue, and may take better advantage of multivariate and non linear combinations of movement pattern descriptors. For this work, we use a dataset of >200 trips from human foragers, Peruvian fishermen targeting anchovy. Their movements were recorded through a Vessel Monitoring System (∼1 record per hour), while their behavioural modes (fishing, searching and cruising) were reported by on-board observers. We compare the efficiency of hidden Markov, hidden semi-Markov, and three discriminative models (random forests, artificial neural networks and support vector machines) for inferring the fishermen behavioural modes, using a cross-validation procedure. HSMMs show the highest accuracy (80%), significantly outperforming HMMs and discriminative models. Simulations show that data with higher temporal resolution, HSMMs reach nearly 100% of accuracy. Our results demonstrate to what extent the sequential nature of movement is critical for accurately inferring behavioural modes from a trajectory and we strongly recommend the use of HSMMs for such purpose. In addition, this work opens perspectives on the use of hybrid HSMM-discriminative models, where a discriminative setting for the observation process of HSMMs could greatly improve inference performance.

  17. Hidden Markov models: the best models for forager movements?

    Directory of Open Access Journals (Sweden)

    Rocio Joo

    Full Text Available One major challenge in the emerging field of movement ecology is the inference of behavioural modes from movement patterns. This has been mainly addressed through Hidden Markov models (HMMs. We propose here to evaluate two sets of alternative and state-of-the-art modelling approaches. First, we consider hidden semi-Markov models (HSMMs. They may better represent the behavioural dynamics of foragers since they explicitly model the duration of the behavioural modes. Second, we consider discriminative models which state the inference of behavioural modes as a classification issue, and may take better advantage of multivariate and non linear combinations of movement pattern descriptors. For this work, we use a dataset of >200 trips from human foragers, Peruvian fishermen targeting anchovy. Their movements were recorded through a Vessel Monitoring System (∼1 record per hour, while their behavioural modes (fishing, searching and cruising were reported by on-board observers. We compare the efficiency of hidden Markov, hidden semi-Markov, and three discriminative models (random forests, artificial neural networks and support vector machines for inferring the fishermen behavioural modes, using a cross-validation procedure. HSMMs show the highest accuracy (80%, significantly outperforming HMMs and discriminative models. Simulations show that data with higher temporal resolution, HSMMs reach nearly 100% of accuracy. Our results demonstrate to what extent the sequential nature of movement is critical for accurately inferring behavioural modes from a trajectory and we strongly recommend the use of HSMMs for such purpose. In addition, this work opens perspectives on the use of hybrid HSMM-discriminative models, where a discriminative setting for the observation process of HSMMs could greatly improve inference performance.

  18. Modeling Uncertainty of Directed Movement via Markov Chains

    Directory of Open Access Journals (Sweden)

    YIN Zhangcai

    2015-10-01

    Full Text Available Probabilistic time geography (PTG is suggested as an extension of (classical time geography, in order to present the uncertainty of an agent located at the accessible position by probability. This may provide a quantitative basis for most likely finding an agent at a location. In recent years, PTG based on normal distribution or Brown bridge has been proposed, its variance, however, is irrelevant with the agent's speed or divergent with the increase of the speed; so they are difficult to take into account application pertinence and stability. In this paper, a new method is proposed to model PTG based on Markov chain. Firstly, a bidirectional conditions Markov chain is modeled, the limit of which, when the moving speed is large enough, can be regarded as the Brown bridge, thus has the characteristics of digital stability. Then, the directed movement is mapped to Markov chains. The essential part is to build step length, the state space and transfer matrix of Markov chain according to the space and time position of directional movement, movement speed information, to make sure the Markov chain related to the movement speed. Finally, calculating continuously the probability distribution of the directed movement at any time by the Markov chains, it can be get the possibility of an agent located at the accessible position. Experimental results show that, the variance based on Markov chains not only is related to speed, but also is tending towards stability with increasing the agent's maximum speed.

  19. A Markov reward model checker

    NARCIS (Netherlands)

    Katoen, Joost P.; Maneesh Khattri, M.; Zapreev, I.S.; Zapreev, I.S.

    2005-01-01

    This short tool paper introduces MRMC, a model checker for discrete-time and continuous-time Markov reward models. It supports reward extensions of PCTL and CSL, and allows for the automated verification of properties concerning long-run and instantaneous rewards as well as cumulative rewards. In

  20. An introduction to hidden Markov models for biological sequences

    DEFF Research Database (Denmark)

    Krogh, Anders Stærmose

    1998-01-01

    A non-matematical tutorial on hidden Markov models (HMMs) plus a description of one of the applications of HMMs: gene finding.......A non-matematical tutorial on hidden Markov models (HMMs) plus a description of one of the applications of HMMs: gene finding....

  1. Context Tree Estimation in Variable Length Hidden Markov Models

    OpenAIRE

    Dumont, Thierry

    2011-01-01

    We address the issue of context tree estimation in variable length hidden Markov models. We propose an estimator of the context tree of the hidden Markov process which needs no prior upper bound on the depth of the context tree. We prove that the estimator is strongly consistent. This uses information-theoretic mixture inequalities in the spirit of Finesso and Lorenzo(Consistent estimation of the order for Markov and hidden Markov chains(1990)) and E.Gassiat and S.Boucheron (Optimal error exp...

  2. Asymptotics for Estimating Equations in Hidden Markov Models

    DEFF Research Database (Denmark)

    Hansen, Jørgen Vinsløv; Jensen, Jens Ledet

    Results on asymptotic normality for the maximum likelihood estimate in hidden Markov models are extended in two directions. The stationarity assumption is relaxed, which allows for a covariate process influencing the hidden Markov process. Furthermore a class of estimating equations is considered...

  3. Model Checking Structured Infinite Markov Chains

    NARCIS (Netherlands)

    Remke, Anne Katharina Ingrid

    2008-01-01

    In the past probabilistic model checking hast mostly been restricted to finite state models. This thesis explores the possibilities of model checking with continuous stochastic logic (CSL) on infinite-state Markov chains. We present an in-depth treatment of model checking algorithms for two special

  4. MARKOV CHAIN PORTFOLIO LIQUIDITY OPTIMIZATION MODEL

    Directory of Open Access Journals (Sweden)

    Eder Oliveira Abensur

    2014-05-01

    Full Text Available The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Markov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The work intends to propose a multi-criterion non-linear optimization model using liquidity based on a Markov chain. The non-linear model was tested using Genetic Algorithms with twenty five Brazilian stocks from 2007 to 2009. The results suggest that this is an innovative development methodology and useful for developing an efficient and realistic financial portfolio, as it considers many attributes such as risk, return and liquidity.

  5. Using multi-state markov models to identify credit card risk

    Directory of Open Access Journals (Sweden)

    Daniel Evangelista Régis

    2016-06-01

    Full Text Available Abstract The main interest of this work is to analyze the application of multi-state Markov models to evaluate credit card risk by investigating the characteristics of different state transitions in client-institution relationships over time, thereby generating score models for various purposes. We also used logistic regression models to compare the results with those obtained using multi-state Markov models. The models were applied to an actual database of a Brazilian financial institution. In this application, multi-state Markov models performed better than logistic regression models in predicting default risk, and logistic regression models performed better in predicting cancellation risk.

  6. Hidden Markov Models for Human Genes

    DEFF Research Database (Denmark)

    Baldi, Pierre; Brunak, Søren; Chauvin, Yves

    1997-01-01

    We analyse the sequential structure of human genomic DNA by hidden Markov models. We apply models of widely different design: conventional left-right constructs and models with a built-in periodic architecture. The models are trained on segments of DNA sequences extracted such that they cover com...

  7. Prognostics for Steam Generator Tube Rupture using Markov Chain model

    International Nuclear Information System (INIS)

    Kim, Gibeom; Heo, Gyunyoung; Kim, Hyeonmin

    2016-01-01

    This paper will describe the prognostics method for evaluating and forecasting the ageing effect and demonstrate the procedure of prognostics for the Steam Generator Tube Rupture (SGTR) accident. Authors will propose the data-driven method so called MCMC (Markov Chain Monte Carlo) which is preferred to the physical-model method in terms of flexibility and availability. Degradation data is represented as growth of burst probability over time. Markov chain model is performed based on transition probability of state. And the state must be discrete variable. Therefore, burst probability that is continuous variable have to be changed into discrete variable to apply Markov chain model to the degradation data. The Markov chain model which is one of prognostics methods was described and the pilot demonstration for a SGTR accident was performed as a case study. The Markov chain model is strong since it is possible to be performed without physical models as long as enough data are available. However, in the case of the discrete Markov chain used in this study, there must be loss of information while the given data is discretized and assigned to the finite number of states. In this process, original information might not be reflected on prediction sufficiently. This should be noted as the limitation of discrete models. Now we will be studying on other prognostics methods such as GPM (General Path Model) which is also data-driven method as well as the particle filer which belongs to physical-model method and conducting comparison analysis

  8. Limits of performance for the model reduction problem of hidden Markov models

    KAUST Repository

    Kotsalis, Georgios

    2015-12-15

    We introduce system theoretic notions of a Hankel operator, and Hankel norm for hidden Markov models. We show how the related Hankel singular values provide lower bounds on the norm of the difference between a hidden Markov model of order n and any lower order approximant of order n̂ < n.

  9. Limits of performance for the model reduction problem of hidden Markov models

    KAUST Repository

    Kotsalis, Georgios; Shamma, Jeff S.

    2015-01-01

    We introduce system theoretic notions of a Hankel operator, and Hankel norm for hidden Markov models. We show how the related Hankel singular values provide lower bounds on the norm of the difference between a hidden Markov model of order n and any lower order approximant of order n̂ < n.

  10. Detecting Structural Breaks using Hidden Markov Models

    DEFF Research Database (Denmark)

    Ntantamis, Christos

    Testing for structural breaks and identifying their location is essential for econometric modeling. In this paper, a Hidden Markov Model (HMM) approach is used in order to perform these tasks. Breaks are defined as the data points where the underlying Markov Chain switches from one state to another....... The estimation of the HMM is conducted using a variant of the Iterative Conditional Expectation-Generalized Mixture (ICE-GEMI) algorithm proposed by Delignon et al. (1997), that permits analysis of the conditional distributions of economic data and allows for different functional forms across regimes...

  11. Prediction of pipeline corrosion rate based on grey Markov models

    International Nuclear Information System (INIS)

    Chen Yonghong; Zhang Dafa; Peng Guichu; Wang Yuemin

    2009-01-01

    Based on the model that combined by grey model and Markov model, the prediction of corrosion rate of nuclear power pipeline was studied. Works were done to improve the grey model, and the optimization unbiased grey model was obtained. This new model was used to predict the tendency of corrosion rate, and the Markov model was used to predict the residual errors. In order to improve the prediction precision, rolling operation method was used in these prediction processes. The results indicate that the improvement to the grey model is effective and the prediction precision of the new model combined by the optimization unbiased grey model and Markov model is better, and the use of rolling operation method may improve the prediction precision further. (authors)

  12. Tornadoes and related damage costs: statistical modelling with a semi-Markov approach

    Directory of Open Access Journals (Sweden)

    Guglielmo D’Amico

    2016-09-01

    Full Text Available We propose a statistical approach to modelling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modelling the tornado intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornado intensity into six states, it is possible to model the tornado intensity by using Markov and semi-Markov models. We demonstrate that the semi-Markov approach is able to reproduce the duration effect that is detected in tornado occurrence. The superiority of the semi-Markov model as compared to the Markov chain model is also affirmed by means of a statistical test of hypothesis. As an application, we compute the expected value and the variance of the costs generated by the tornadoes over a given time interval in a given area. The paper contributes to the literature by demonstrating that semi-Markov models represent an effective tool for physical analysis of tornadoes as well as for the estimation of the economic damages to human things.

  13. A Bayesian model for binary Markov chains

    Directory of Open Access Journals (Sweden)

    Belkheir Essebbar

    2004-02-01

    Full Text Available This note is concerned with Bayesian estimation of the transition probabilities of a binary Markov chain observed from heterogeneous individuals. The model is founded on the Jeffreys' prior which allows for transition probabilities to be correlated. The Bayesian estimator is approximated by means of Monte Carlo Markov chain (MCMC techniques. The performance of the Bayesian estimates is illustrated by analyzing a small simulated data set.

  14. A Markov Process Inspired Cellular Automata Model of Road Traffic

    OpenAIRE

    Wang, Fa; Li, Li; Hu, Jianming; Ji, Yan; Yao, Danya; Zhang, Yi; Jin, Xuexiang; Su, Yuelong; Wei, Zheng

    2008-01-01

    To provide a more accurate description of the driving behaviors in vehicle queues, a namely Markov-Gap cellular automata model is proposed in this paper. It views the variation of the gap between two consequent vehicles as a Markov process whose stationary distribution corresponds to the observed distribution of practical gaps. The multiformity of this Markov process provides the model enough flexibility to describe various driving behaviors. Two examples are given to show how to specialize i...

  15. Hidden Markov models for labeled sequences

    DEFF Research Database (Denmark)

    Krogh, Anders Stærmose

    1994-01-01

    A hidden Markov model for labeled observations, called a class HMM, is introduced and a maximum likelihood method is developed for estimating the parameters of the model. Instead of training it to model the statistics of the training sequences it is trained to optimize recognition. It resembles MMI...

  16. Adaptive Partially Hidden Markov Models

    DEFF Research Database (Denmark)

    Forchhammer, Søren Otto; Rasmussen, Tage

    1996-01-01

    Partially Hidden Markov Models (PHMM) have recently been introduced. The transition and emission probabilities are conditioned on the past. In this report, the PHMM is extended with a multiple token version. The different versions of the PHMM are applied to bi-level image coding....

  17. A Constraint Model for Constrained Hidden Markov Models

    DEFF Research Database (Denmark)

    Christiansen, Henning; Have, Christian Theil; Lassen, Ole Torp

    2009-01-01

    A Hidden Markov Model (HMM) is a common statistical model which is widely used for analysis of biological sequence data and other sequential phenomena. In the present paper we extend HMMs with constraints and show how the familiar Viterbi algorithm can be generalized, based on constraint solving ...

  18. Detecting Faults By Use Of Hidden Markov Models

    Science.gov (United States)

    Smyth, Padhraic J.

    1995-01-01

    Frequency of false alarms reduced. Faults in complicated dynamic system (e.g., antenna-aiming system, telecommunication network, or human heart) detected automatically by method of automated, continuous monitoring. Obtains time-series data by sampling multiple sensor outputs at discrete intervals of t and processes data via algorithm determining whether system in normal or faulty state. Algorithm implements, among other things, hidden first-order temporal Markov model of states of system. Mathematical model of dynamics of system not needed. Present method is "prior" method mentioned in "Improved Hidden-Markov-Model Method of Detecting Faults" (NPO-18982).

  19. Analyzing the profit-loss sharing contracts with Markov model

    Directory of Open Access Journals (Sweden)

    Imam Wahyudi

    2016-12-01

    Full Text Available The purpose of this paper is to examine how to use first order Markov chain to build a reliable monitoring system for the profit-loss sharing based contracts (PLS as the mode of financing contracts in Islamic bank with censored continuous-time observations. The paper adopts the longitudinal analysis with the first order Markov chain framework. Laplace transform was used with homogenous continuous time assumption, from discretized generator matrix, to generate the transition matrix. Various metrics, i.e.: eigenvalue and eigenvector were used to test the first order Markov chain assumption. Cox semi parametric model was used also to analyze the momentum and waiting time effect as non-Markov behavior. The result shows that first order Markov chain is powerful as a monitoring tool for Islamic banks. We find that waiting time negatively affected present rating downgrade (upgrade significantly. Likewise, momentum covariate showed negative effect. Finally, the result confirms that different origin rating have different movement behavior. The paper explores the potential of Markov chain framework as a risk management tool for Islamic banks. It provides valuable insight and integrative model for banks to manage their borrower accounts. This model can be developed to be a powerful early warning system to identify which borrower needs to be monitored intensively. Ultimately, this model could potentially increase the efficiency, productivity and competitiveness of Islamic banks in Indonesia. The analysis used only rating data. Further study should be able to give additional information about the determinant factors of rating movement of the borrowers by incorporating various factors such as contract-related factors, bank-related factors, borrower-related factors and macroeconomic factors.

  20. The Consensus String Problem and the Complexity of Comparing Hidden Markov Models

    DEFF Research Database (Denmark)

    Lyngsø, Rune Bang; Pedersen, Christian Nørgaard Storm

    2002-01-01

    The basic theory of hidden Markov models was developed and applied to problems in speech recognition in the late 1960s, and has since then been applied to numerous problems, e.g. biological sequence analysis. Most applications of hidden Markov models are based on efficient algorithms for computing...... the probability of generating a given string, or computing the most likely path generating a given string. In this paper we consider the problem of computing the most likely string, or consensus string, generated by a given model, and its implications on the complexity of comparing hidden Markov models. We show...... that computing the consensus string, and approximating its probability within any constant factor, is NP-hard, and that the same holds for the closely related labeling problem for class hidden Markov models. Furthermore, we establish the NP-hardness of comparing two hidden Markov models under the L∞- and L1...

  1. Model Checking Markov Chains: Techniques and Tools

    NARCIS (Netherlands)

    Zapreev, I.S.

    2008-01-01

    This dissertation deals with four important aspects of model checking Markov chains: the development of efficient model-checking tools, the improvement of model-checking algorithms, the efficiency of the state-space reduction techniques, and the development of simulation-based model-checking

  2. Descriptive and predictive evaluation of high resolution Markov chain precipitation models

    DEFF Research Database (Denmark)

    Sørup, Hjalte Jomo Danielsen; Madsen, Henrik; Arnbjerg-Nielsen, Karsten

    2012-01-01

    A time series of tipping bucket recordings of very high temporal and volumetric resolution precipitation is modelled using Markov chain models. Both first and second‐order Markov models as well as seasonal and diurnal models are investigated and evaluated using likelihood based techniques. The fi...

  3. Hidden Markov Model Application to Transfer The Trader Online Forex Brokers

    Directory of Open Access Journals (Sweden)

    Farida Suharleni

    2012-05-01

    Full Text Available Hidden Markov Model is elaboration of Markov chain, which is applicable to cases that can’t directly observe. In this research, Hidden Markov Model is used to know trader’s transition to broker forex online. In Hidden Markov Model, observed state is observable part and hidden state is hidden part. Hidden Markov Model allows modeling system that contains interrelated observed state and hidden state. As observed state in trader’s transition to broker forex online is category 1, category 2, category 3, category 4, category 5 by condition of every broker forex online, whereas as hidden state is broker forex online Marketiva, Masterforex, Instaforex, FBS and Others. First step on application of Hidden Markov Model in this research is making construction model by making a probability of transition matrix (A from every broker forex online. Next step is making a probability of observation matrix (B by making conditional probability of five categories, that is category 1, category 2, category 3, category 4, category 5 by condition of every broker forex online and also need to determine an initial state probability (π from every broker forex online. The last step is using Viterbi algorithm to find hidden state sequences that is broker forex online sequences which is the most possible based on model and observed state that is the five categories. Application of Hidden Markov Model is done by making program with Viterbi algorithm using Delphi 7.0 software with observed state based on simulation data. Example: By the number of observation T = 5 and observed state sequences O = (2,4,3,5,1 is found hidden state sequences which the most possible with observed state O as following : where X1 = FBS, X2 = Masterforex, X3 = Marketiva, X4 = Others, and X5 = Instaforex.

  4. Markov processes

    CERN Document Server

    Kirkwood, James R

    2015-01-01

    Review of ProbabilityShort HistoryReview of Basic Probability DefinitionsSome Common Probability DistributionsProperties of a Probability DistributionProperties of the Expected ValueExpected Value of a Random Variable with Common DistributionsGenerating FunctionsMoment Generating FunctionsExercisesDiscrete-Time, Finite-State Markov ChainsIntroductionNotationTransition MatricesDirected Graphs: Examples of Markov ChainsRandom Walk with Reflecting BoundariesGambler’s RuinEhrenfest ModelCentral Problem of Markov ChainsCondition to Ensure a Unique Equilibrium StateFinding the Equilibrium StateTransient and Recurrent StatesIndicator FunctionsPerron-Frobenius TheoremAbsorbing Markov ChainsMean First Passage TimeMean Recurrence Time and the Equilibrium StateFundamental Matrix for Regular Markov ChainsDividing a Markov Chain into Equivalence ClassesPeriodic Markov ChainsReducible Markov ChainsSummaryExercisesDiscrete-Time, Infinite-State Markov ChainsRenewal ProcessesDelayed Renewal ProcessesEquilibrium State f...

  5. Model Checking Infinite-State Markov Chains

    NARCIS (Netherlands)

    Remke, Anne Katharina Ingrid; Haverkort, Boudewijn R.H.M.; Cloth, L.

    2004-01-01

    In this paper algorithms for model checking CSL (continuous stochastic logic) against infinite-state continuous-time Markov chains of so-called quasi birth-death type are developed. In doing so we extend the applicability of CSL model checking beyond the recently proposed case for finite-state

  6. Constructing Dynamic Event Trees from Markov Models

    International Nuclear Information System (INIS)

    Paolo Bucci; Jason Kirschenbaum; Tunc Aldemir; Curtis Smith; Ted Wood

    2006-01-01

    In the probabilistic risk assessment (PRA) of process plants, Markov models can be used to model accurately the complex dynamic interactions between plant physical process variables (e.g., temperature, pressure, etc.) and the instrumentation and control system that monitors and manages the process. One limitation of this approach that has prevented its use in nuclear power plant PRAs is the difficulty of integrating the results of a Markov analysis into an existing PRA. In this paper, we explore a new approach to the generation of failure scenarios and their compilation into dynamic event trees from a Markov model of the system. These event trees can be integrated into an existing PRA using software tools such as SAPHIRE. To implement our approach, we first construct a discrete-time Markov chain modeling the system of interest by: (a) partitioning the process variable state space into magnitude intervals (cells), (b) using analytical equations or a system simulator to determine the transition probabilities between the cells through the cell-to-cell mapping technique, and, (c) using given failure/repair data for all the components of interest. The Markov transition matrix thus generated can be thought of as a process model describing the stochastic dynamic behavior of the finite-state system. We can therefore search the state space starting from a set of initial states to explore all possible paths to failure (scenarios) with associated probabilities. We can also construct event trees of arbitrary depth by tracing paths from a chosen initiating event and recording the following events while keeping track of the probabilities associated with each branch in the tree. As an example of our approach, we use the simple level control system often used as benchmark in the literature with one process variable (liquid level in a tank), and three control units: a drain unit and two supply units. Each unit includes a separate level sensor to observe the liquid level in the tank

  7. Modeling nonhomogeneous Markov processes via time transformation.

    Science.gov (United States)

    Hubbard, R A; Inoue, L Y T; Fann, J R

    2008-09-01

    Longitudinal studies are a powerful tool for characterizing the course of chronic disease. These studies are usually carried out with subjects observed at periodic visits giving rise to panel data. Under this observation scheme the exact times of disease state transitions and sequence of disease states visited are unknown and Markov process models are often used to describe disease progression. Most applications of Markov process models rely on the assumption of time homogeneity, that is, that the transition rates are constant over time. This assumption is not satisfied when transition rates depend on time from the process origin. However, limited statistical tools are available for dealing with nonhomogeneity. We propose models in which the time scale of a nonhomogeneous Markov process is transformed to an operational time scale on which the process is homogeneous. We develop a method for jointly estimating the time transformation and the transition intensity matrix for the time transformed homogeneous process. We assess maximum likelihood estimation using the Fisher scoring algorithm via simulation studies and compare performance of our method to homogeneous and piecewise homogeneous models. We apply our methodology to a study of delirium progression in a cohort of stem cell transplantation recipients and show that our method identifies temporal trends in delirium incidence and recovery.

  8. Comparison of Langevin and Markov channel noise models for neuronal signal generation.

    Science.gov (United States)

    Sengupta, B; Laughlin, S B; Niven, J E

    2010-01-01

    The stochastic opening and closing of voltage-gated ion channels produce noise in neurons. The effect of this noise on the neuronal performance has been modeled using either an approximate or Langevin model based on stochastic differential equations or an exact model based on a Markov process model of channel gating. Yet whether the Langevin model accurately reproduces the channel noise produced by the Markov model remains unclear. Here we present a comparison between Langevin and Markov models of channel noise in neurons using single compartment Hodgkin-Huxley models containing either Na+ and K+, or only K+ voltage-gated ion channels. The performance of the Langevin and Markov models was quantified over a range of stimulus statistics, membrane areas, and channel numbers. We find that in comparison to the Markov model, the Langevin model underestimates the noise contributed by voltage-gated ion channels, overestimating information rates for both spiking and nonspiking membranes. Even with increasing numbers of channels, the difference between the two models persists. This suggests that the Langevin model may not be suitable for accurately simulating channel noise in neurons, even in simulations with large numbers of ion channels.

  9. Inference with constrained hidden Markov models in PRISM

    DEFF Research Database (Denmark)

    Christiansen, Henning; Have, Christian Theil; Lassen, Ole Torp

    2010-01-01

    A Hidden Markov Model (HMM) is a common statistical model which is widely used for analysis of biological sequence data and other sequential phenomena. In the present paper we show how HMMs can be extended with side-constraints and present constraint solving techniques for efficient inference. De......_different are integrated. We experimentally validate our approach on the biologically motivated problem of global pairwise alignment.......A Hidden Markov Model (HMM) is a common statistical model which is widely used for analysis of biological sequence data and other sequential phenomena. In the present paper we show how HMMs can be extended with side-constraints and present constraint solving techniques for efficient inference...

  10. Performability assessment by model checking of Markov reward models

    NARCIS (Netherlands)

    Baier, Christel; Cloth, L.; Haverkort, Boudewijn R.H.M.; Hermanns, H.; Katoen, Joost P.

    2010-01-01

    This paper describes efficient procedures for model checking Markov reward models, that allow us to evaluate, among others, the performability of computer-communication systems. We present the logic CSRL (Continuous Stochastic Reward Logic) to specify performability measures. It provides flexibility

  11. Markov Chain Models for the Stochastic Modeling of Pitting Corrosion

    OpenAIRE

    Valor, A.; Caleyo, F.; Alfonso, L.; Velázquez, J. C.; Hallen, J. M.

    2013-01-01

    The stochastic nature of pitting corrosion of metallic structures has been widely recognized. It is assumed that this kind of deterioration retains no memory of the past, so only the current state of the damage influences its future development. This characteristic allows pitting corrosion to be categorized as a Markov process. In this paper, two different models of pitting corrosion, developed using Markov chains, are presented. Firstly, a continuous-time, nonhomogeneous linear growth (pure ...

  12. Tornadoes and related damage costs: statistical modeling with a semi-Markov approach

    OpenAIRE

    Corini, Chiara; D'Amico, Guglielmo; Petroni, Filippo; Prattico, Flavio; Manca, Raimondo

    2015-01-01

    We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes intensity into six states, it is possible to model the tornadoes intensity by using Markov and semi-Markov models. We demonstrate that the semi-Markov approach is able to reprod...

  13. Application of Hidden Markov Models in Biomolecular Simulations.

    Science.gov (United States)

    Shukla, Saurabh; Shamsi, Zahra; Moffett, Alexander S; Selvam, Balaji; Shukla, Diwakar

    2017-01-01

    Hidden Markov models (HMMs) provide a framework to analyze large trajectories of biomolecular simulation datasets. HMMs decompose the conformational space of a biological molecule into finite number of states that interconvert among each other with certain rates. HMMs simplify long timescale trajectories for human comprehension, and allow comparison of simulations with experimental data. In this chapter, we provide an overview of building HMMs for analyzing bimolecular simulation datasets. We demonstrate the procedure for building a Hidden Markov model for Met-enkephalin peptide simulation dataset and compare the timescales of the process.

  14. Nonparametric model validations for hidden Markov models with applications in financial econometrics.

    Science.gov (United States)

    Zhao, Zhibiao

    2011-06-01

    We address the nonparametric model validation problem for hidden Markov models with partially observable variables and hidden states. We achieve this goal by constructing a nonparametric simultaneous confidence envelope for transition density function of the observable variables and checking whether the parametric density estimate is contained within such an envelope. Our specification test procedure is motivated by a functional connection between the transition density of the observable variables and the Markov transition kernel of the hidden states. Our approach is applicable for continuous time diffusion models, stochastic volatility models, nonlinear time series models, and models with market microstructure noise.

  15. On the representability of complete genomes by multiple competing finite-context (Markov models.

    Directory of Open Access Journals (Sweden)

    Armando J Pinho

    Full Text Available A finite-context (Markov model of order k yields the probability distribution of the next symbol in a sequence of symbols, given the recent past up to depth k. Markov modeling has long been applied to DNA sequences, for example to find gene-coding regions. With the first studies came the discovery that DNA sequences are non-stationary: distinct regions require distinct model orders. Since then, Markov and hidden Markov models have been extensively used to describe the gene structure of prokaryotes and eukaryotes. However, to our knowledge, a comprehensive study about the potential of Markov models to describe complete genomes is still lacking. We address this gap in this paper. Our approach relies on (i multiple competing Markov models of different orders (ii careful programming techniques that allow orders as large as sixteen (iii adequate inverted repeat handling (iv probability estimates suited to the wide range of context depths used. To measure how well a model fits the data at a particular position in the sequence we use the negative logarithm of the probability estimate at that position. The measure yields information profiles of the sequence, which are of independent interest. The average over the entire sequence, which amounts to the average number of bits per base needed to describe the sequence, is used as a global performance measure. Our main conclusion is that, from the probabilistic or information theoretic point of view and according to this performance measure, multiple competing Markov models explain entire genomes almost as well or even better than state-of-the-art DNA compression methods, such as XM, which rely on very different statistical models. This is surprising, because Markov models are local (short-range, contrasting with the statistical models underlying other methods, where the extensive data repetitions in DNA sequences is explored, and therefore have a non-local character.

  16. Operations and support cost modeling using Markov chains

    Science.gov (United States)

    Unal, Resit

    1989-01-01

    Systems for future missions will be selected with life cycle costs (LCC) as a primary evaluation criterion. This reflects the current realization that only systems which are considered affordable will be built in the future due to the national budget constaints. Such an environment calls for innovative cost modeling techniques which address all of the phases a space system goes through during its life cycle, namely: design and development, fabrication, operations and support; and retirement. A significant portion of the LCC for reusable systems are generated during the operations and support phase (OS). Typically, OS costs can account for 60 to 80 percent of the total LCC. Clearly, OS costs are wholly determined or at least strongly influenced by decisions made during the design and development phases of the project. As a result OS costs need to be considered and estimated early in the conceptual phase. To be effective, an OS cost estimating model needs to account for actual instead of ideal processes by associating cost elements with probabilities. One approach that may be suitable for OS cost modeling is the use of the Markov Chain Process. Markov chains are an important method of probabilistic analysis for operations research analysts but they are rarely used for life cycle cost analysis. This research effort evaluates the use of Markov Chains in LCC analysis by developing OS cost model for a hypothetical reusable space transportation vehicle (HSTV) and suggests further uses of the Markov Chain process as a design-aid tool.

  17. Hierarchical Multiple Markov Chain Model for Unsupervised Texture Segmentation

    Czech Academy of Sciences Publication Activity Database

    Scarpa, G.; Gaetano, R.; Haindl, Michal; Zerubia, J.

    2009-01-01

    Roč. 18, č. 8 (2009), s. 1830-1843 ISSN 1057-7149 R&D Projects: GA ČR GA102/08/0593 EU Projects: European Commission(XE) 507752 - MUSCLE Institutional research plan: CEZ:AV0Z10750506 Keywords : Classification * texture analysis * segmentation * hierarchical image models * Markov process Subject RIV: BD - Theory of Information Impact factor: 2.848, year: 2009 http://library.utia.cas.cz/separaty/2009/RO/haindl-hierarchical multiple markov chain model for unsupervised texture segmentation.pdf

  18. Markov Decision Process Measurement Model.

    Science.gov (United States)

    LaMar, Michelle M

    2018-03-01

    Within-task actions can provide additional information on student competencies but are challenging to model. This paper explores the potential of using a cognitive model for decision making, the Markov decision process, to provide a mapping between within-task actions and latent traits of interest. Psychometric properties of the model are explored, and simulation studies report on parameter recovery within the context of a simple strategy game. The model is then applied to empirical data from an educational game. Estimates from the model are found to correlate more strongly with posttest results than a partial-credit IRT model based on outcome data alone.

  19. A Probabilistic Short-Term Water Demand Forecasting Model Based on the Markov Chain

    Directory of Open Access Journals (Sweden)

    Francesca Gagliardi

    2017-07-01

    Full Text Available This paper proposes a short-term water demand forecasting method based on the use of the Markov chain. This method provides estimates of future demands by calculating probabilities that the future demand value will fall within pre-assigned intervals covering the expected total variability. More specifically, two models based on homogeneous and non-homogeneous Markov chains were developed and presented. These models, together with two benchmark models (based on artificial neural network and naïve methods, were applied to three real-life case studies for the purpose of forecasting the respective water demands from 1 to 24 h ahead. The results obtained show that the model based on a homogeneous Markov chain provides more accurate short-term forecasts than the one based on a non-homogeneous Markov chain, which is in line with the artificial neural network model. Both Markov chain models enable probabilistic information regarding the stochastic demand forecast to be easily obtained.

  20. Computing characterizations of drugs for ion channels and receptors using Markov models

    CERN Document Server

    Tveito, Aslak

    2016-01-01

    Flow of ions through voltage gated channels can be represented theoretically using stochastic differential equations where the gating mechanism is represented by a Markov model. The flow through a channel can be manipulated using various drugs, and the effect of a given drug can be reflected by changing the Markov model. These lecture notes provide an accessible introduction to the mathematical methods needed to deal with these models. They emphasize the use of numerical methods and provide sufficient details for the reader to implement the models and thereby study the effect of various drugs. Examples in the text include stochastic calcium release from internal storage systems in cells, as well as stochastic models of the transmembrane potential. Well known Markov models are studied and a systematic approach to including the effect of mutations is presented. Lastly, the book shows how to derive the optimal properties of a theoretical model of a drug for a given mutation defined in terms of a Markov model.

  1. Markov chain model for demersal fish catch analysis in Indonesia

    Science.gov (United States)

    Firdaniza; Gusriani, N.

    2018-03-01

    As an archipelagic country, Indonesia has considerable potential fishery resources. One of the fish resources that has high economic value is demersal fish. Demersal fish is a fish with a habitat in the muddy seabed. Demersal fish scattered throughout the Indonesian seas. Demersal fish production in each Indonesia’s Fisheries Management Area (FMA) varies each year. In this paper we have discussed the Markov chain model for demersal fish yield analysis throughout all Indonesia’s Fisheries Management Area. Data of demersal fish catch in every FMA in 2005-2014 was obtained from Directorate of Capture Fisheries. From this data a transition probability matrix is determined by the number of transitions from the catch that lie below the median or above the median. The Markov chain model of demersal fish catch data was an ergodic Markov chain model, so that the limiting probability of the Markov chain model can be determined. The predictive value of demersal fishing yields was obtained by calculating the combination of limiting probability with average catch results below the median and above the median. The results showed that for 2018 and long-term demersal fishing results in most of FMA were below the median value.

  2. A Markov Model for Commen-Cause Failures

    DEFF Research Database (Denmark)

    Platz, Ole

    1984-01-01

    A continuous time four-state Markov chain is shown to cover several of the models that have been used for describing dependencies between failures of components in redundant systems. Among these are the models derived by Marshall and Olkin and by Freund and models for one-out-of-three and two...

  3. Semi-Markov processes

    CERN Document Server

    Grabski

    2014-01-01

    Semi-Markov Processes: Applications in System Reliability and Maintenance is a modern view of discrete state space and continuous time semi-Markov processes and their applications in reliability and maintenance. The book explains how to construct semi-Markov models and discusses the different reliability parameters and characteristics that can be obtained from those models. The book is a useful resource for mathematicians, engineering practitioners, and PhD and MSc students who want to understand the basic concepts and results of semi-Markov process theory. Clearly defines the properties and

  4. A reward semi-Markov process with memory for wind speed modeling

    Science.gov (United States)

    Petroni, F.; D'Amico, G.; Prattico, F.

    2012-04-01

    The increasing interest in renewable energy leads scientific research to find a better way to recover most of the available energy. Particularly, the maximum energy recoverable from wind is equal to 59.3% of that available (Betz law) at a specific pitch angle and when the ratio between the wind speed in output and in input is equal to 1/3. The pitch angle is the angle formed between the airfoil of the blade of the wind turbine and the wind direction. Old turbine and a lot of that actually marketed, in fact, have always the same invariant geometry of the airfoil. This causes that wind turbines will work with an efficiency that is lower than 59.3%. New generation wind turbines, instead, have a system to variate the pitch angle by rotating the blades. This system able the wind turbines to recover, at different wind speed, always the maximum energy, working in Betz limit at different speed ratios. A powerful system control of the pitch angle allows the wind turbine to recover better the energy in transient regime. A good stochastic model for wind speed is then needed to help both the optimization of turbine design and to assist the system control to predict the value of the wind speed to positioning the blades quickly and correctly. The possibility to have synthetic data of wind speed is a powerful instrument to assist designer to verify the structures of the wind turbines or to estimate the energy recoverable from a specific site. To generate synthetic data, Markov chains of first or higher order are often used [1,2,3]. In particular in [1] is presented a comparison between a first-order Markov chain and a second-order Markov chain. A similar work, but only for the first-order Markov chain, is conduced by [2], presenting the probability transition matrix and comparing the energy spectral density and autocorrelation of real and synthetic wind speed data. A tentative to modeling and to join speed and direction of wind is presented in [3], by using two models, first

  5. Efficient Modelling and Generation of Markov Automata

    NARCIS (Netherlands)

    Koutny, M.; Timmer, Mark; Ulidowski, I.; Katoen, Joost P.; van de Pol, Jan Cornelis; Stoelinga, Mariëlle Ida Antoinette

    This paper introduces a framework for the efficient modelling and generation of Markov automata. It consists of (1) the data-rich process-algebraic language MAPA, allowing concise modelling of systems with nondeterminism, probability and Markovian timing; (2) a restricted form of the language, the

  6. Markov chain modelling of pitting corrosion in underground pipelines

    Energy Technology Data Exchange (ETDEWEB)

    Caleyo, F. [Departamento de Ingenieri' a Metalurgica, ESIQIE, IPN, UPALM Edif. 7, Zacatenco, Mexico D. F. 07738 (Mexico)], E-mail: fcaleyo@gmail.com; Velazquez, J.C. [Departamento de Ingenieri' a Metalurgica, ESIQIE, IPN, UPALM Edif. 7, Zacatenco, Mexico D. F. 07738 (Mexico); Valor, A. [Facultad de Fisica, Universidad de La Habana, San Lazaro y L, Vedado, 10400 La Habana (Cuba); Hallen, J.M. [Departamento de Ingenieri' a Metalurgica, ESIQIE, IPN, UPALM Edif. 7, Zacatenco, Mexico D. F. 07738 (Mexico)

    2009-09-15

    A continuous-time, non-homogenous linear growth (pure birth) Markov process has been used to model external pitting corrosion in underground pipelines. The closed form solution of Kolmogorov's forward equations for this type of Markov process is used to describe the transition probability function in a discrete pit depth space. The identification of the transition probability function can be achieved by correlating the stochastic pit depth mean with the deterministic mean obtained experimentally. Monte-Carlo simulations previously reported have been used to predict the time evolution of the mean value of the pit depth distribution for different soil textural classes. The simulated distributions have been used to create an empirical Markov chain-based stochastic model for predicting the evolution of pitting corrosion depth and rate distributions from the observed properties of the soil. The proposed model has also been applied to pitting corrosion data from pipeline repeated in-line inspections and laboratory immersion experiments.

  7. Markov chain modelling of pitting corrosion in underground pipelines

    International Nuclear Information System (INIS)

    Caleyo, F.; Velazquez, J.C.; Valor, A.; Hallen, J.M.

    2009-01-01

    A continuous-time, non-homogenous linear growth (pure birth) Markov process has been used to model external pitting corrosion in underground pipelines. The closed form solution of Kolmogorov's forward equations for this type of Markov process is used to describe the transition probability function in a discrete pit depth space. The identification of the transition probability function can be achieved by correlating the stochastic pit depth mean with the deterministic mean obtained experimentally. Monte-Carlo simulations previously reported have been used to predict the time evolution of the mean value of the pit depth distribution for different soil textural classes. The simulated distributions have been used to create an empirical Markov chain-based stochastic model for predicting the evolution of pitting corrosion depth and rate distributions from the observed properties of the soil. The proposed model has also been applied to pitting corrosion data from pipeline repeated in-line inspections and laboratory immersion experiments.

  8. Semi-Markov models control of restorable systems with latent failures

    CERN Document Server

    Obzherin, Yuriy E

    2015-01-01

    Featuring previously unpublished results, Semi-Markov Models: Control of Restorable Systems with Latent Failures describes valuable methodology which can be used by readers to build mathematical models of a wide class of systems for various applications. In particular, this information can be applied to build models of reliability, queuing systems, and technical control. Beginning with a brief introduction to the area, the book covers semi-Markov models for different control strategies in one-component systems, defining their stationary characteristics of reliability and efficiency, and uti

  9. Revisiting Temporal Markov Chains for Continuum modeling of Transport in Porous Media

    Science.gov (United States)

    Delgoshaie, A. H.; Jenny, P.; Tchelepi, H.

    2017-12-01

    The transport of fluids in porous media is dominated by flow­-field heterogeneity resulting from the underlying permeability field. Due to the high uncertainty in the permeability field, many realizations of the reference geological model are used to describe the statistics of the transport phenomena in a Monte Carlo (MC) framework. There has been strong interest in working with stochastic formulations of the transport that are different from the standard MC approach. Several stochastic models based on a velocity process for tracer particle trajectories have been proposed. Previous studies have shown that for high variances of the log-conductivity, the stochastic models need to account for correlations between consecutive velocity transitions to predict dispersion accurately. The correlated velocity models proposed in the literature can be divided into two general classes of temporal and spatial Markov models. Temporal Markov models have been applied successfully to tracer transport in both the longitudinal and transverse directions. These temporal models are Stochastic Differential Equations (SDEs) with very specific drift and diffusion terms tailored for a specific permeability correlation structure. The drift and diffusion functions devised for a certain setup would not necessarily be suitable for a different scenario, (e.g., a different permeability correlation structure). The spatial Markov models are simple discrete Markov chains that do not require case specific assumptions. However, transverse spreading of contaminant plumes has not been successfully modeled with the available correlated spatial models. Here, we propose a temporal discrete Markov chain to model both the longitudinal and transverse dispersion in a two-dimensional domain. We demonstrate that these temporal Markov models are valid for different correlation structures without modification. Similar to the temporal SDEs, the proposed model respects the limited asymptotic transverse spreading of

  10. A relation between non-Markov and Markov processes

    International Nuclear Information System (INIS)

    Hara, H.

    1980-01-01

    With the aid of a transformation technique, it is shown that some memory effects in the non-Markov processes can be eliminated. In other words, some non-Markov processes are rewritten in a form obtained by the random walk process; the Markov process. To this end, two model processes which have some memory or correlation in the random walk process are introduced. An explanation of the memory in the processes is given. (orig.)

  11. An Approach of Diagnosis Based On The Hidden Markov Chains Model

    Directory of Open Access Journals (Sweden)

    Karim Bouamrane

    2008-07-01

    Full Text Available Diagnosis is a key element in industrial system maintenance process performance. A diagnosis tool is proposed allowing the maintenance operators capitalizing on the knowledge of their trade and subdividing it for better performance improvement and intervention effectiveness within the maintenance process service. The Tool is based on the Markov Chain Model and more precisely the Hidden Markov Chains (HMC which has the system failures determination advantage, taking into account the causal relations, stochastic context modeling of their dynamics and providing a relevant diagnosis help by their ability of dubious information use. Since the FMEA method is a well adapted artificial intelligence field, the modeling with Markov Chains is carried out with its assistance. Recently, a dynamic programming recursive algorithm, called 'Viterbi Algorithm', is being used in the Hidden Markov Chains field. This algorithm provides as input to the HMC a set of system observed effects and generates at exit the various causes having caused the loss from one or several system functions.

  12. K­MEANS CLUSTERING FOR HIDDEN MARKOV MODEL

    NARCIS (Netherlands)

    Perrone, M.P.; Connell, S.D.

    2004-01-01

    An unsupervised k­means clustering algorithm for hidden Markov models is described and applied to the task of generating subclass models for individual handwritten character classes. The algorithm is compared to a related clustering method and shown to give a relative change in the error rate of as

  13. Nuclear security assessment with Markov model approach

    International Nuclear Information System (INIS)

    Suzuki, Mitsutoshi; Terao, Norichika

    2013-01-01

    Nuclear security risk assessment with the Markov model based on random event is performed to explore evaluation methodology for physical protection in nuclear facilities. Because the security incidences are initiated by malicious and intentional acts, expert judgment and Bayes updating are used to estimate scenario and initiation likelihood, and it is assumed that the Markov model derived from stochastic process can be applied to incidence sequence. Both an unauthorized intrusion as Design Based Threat (DBT) and a stand-off attack as beyond-DBT are assumed to hypothetical facilities, and performance of physical protection and mitigation and minimization of consequence are investigated to develop the assessment methodology in a semi-quantitative manner. It is shown that cooperation between facility operator and security authority is important to respond to the beyond-DBT incidence. (author)

  14. Fracture Mechanical Markov Chain Crack Growth Model

    DEFF Research Database (Denmark)

    Gansted, L.; Brincker, Rune; Hansen, Lars Pilegaard

    1991-01-01

    propagation process can be described by a discrete space Markov theory. The model is applicable to deterministic as well as to random loading. Once the model parameters for a given material have been determined, the results can be used for any structure as soon as the geometrical function is known....

  15. The Consensus String Problem and the Complexity of Comparing Hidden Markov Models

    DEFF Research Database (Denmark)

    Lyngsø, Rune Bang; Pedersen, Christian Nørgaard Storm

    2002-01-01

    The basic theory of hidden Markov models was developed and applied to problems in speech recognition in the late 1960s, and has since then been applied to numerous problems, e.g. biological sequence analysis. Most applications of hidden Markov models are based on efficient algorithms for computing......-norms. We discuss the applicability of the technique used for proving the hardness of comparing two hidden Markov models under the L1-norm to other measures of distance between probability distributions. In particular, we show that it cannot be used for proving NP-hardness of determining the Kullback...

  16. The Candy model revisited: Markov properties and inference

    NARCIS (Netherlands)

    M.N.M. van Lieshout (Marie-Colette); R.S. Stoica

    2001-01-01

    textabstractThis paper studies the Candy model, a marked point process introduced by Stoica et al. (2000). We prove Ruelle and local stability, investigate its Markov properties, and discuss how the model may be sampled. Finally, we consider estimation of the model parameters and present some

  17. Phasic Triplet Markov Chains.

    Science.gov (United States)

    El Yazid Boudaren, Mohamed; Monfrini, Emmanuel; Pieczynski, Wojciech; Aïssani, Amar

    2014-11-01

    Hidden Markov chains have been shown to be inadequate for data modeling under some complex conditions. In this work, we address the problem of statistical modeling of phenomena involving two heterogeneous system states. Such phenomena may arise in biology or communications, among other fields. Namely, we consider that a sequence of meaningful words is to be searched within a whole observation that also contains arbitrary one-by-one symbols. Moreover, a word may be interrupted at some site to be carried on later. Applying plain hidden Markov chains to such data, while ignoring their specificity, yields unsatisfactory results. The Phasic triplet Markov chain, proposed in this paper, overcomes this difficulty by means of an auxiliary underlying process in accordance with the triplet Markov chains theory. Related Bayesian restoration techniques and parameters estimation procedures according to the new model are then described. Finally, to assess the performance of the proposed model against the conventional hidden Markov chain model, experiments are conducted on synthetic and real data.

  18. Markov stochasticity coordinates

    International Nuclear Information System (INIS)

    Eliazar, Iddo

    2017-01-01

    Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.

  19. Markov stochasticity coordinates

    Energy Technology Data Exchange (ETDEWEB)

    Eliazar, Iddo, E-mail: iddo.eliazar@intel.com

    2017-01-15

    Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.

  20. Evaluation of Usability Utilizing Markov Models

    Science.gov (United States)

    Penedo, Janaina Rodrigues; Diniz, Morganna; Ferreira, Simone Bacellar Leal; Silveira, Denis S.; Capra, Eliane

    2012-01-01

    Purpose: The purpose of this paper is to analyze the usability of a remote learning system in its initial development phase, using a quantitative usability evaluation method through Markov models. Design/methodology/approach: The paper opted for an exploratory study. The data of interest of the research correspond to the possible accesses of users…

  1. MARKOV Model Application to Proliferation Risk Reduction of an Advanced Nuclear System

    International Nuclear Information System (INIS)

    Bari, R.A.

    2008-01-01

    The Generation IV International Forum (GIF) emphasizes proliferation resistance and physical protection (PR and PP) as a main goal for future nuclear energy systems. The GIF PR and PP Working Group has developed a methodology for the evaluation of these systems. As an application of the methodology, Markov model has been developed for the evaluation of proliferation resistance and is demonstrated for a hypothetical Example Sodium Fast Reactor (ESFR) system. This paper presents the case of diversion by the facility owner/operator to obtain material that could be used in a nuclear weapon. The Markov model is applied to evaluate material diversion strategies. The following features of the Markov model are presented here: (1) An effective detection rate has been introduced to account for the implementation of multiple safeguards approaches at a given strategic point; (2) Technical failure to divert material is modeled as intrinsic barriers related to the design of the facility or the properties of the material in the facility; and (3) Concealment to defeat or degrade the performance of safeguards is recognized in the Markov model. Three proliferation risk measures are calculated directly by the Markov model: the detection probability, technical failure probability, and proliferation time. The material type is indicated by an index that is based on the quality of material diverted. Sensitivity cases have been done to demonstrate the effects of different modeling features on the measures of proliferation resistance

  2. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    CERN Document Server

    Abler, Daniel; Davies, Jim; Dosanjh, Manjit; Jena, Raj; Kirkby, Norman; Peach, Ken

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of ‘general Markov models’, providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy ...

  3. Reliability analysis and prediction of mixed mode load using Markov Chain Model

    International Nuclear Information System (INIS)

    Nikabdullah, N.; Singh, S. S. K.; Alebrahim, R.; Azizi, M. A.; K, Elwaleed A.; Noorani, M. S. M.

    2014-01-01

    The aim of this paper is to present the reliability analysis and prediction of mixed mode loading by using a simple two state Markov Chain Model for an automotive crankshaft. The reliability analysis and prediction for any automotive component or structure is important for analyzing and measuring the failure to increase the design life, eliminate or reduce the likelihood of failures and safety risk. The mechanical failures of the crankshaft are due of high bending and torsion stress concentration from high cycle and low rotating bending and torsional stress. The Markov Chain was used to model the two states based on the probability of failure due to bending and torsion stress. In most investigations it revealed that bending stress is much serve than torsional stress, therefore the probability criteria for the bending state would be higher compared to the torsion state. A statistical comparison between the developed Markov Chain Model and field data was done to observe the percentage of error. The reliability analysis and prediction was derived and illustrated from the Markov Chain Model were shown in the Weibull probability and cumulative distribution function, hazard rate and reliability curve and the bathtub curve. It can be concluded that Markov Chain Model has the ability to generate near similar data with minimal percentage of error and for a practical application; the proposed model provides a good accuracy in determining the reliability for the crankshaft under mixed mode loading

  4. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    International Nuclear Information System (INIS)

    Abler, Daniel; Kanellopoulos, Vassiliki; Dosanjh, Manjit; Davies, Jim; Peach, Ken; Jena, Raj; Kirkby, Norman

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of 'general Markov models', providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy and argue that the proposed method can automate the creation of Markov models from existing data. The approach has the potential to support the radiotherapy community in conducting systematic analyses involving predictive modelling of existing and upcoming radiotherapy data. We expect it to facilitate the application of modelling techniques in medical decision problems beyond the field of radiotherapy, and to improve the comparability of their results. (author)

  5. Semi-Markov Chains and Hidden Semi-Markov Models toward Applications Their Use in Reliability and DNA Analysis

    CERN Document Server

    Barbu, Vlad

    2008-01-01

    Semi-Markov processes are much more general and better adapted to applications than the Markov ones because sojourn times in any state can be arbitrarily distributed, as opposed to the geometrically distributed sojourn time in the Markov case. This book concerns with the estimation of discrete-time semi-Markov and hidden semi-Markov processes

  6. Dynamic modeling of presence of occupants using inhomogeneous Markov chains

    DEFF Research Database (Denmark)

    Andersen, Philip Hvidthøft Delff; Iversen, Anne; Madsen, Henrik

    2014-01-01

    on time of day, and by use of a filter of the observations it is able to capture per-employee sequence dynamics. Simulations using this method are compared with simulations using homogeneous Markov chains and show far better ability to reproduce key properties of the data. The method is based...... on inhomogeneous Markov chains with where the transition probabilities are estimated using generalized linear models with polynomials, B-splines, and a filter of passed observations as inputs. For treating the dispersion of the data series, a hierarchical model structure is used where one model is for low presence...

  7. Fast-slow asymptotics for a Markov chain model of fast sodium current

    Science.gov (United States)

    Starý, Tomáš; Biktashev, Vadim N.

    2017-09-01

    We explore the feasibility of using fast-slow asymptotics to eliminate the computational stiffness of discrete-state, continuous-time deterministic Markov chain models of ionic channels underlying cardiac excitability. We focus on a Markov chain model of fast sodium current, and investigate its asymptotic behaviour with respect to small parameters identified in different ways.

  8. Data-driven Markov models and their application in the evaluation of adverse events in radiotherapy

    Science.gov (United States)

    Abler, Daniel; Kanellopoulos, Vassiliki; Davies, Jim; Dosanjh, Manjit; Jena, Raj; Kirkby, Norman; Peach, Ken

    2013-01-01

    Decision-making processes in medicine rely increasingly on modelling and simulation techniques; they are especially useful when combining evidence from multiple sources. Markov models are frequently used to synthesize the available evidence for such simulation studies, by describing disease and treatment progress, as well as associated factors such as the treatment's effects on a patient's life and the costs to society. When the same decision problem is investigated by multiple stakeholders, differing modelling assumptions are often applied, making synthesis and interpretation of the results difficult. This paper proposes a standardized approach towards the creation of Markov models. It introduces the notion of ‘general Markov models’, providing a common definition of the Markov models that underlie many similar decision problems, and develops a language for their specification. We demonstrate the application of this language by developing a general Markov model for adverse event analysis in radiotherapy and argue that the proposed method can automate the creation of Markov models from existing data. The approach has the potential to support the radiotherapy community in conducting systematic analyses involving predictive modelling of existing and upcoming radiotherapy data. We expect it to facilitate the application of modelling techniques in medical decision problems beyond the field of radiotherapy, and to improve the comparability of their results. PMID:23824126

  9. Discrete-time semi-Markov modeling of human papillomavirus persistence

    Science.gov (United States)

    Mitchell, C. E.; Hudgens, M. G.; King, C. C.; Cu-Uvin, S.; Lo, Y.; Rompalo, A.; Sobel, J.; Smith, J. S.

    2011-01-01

    Multi-state modeling is often employed to describe the progression of a disease process. In epidemiological studies of certain diseases, the disease state is typically only observed at periodic clinical visits, producing incomplete longitudinal data. In this paper we consider fitting semi-Markov models to estimate the persistence of human papillomavirus (HPV) type-specific infection in studies where the status of HPV type(s) is assessed periodically. Simulation study results are presented indicating the semi-Markov estimator is more accurate than an estimator currently used in the HPV literature. The methods are illustrated using data from the HIV Epidemiology Research Study (HERS). PMID:21538985

  10. [Application of Markov model in post-marketing pharmacoeconomic evaluation of traditional Chinese medicine].

    Science.gov (United States)

    Wang, Xin; Su, Xia; Sun, Wentao; Xie, Yanming; Wang, Yongyan

    2011-10-01

    In post-marketing study of traditional Chinese medicine (TCM), pharmacoeconomic evaluation has an important applied significance. However, the economic literatures of TCM have been unable to fully and accurately reflect the unique overall outcomes of treatment with TCM. For the special nature of TCM itself, we recommend that Markov model could be introduced into post-marketing pharmacoeconomic evaluation of TCM, and also explore the feasibility of model application. Markov model can extrapolate the study time horizon, suit with effectiveness indicators of TCM, and provide measurable comprehensive outcome. In addition, Markov model can promote the development of TCM quality of life scale and the methodology of post-marketing pharmacoeconomic evaluation.

  11. Markov Chain model for the stochastic behaviors of wind-direction data

    International Nuclear Information System (INIS)

    Masseran, Nurulkamal

    2015-01-01

    Highlights: • I develop a Markov chain model to describe about the stochastic and probabilistic behaviors of wind direction data. • I describe some of the theoretical arguments regarding the Markov chain model in term of wind direction data. • I suggest a limiting probabilities approach to determine a dominant directions of wind blow. - Abstract: Analyzing the behaviors of wind direction can complement knowledge concerning wind speed and help researchers draw conclusions regarding wind energy potential. Knowledge of the wind’s direction enables the wind turbine to be positioned in such a way as to maximize the total amount of captured energy and optimize the wind farm’s performance. In this paper, first-order and higher-order Markov chain models are proposed to describe the probabilistic behaviors of wind-direction data. A case study is conducted using data from Mersing, Malaysia. The wind-direction data are classified according to an eight-state Markov chain based on natural geographical directions. The model’s parameters are estimated using the maximum likelihood method and the linear programming formulation. Several theoretical arguments regarding the model are also discussed. Finally, limiting probabilities are used to determine a long-run proportion of the wind directions generated. The results explain the dominant direction for Mersing’s wind in terms of probability metrics

  12. Epitope discovery with phylogenetic hidden Markov models.

    LENUS (Irish Health Repository)

    Lacerda, Miguel

    2010-05-01

    Existing methods for the prediction of immunologically active T-cell epitopes are based on the amino acid sequence or structure of pathogen proteins. Additional information regarding the locations of epitopes may be acquired by considering the evolution of viruses in hosts with different immune backgrounds. In particular, immune-dependent evolutionary patterns at sites within or near T-cell epitopes can be used to enhance epitope identification. We have developed a mutation-selection model of T-cell epitope evolution that allows the human leukocyte antigen (HLA) genotype of the host to influence the evolutionary process. This is one of the first examples of the incorporation of environmental parameters into a phylogenetic model and has many other potential applications where the selection pressures exerted on an organism can be related directly to environmental factors. We combine this novel evolutionary model with a hidden Markov model to identify contiguous amino acid positions that appear to evolve under immune pressure in the presence of specific host immune alleles and that therefore represent potential epitopes. This phylogenetic hidden Markov model provides a rigorous probabilistic framework that can be combined with sequence or structural information to improve epitope prediction. As a demonstration, we apply the model to a data set of HIV-1 protein-coding sequences and host HLA genotypes.

  13. Swallowing sound detection using hidden markov modeling of recurrence plot features

    International Nuclear Information System (INIS)

    Aboofazeli, Mohammad; Moussavi, Zahra

    2009-01-01

    Automated detection of swallowing sounds in swallowing and breath sound recordings is of importance for monitoring purposes in which the recording durations are long. This paper presents a novel method for swallowing sound detection using hidden Markov modeling of recurrence plot features. Tracheal sound recordings of 15 healthy and nine dysphagic subjects were studied. The multidimensional state space trajectory of each signal was reconstructed using the Taken method of delays. The sequences of three recurrence plot features of the reconstructed trajectories (which have shown discriminating capability between swallowing and breath sounds) were modeled by three hidden Markov models. The Viterbi algorithm was used for swallowing sound detection. The results were validated manually by inspection of the simultaneously recorded airflow signal and spectrogram of the sounds, and also by auditory means. The experimental results suggested that the performance of the proposed method using hidden Markov modeling of recurrence plot features was superior to the previous swallowing sound detection methods.

  14. Projected metastable Markov processes and their estimation with observable operator models

    International Nuclear Information System (INIS)

    Wu, Hao; Prinz, Jan-Hendrik; Noé, Frank

    2015-01-01

    The determination of kinetics of high-dimensional dynamical systems, such as macromolecules, polymers, or spin systems, is a difficult and generally unsolved problem — both in simulation, where the optimal reaction coordinate(s) are generally unknown and are difficult to compute, and in experimental measurements, where only specific coordinates are observable. Markov models, or Markov state models, are widely used but suffer from the fact that the dynamics on a coarsely discretized state spaced are no longer Markovian, even if the dynamics in the full phase space are. The recently proposed projected Markov models (PMMs) are a formulation that provides a description of the kinetics on a low-dimensional projection without making the Markovianity assumption. However, as yet no general way of estimating PMMs from data has been available. Here, we show that the observed dynamics of a PMM can be exactly described by an observable operator model (OOM) and derive a PMM estimator based on the OOM learning

  15. Swallowing sound detection using hidden markov modeling of recurrence plot features

    Energy Technology Data Exchange (ETDEWEB)

    Aboofazeli, Mohammad [Faculty of Engineering, Department of Electrical and Computer Engineering, University of Manitoba, Winnipeg, Manitoba, R3T 5V6 (Canada)], E-mail: umaboofa@cc.umanitoba.ca; Moussavi, Zahra [Faculty of Engineering, Department of Electrical and Computer Engineering, University of Manitoba, Winnipeg, Manitoba, R3T 5V6 (Canada)], E-mail: mousavi@ee.umanitoba.ca

    2009-01-30

    Automated detection of swallowing sounds in swallowing and breath sound recordings is of importance for monitoring purposes in which the recording durations are long. This paper presents a novel method for swallowing sound detection using hidden Markov modeling of recurrence plot features. Tracheal sound recordings of 15 healthy and nine dysphagic subjects were studied. The multidimensional state space trajectory of each signal was reconstructed using the Taken method of delays. The sequences of three recurrence plot features of the reconstructed trajectories (which have shown discriminating capability between swallowing and breath sounds) were modeled by three hidden Markov models. The Viterbi algorithm was used for swallowing sound detection. The results were validated manually by inspection of the simultaneously recorded airflow signal and spectrogram of the sounds, and also by auditory means. The experimental results suggested that the performance of the proposed method using hidden Markov modeling of recurrence plot features was superior to the previous swallowing sound detection methods.

  16. A mathematical approach for evaluating Markov models in continuous time without discrete-event simulation.

    Science.gov (United States)

    van Rosmalen, Joost; Toy, Mehlika; O'Mahony, James F

    2013-08-01

    Markov models are a simple and powerful tool for analyzing the health and economic effects of health care interventions. These models are usually evaluated in discrete time using cohort analysis. The use of discrete time assumes that changes in health states occur only at the end of a cycle period. Discrete-time Markov models only approximate the process of disease progression, as clinical events typically occur in continuous time. The approximation can yield biased cost-effectiveness estimates for Markov models with long cycle periods and if no half-cycle correction is made. The purpose of this article is to present an overview of methods for evaluating Markov models in continuous time. These methods use mathematical results from stochastic process theory and control theory. The methods are illustrated using an applied example on the cost-effectiveness of antiviral therapy for chronic hepatitis B. The main result is a mathematical solution for the expected time spent in each state in a continuous-time Markov model. It is shown how this solution can account for age-dependent transition rates and discounting of costs and health effects, and how the concept of tunnel states can be used to account for transition rates that depend on the time spent in a state. The applied example shows that the continuous-time model yields more accurate results than the discrete-time model but does not require much computation time and is easily implemented. In conclusion, continuous-time Markov models are a feasible alternative to cohort analysis and can offer several theoretical and practical advantages.

  17. Modelling of cyclical stratigraphy using Markov chains

    Energy Technology Data Exchange (ETDEWEB)

    Kulatilake, P.H.S.W.

    1987-07-01

    State-of-the-art on modelling of cyclical stratigraphy using first-order Markov chains is reviewed. Shortcomings of the presently available procedures are identified. A procedure which eliminates all the identified shortcomings is presented. Required statistical tests to perform this modelling are given in detail. An example (the Oficina formation in eastern Venezuela) is given to illustrate the presented procedure. 12 refs., 3 tabs. 1 fig.

  18. Hidden Markov Model for quantitative prediction of snowfall

    Indian Academy of Sciences (India)

    A Hidden Markov Model (HMM) has been developed for prediction of quantitative snowfall in Pir-Panjal and Great Himalayan mountain ranges of Indian Himalaya. The model predicts snowfall for two days in advance using daily recorded nine meteorological variables of past 20 winters from 1992–2012. There are six ...

  19. The Fracture Mechanical Markov Chain Fatigue Model Compared with Empirical Data

    DEFF Research Database (Denmark)

    Gansted, L.; Brincker, Rune; Hansen, Lars Pilegaard

    The applicability of the FMF-model (Fracture Mechanical Markov Chain Fatigue Model) introduced in Gansted, L., R. Brincker and L. Pilegaard Hansen (1991) is tested by simulations and compared with empirical data. Two sets of data have been used, the Virkler data (aluminium alloy) and data...... established at the Laboratory of Structural Engineering at Aalborg University, the AUC-data, (mild steel). The model, which is based on the assumption, that the crack propagation process can be described by a discrete Space Markov theory, is applicable to constant as well as random loading. It is shown...

  20. MODELING OF FUTURE LAND COVER LAND USE CHANGE IN NORTH CAROLINA USING MARKOV CHAIN AND CELLULAR AUTOMATA MODEL

    OpenAIRE

    Mohammad Sayemuzzaman; Manoj K. Jha

    2014-01-01

    State wide variant topographic features in North Carolina attract the hydro-climatologist. There is none modeling study found that predict future Land Cover Land Use (LCLU) change for whole North Carolina. In this study, satellite-derived land cover maps of year 1992, 2001 and 2006 of North Carolina were integrated within the framework of the Markov-Cellular Automata (Markov-CA) model which combines the Markov chain and Cellular Automata (CA) techniques. A Multi-Criteria Evaluation (MCE) was ...

  1. Power plant reliability calculation with Markov chain models

    International Nuclear Information System (INIS)

    Senegacnik, A.; Tuma, M.

    1998-01-01

    In the paper power plant operation is modelled using continuous time Markov chains with discrete state space. The model is used to compute the power plant reliability and the importance and influence of individual states, as well as the transition probabilities between states. For comparison the model is fitted to data for coal and nuclear power plants recorded over several years. (orig.) [de

  2. Grey-Markov prediction model based on background value optimization and central-point triangular whitenization weight function

    Science.gov (United States)

    Ye, Jing; Dang, Yaoguo; Li, Bingjun

    2018-01-01

    Grey-Markov forecasting model is a combination of grey prediction model and Markov chain which show obvious optimization effects for data sequences with characteristics of non-stationary and volatility. However, the state division process in traditional Grey-Markov forecasting model is mostly based on subjective real numbers that immediately affects the accuracy of forecasting values. To seek the solution, this paper introduces the central-point triangular whitenization weight function in state division to calculate possibilities of research values in each state which reflect preference degrees in different states in an objective way. On the other hand, background value optimization is applied in the traditional grey model to generate better fitting data. By this means, the improved Grey-Markov forecasting model is built. Finally, taking the grain production in Henan Province as an example, it verifies this model's validity by comparing with GM(1,1) based on background value optimization and the traditional Grey-Markov forecasting model.

  3. Continuous-Time Semi-Markov Models in Health Economic Decision Making: An Illustrative Example in Heart Failure Disease Management.

    Science.gov (United States)

    Cao, Qi; Buskens, Erik; Feenstra, Talitha; Jaarsma, Tiny; Hillege, Hans; Postmus, Douwe

    2016-01-01

    Continuous-time state transition models may end up having large unwieldy structures when trying to represent all relevant stages of clinical disease processes by means of a standard Markov model. In such situations, a more parsimonious, and therefore easier-to-grasp, model of a patient's disease progression can often be obtained by assuming that the future state transitions do not depend only on the present state (Markov assumption) but also on the past through time since entry in the present state. Despite that these so-called semi-Markov models are still relatively straightforward to specify and implement, they are not yet routinely applied in health economic evaluation to assess the cost-effectiveness of alternative interventions. To facilitate a better understanding of this type of model among applied health economic analysts, the first part of this article provides a detailed discussion of what the semi-Markov model entails and how such models can be specified in an intuitive way by adopting an approach called vertical modeling. In the second part of the article, we use this approach to construct a semi-Markov model for assessing the long-term cost-effectiveness of 3 disease management programs for heart failure. Compared with a standard Markov model with the same disease states, our proposed semi-Markov model fitted the observed data much better. When subsequently extrapolating beyond the clinical trial period, these relatively large differences in goodness-of-fit translated into almost a doubling in mean total cost and a 60-d decrease in mean survival time when using the Markov model instead of the semi-Markov model. For the disease process considered in our case study, the semi-Markov model thus provided a sensible balance between model parsimoniousness and computational complexity. © The Author(s) 2015.

  4. Using hidden Markov models to align multiple sequences.

    Science.gov (United States)

    Mount, David W

    2009-07-01

    A hidden Markov model (HMM) is a probabilistic model of a multiple sequence alignment (msa) of proteins. In the model, each column of symbols in the alignment is represented by a frequency distribution of the symbols (called a "state"), and insertions and deletions are represented by other states. One moves through the model along a particular path from state to state in a Markov chain (i.e., random choice of next move), trying to match a given sequence. The next matching symbol is chosen from each state, recording its probability (frequency) and also the probability of going to that state from a previous one (the transition probability). State and transition probabilities are multiplied to obtain a probability of the given sequence. The hidden nature of the HMM is due to the lack of information about the value of a specific state, which is instead represented by a probability distribution over all possible values. This article discusses the advantages and disadvantages of HMMs in msa and presents algorithms for calculating an HMM and the conditions for producing the best HMM.

  5. Stochastic modeling of pitting corrosion in underground pipelines using Markov chains

    Energy Technology Data Exchange (ETDEWEB)

    Velazquez, J.C.; Caleyo, F.; Hallen, J.M.; Araujo, J.E. [Instituto Politecnico Nacional (IPN), Mexico D.F. (Mexico). Escuela Superior de Ingenieria Quimica e Industrias Extractivas (ESIQIE); Valor, A. [Universidad de La Habana, La Habana (Cuba)

    2009-07-01

    A non-homogenous, linear growth (pure birth) Markov process, with discrete states in continuous time, has been used to model external pitting corrosion in underground pipelines. The transition probability function for the pit depth is obtained from the analytical solution of the forward Kolmogorov equations for this process. The parameters of the transition probability function between depth states can be identified from the observed time evolution of the mean of the pit depth distribution. Monte Carlo simulations were used to predict the time evolution of the mean value of the pit depth distribution in soils with different physicochemical characteristics. The simulated distributions have been used to create an empirical Markov-chain-based stochastic model for predicting the evolution of pitting corrosion from the observed properties of the soil in contact with the pipeline. Real- life case studies, involving simulated and measured pit depth distributions are presented to illustrate the application of the proposed Markov chains model. (author)

  6. Hidden-Markov-Model Analysis Of Telemanipulator Data

    Science.gov (United States)

    Hannaford, Blake; Lee, Paul

    1991-01-01

    Mathematical model and procedure based on hidden-Markov-model concept undergoing development for use in analysis and prediction of outputs of force and torque sensors of telerobotic manipulators. In model, overall task broken down into subgoals, and transition probabilities encode ease with which operator completes each subgoal. Process portion of model encodes task-sequence/subgoal structure, and probability-density functions for forces and torques associated with each state of manipulation encode sensor signals that one expects to observe at subgoal. Parameters of model constructed from engineering knowledge of task.

  7. Markov dynamic models for long-timescale protein motion.

    KAUST Repository

    Chiang, Tsung-Han

    2010-06-01

    Molecular dynamics (MD) simulation is a well-established method for studying protein motion at the atomic scale. However, it is computationally intensive and generates massive amounts of data. One way of addressing the dual challenges of computation efficiency and data analysis is to construct simplified models of long-timescale protein motion from MD simulation data. In this direction, we propose to use Markov models with hidden states, in which the Markovian states represent potentially overlapping probabilistic distributions over protein conformations. We also propose a principled criterion for evaluating the quality of a model by its ability to predict long-timescale protein motions. Our method was tested on 2D synthetic energy landscapes and two extensively studied peptides, alanine dipeptide and the villin headpiece subdomain (HP-35 NleNle). One interesting finding is that although a widely accepted model of alanine dipeptide contains six states, a simpler model with only three states is equally good for predicting long-timescale motions. We also used the constructed Markov models to estimate important kinetic and dynamic quantities for protein folding, in particular, mean first-passage time. The results are consistent with available experimental measurements.

  8. Markov dynamic models for long-timescale protein motion.

    KAUST Repository

    Chiang, Tsung-Han; Hsu, David; Latombe, Jean-Claude

    2010-01-01

    Molecular dynamics (MD) simulation is a well-established method for studying protein motion at the atomic scale. However, it is computationally intensive and generates massive amounts of data. One way of addressing the dual challenges of computation efficiency and data analysis is to construct simplified models of long-timescale protein motion from MD simulation data. In this direction, we propose to use Markov models with hidden states, in which the Markovian states represent potentially overlapping probabilistic distributions over protein conformations. We also propose a principled criterion for evaluating the quality of a model by its ability to predict long-timescale protein motions. Our method was tested on 2D synthetic energy landscapes and two extensively studied peptides, alanine dipeptide and the villin headpiece subdomain (HP-35 NleNle). One interesting finding is that although a widely accepted model of alanine dipeptide contains six states, a simpler model with only three states is equally good for predicting long-timescale motions. We also used the constructed Markov models to estimate important kinetic and dynamic quantities for protein folding, in particular, mean first-passage time. The results are consistent with available experimental measurements.

  9. A simplified parsimonious higher order multivariate Markov chain model

    Science.gov (United States)

    Wang, Chao; Yang, Chuan-sheng

    2017-09-01

    In this paper, a simplified parsimonious higher-order multivariate Markov chain model (SPHOMMCM) is presented. Moreover, parameter estimation method of TPHOMMCM is give. Numerical experiments shows the effectiveness of TPHOMMCM.

  10. Algorithms for a parallel implementation of Hidden Markov Models with a small state space

    DEFF Research Database (Denmark)

    Nielsen, Jesper; Sand, Andreas

    2011-01-01

    Two of the most important algorithms for Hidden Markov Models are the forward and the Viterbi algorithms. We show how formulating these using linear algebra naturally lends itself to parallelization. Although the obtained algorithms are slow for Hidden Markov Models with large state spaces...

  11. Efficient Modelling and Generation of Markov Automata (extended version)

    NARCIS (Netherlands)

    Timmer, Mark; Katoen, Joost P.; van de Pol, Jan Cornelis; Stoelinga, Mariëlle Ida Antoinette

    2012-01-01

    This paper introduces a framework for the efficient modelling and generation of Markov automata. It consists of (1) the data-rich process-algebraic language MAPA, allowing concise modelling of systems with nondeterminism, probability and Markovian timing; (2) a restricted form of the language, the

  12. A tridiagonal parsimonious higher order multivariate Markov chain model

    Science.gov (United States)

    Wang, Chao; Yang, Chuan-sheng

    2017-09-01

    In this paper, we present a tridiagonal parsimonious higher-order multivariate Markov chain model (TPHOMMCM). Moreover, estimation method of the parameters in TPHOMMCM is give. Numerical experiments illustrate the effectiveness of TPHOMMCM.

  13. [Compared Markov with fractal models by using single-channel experimental and simulation data].

    Science.gov (United States)

    Lan, Tonghan; Wu, Hongxiu; Lin, Jiarui

    2006-10-01

    The gating mechanical kinetical of ion channels has been modeled as a Markov process. In these models it is assumed that the channel protein has a small number of discrete conformational states and kinetic rate constants connecting these states are constant, the transition rate constants among the states is independent both of time and of the previous channel activity. It is assumed in Liebovitch's fractal model that the channel exists in an infinite number of energy states, consequently, transitions from one conductance state to another would be governed by a continuum of rate constants. In this paper, a statistical comparison is presented of Markov and fractal models of ion channel gating, the analysis is based on single-channel data from ion channel voltage-dependence K+ single channel of neuron cell and simulation data from three-states Markov model.

  14. Availability analysis of subsea blowout preventer using Markov model considering demand rate

    Directory of Open Access Journals (Sweden)

    Sunghee Kim

    2014-12-01

    Full Text Available Availabilities of subsea Blowout Preventers (BOP in the Gulf of Mexico Outer Continental Shelf (GoM OCS is investigated using a Markov method. An updated β factor model by SINTEF is used for common-cause failures in multiple redundant systems. Coefficient values of failure rates for the Markov model are derived using the β factor model of the PDS (reliability of computer-based safety systems, Norwegian acronym method. The blind shear ram preventer system of the subsea BOP components considers a demand rate to reflect reality more. Markov models considering the demand rate for one or two components are introduced. Two data sets are compared at the GoM OCS. The results show that three or four pipe ram preventers give similar availabilities, but redundant blind shear ram preventers or annular preventers enhance the availability of the subsea BOP. Also control systems (PODs and connectors are contributable components to improve the availability of the subsea BOPs based on sensitivity analysis.

  15. Modelling the Errors of EIA’s Oil Prices and Production Forecasts by the Grey Markov Model

    Directory of Open Access Journals (Sweden)

    Gholam Hossein Hasantash

    2012-01-01

    Full Text Available Grey theory is about systematic analysis of limited information. The Grey-Markov model can improve the accuracy of forecast range in the random fluctuating data sequence. In this paper, we employed this model in energy system. The average errors of Energy Information Administrations predictions for world oil price and domestic crude oil production from 1982 to 2007 and from 1985 to 2008 respectively were used as two forecasted examples. We showed that the proposed Grey-Markov model can improve the forecast accuracy of original Grey forecast model.

  16. Segmentation of laser range radar images using hidden Markov field models

    International Nuclear Information System (INIS)

    Pucar, P.

    1993-01-01

    Segmentation of images in the context of model based stochastic techniques is connected with high, very often unpracticle computational complexity. The objective with this thesis is to take the models used in model based image processing, simplify and use them in suboptimal, but not computationally demanding algorithms. Algorithms that are essentially one-dimensional, and their extensions to two dimensions are given. The model used in this thesis is the well known hidden Markov model. Estimation of the number of hidden states from observed data is a problem that is addressed. The state order estimation problem is of general interest and is not specifically connected to image processing. An investigation of three state order estimation techniques for hidden Markov models is given. 76 refs

  17. Hidden Markov models and other machine learning approaches in computational molecular biology

    Energy Technology Data Exchange (ETDEWEB)

    Baldi, P. [California Inst. of Tech., Pasadena, CA (United States)

    1995-12-31

    This tutorial was one of eight tutorials selected to be presented at the Third International Conference on Intelligent Systems for Molecular Biology which was held in the United Kingdom from July 16 to 19, 1995. Computational tools are increasingly needed to process the massive amounts of data, to organize and classify sequences, to detect weak similarities, to separate coding from non-coding regions, and reconstruct the underlying evolutionary history. The fundamental problem in machine learning is the same as in scientific reasoning in general, as well as statistical modeling: to come up with a good model for the data. In this tutorial four classes of models are reviewed. They are: Hidden Markov models; artificial Neural Networks; Belief Networks; and Stochastic Grammars. When dealing with DNA and protein primary sequences, Hidden Markov models are one of the most flexible and powerful alignments and data base searches. In this tutorial, attention is focused on the theory of Hidden Markov Models, and how to apply them to problems in molecular biology.

  18. Incorporation of Markov reliability models for digital instrumentation and control systems into existing PRAs

    International Nuclear Information System (INIS)

    Bucci, P.; Mangan, L. A.; Kirschenbaum, J.; Mandelli, D.; Aldemir, T.; Arndt, S. A.

    2006-01-01

    Markov models have the ability to capture the statistical dependence between failure events that can arise in the presence of complex dynamic interactions between components of digital instrumentation and control systems. One obstacle to the use of such models in an existing probabilistic risk assessment (PRA) is that most of the currently available PRA software is based on the static event-tree/fault-tree methodology which often cannot represent such interactions. We present an approach to the integration of Markov reliability models into existing PRAs by describing the Markov model of a digital steam generator feedwater level control system, how dynamic event trees (DETs) can be generated from the model, and how the DETs can be incorporated into an existing PRA with the SAPHIRE software. (authors)

  19. The algebra of the general Markov model on phylogenetic trees and networks.

    Science.gov (United States)

    Sumner, J G; Holland, B R; Jarvis, P D

    2012-04-01

    It is known that the Kimura 3ST model of sequence evolution on phylogenetic trees can be extended quite naturally to arbitrary split systems. However, this extension relies heavily on mathematical peculiarities of the associated Hadamard transformation, and providing an analogous augmentation of the general Markov model has thus far been elusive. In this paper, we rectify this shortcoming by showing how to extend the general Markov model on trees to include incompatible edges; and even further to more general network models. This is achieved by exploring the algebra of the generators of the continuous-time Markov chain together with the “splitting” operator that generates the branching process on phylogenetic trees. For simplicity, we proceed by discussing the two state case and then show that our results are easily extended to more states with little complication. Intriguingly, upon restriction of the two state general Markov model to the parameter space of the binary symmetric model, our extension is indistinguishable from the Hadamard approach only on trees; as soon as any incompatible splits are introduced the two approaches give rise to differing probability distributions with disparate structure. Through exploration of a simple example, we give an argument that our extension to more general networks has desirable properties that the previous approaches do not share. In particular, our construction allows for convergent evolution of previously divergent lineages; a property that is of significant interest for biological applications.

  20. Modeling promoter grammars with evolving hidden Markov models

    DEFF Research Database (Denmark)

    Won, Kyoung-Jae; Sandelin, Albin; Marstrand, Troels Torben

    2008-01-01

    MOTIVATION: Describing and modeling biological features of eukaryotic promoters remains an important and challenging problem within computational biology. The promoters of higher eukaryotes in particular display a wide variation in regulatory features, which are difficult to model. Often several...... factors are involved in the regulation of a set of co-regulated genes. If so, promoters can be modeled with connected regulatory features, where the network of connections is characteristic for a particular mode of regulation. RESULTS: With the goal of automatically deciphering such regulatory structures......, we present a method that iteratively evolves an ensemble of regulatory grammars using a hidden Markov Model (HMM) architecture composed of interconnected blocks representing transcription factor binding sites (TFBSs) and background regions of promoter sequences. The ensemble approach reduces the risk...

  1. Process Algebra and Markov Chains

    NARCIS (Netherlands)

    Brinksma, Hendrik; Hermanns, H.; Brinksma, Hendrik; Hermanns, H.; Katoen, Joost P.

    This paper surveys and relates the basic concepts of process algebra and the modelling of continuous time Markov chains. It provides basic introductions to both fields, where we also study the Markov chains from an algebraic perspective, viz. that of Markov chain algebra. We then proceed to study

  2. Process algebra and Markov chains

    NARCIS (Netherlands)

    Brinksma, E.; Hermanns, H.; Brinksma, E.; Hermanns, H.; Katoen, J.P.

    2001-01-01

    This paper surveys and relates the basic concepts of process algebra and the modelling of continuous time Markov chains. It provides basic introductions to both fields, where we also study the Markov chains from an algebraic perspective, viz. that of Markov chain algebra. We then proceed to study

  3. Scalable approximate policies for Markov decision process models of hospital elective admissions.

    Science.gov (United States)

    Zhu, George; Lizotte, Dan; Hoey, Jesse

    2014-05-01

    To demonstrate the feasibility of using stochastic simulation methods for the solution of a large-scale Markov decision process model of on-line patient admissions scheduling. The problem of admissions scheduling is modeled as a Markov decision process in which the states represent numbers of patients using each of a number of resources. We investigate current state-of-the-art real time planning methods to compute solutions to this Markov decision process. Due to the complexity of the model, traditional model-based planners are limited in scalability since they require an explicit enumeration of the model dynamics. To overcome this challenge, we apply sample-based planners along with efficient simulation techniques that given an initial start state, generate an action on-demand while avoiding portions of the model that are irrelevant to the start state. We also propose a novel variant of a popular sample-based planner that is particularly well suited to the elective admissions problem. Results show that the stochastic simulation methods allow for the problem size to be scaled by a factor of almost 10 in the action space, and exponentially in the state space. We have demonstrated our approach on a problem with 81 actions, four specialities and four treatment patterns, and shown that we can generate solutions that are near-optimal in about 100s. Sample-based planners are a viable alternative to state-based planners for large Markov decision process models of elective admissions scheduling. Copyright © 2014 Elsevier B.V. All rights reserved.

  4. Multivariate longitudinal data analysis with mixed effects hidden Markov models.

    Science.gov (United States)

    Raffa, Jesse D; Dubin, Joel A

    2015-09-01

    Multiple longitudinal responses are often collected as a means to capture relevant features of the true outcome of interest, which is often hidden and not directly measurable. We outline an approach which models these multivariate longitudinal responses as generated from a hidden disease process. We propose a class of models which uses a hidden Markov model with separate but correlated random effects between multiple longitudinal responses. This approach was motivated by a smoking cessation clinical trial, where a bivariate longitudinal response involving both a continuous and a binomial response was collected for each participant to monitor smoking behavior. A Bayesian method using Markov chain Monte Carlo is used. Comparison of separate univariate response models to the bivariate response models was undertaken. Our methods are demonstrated on the smoking cessation clinical trial dataset, and properties of our approach are examined through extensive simulation studies. © 2015, The International Biometric Society.

  5. Study on the systematic approach of Markov modeling for dependability analysis of complex fault-tolerant features with voting logics

    International Nuclear Information System (INIS)

    Son, Kwang Seop; Kim, Dong Hoon; Kim, Chang Hwoi; Kang, Hyun Gook

    2016-01-01

    The Markov analysis is a technique for modeling system state transitions and calculating the probability of reaching various system states. While it is a proper tool for modeling complex system designs involving timing, sequencing, repair, redundancy, and fault tolerance, as the complexity or size of the system increases, so does the number of states of interest, leading to difficulty in constructing and solving the Markov model. This paper introduces a systematic approach of Markov modeling to analyze the dependability of a complex fault-tolerant system. This method is based on the decomposition of the system into independent subsystem sets, and the system-level failure rate and the unavailability rate for the decomposed subsystems. A Markov model for the target system is easily constructed using the system-level failure and unavailability rates for the subsystems, which can be treated separately. This approach can decrease the number of states to consider simultaneously in the target system by building Markov models of the independent subsystems stage by stage, and results in an exact solution for the Markov model of the whole target system. To apply this method we construct a Markov model for the reactor protection system found in nuclear power plants, a system configured with four identical channels and various fault-tolerant architectures. The results show that the proposed method in this study treats the complex architecture of the system in an efficient manner using the merits of the Markov model, such as a time dependent analysis and a sequential process analysis. - Highlights: • Systematic approach of Markov modeling for system dependability analysis is proposed based on the independent subsystem set, its failure rate and unavailability rate. • As an application example, we construct the Markov model for the digital reactor protection system configured with four identical and independent channels, and various fault-tolerant architectures. • The

  6. Markov Chains and Markov Processes

    OpenAIRE

    Ogunbayo, Segun

    2016-01-01

    Markov chain, which was named after Andrew Markov is a mathematical system that transfers a state to another state. Many real world systems contain uncertainty. This study helps us to understand the basic idea of a Markov chain and how is been useful in our daily lives. For some times there had been suspense on distinct predictions and future existences. Also in different games there had been different expectations or results involved. That is the reason why we need Markov chains to predict o...

  7. Long memory of financial time series and hidden Markov models with time-varying parameters

    DEFF Research Database (Denmark)

    Nystrup, Peter; Madsen, Henrik; Lindström, Erik

    Hidden Markov models are often used to capture stylized facts of daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior for the ability to reproduce the stylized...... facts have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time-varying. It is shown that a two-state Gaussian hidden Markov model with time-varying parameters is able to reproduce the long memory of squared...... daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step predictions....

  8. A Bayesian method for construction of Markov models to describe dynamics on various time-scales.

    Science.gov (United States)

    Rains, Emily K; Andersen, Hans C

    2010-10-14

    The dynamics of many biological processes of interest, such as the folding of a protein, are slow and complicated enough that a single molecular dynamics simulation trajectory of the entire process is difficult to obtain in any reasonable amount of time. Moreover, one such simulation may not be sufficient to develop an understanding of the mechanism of the process, and multiple simulations may be necessary. One approach to circumvent this computational barrier is the use of Markov state models. These models are useful because they can be constructed using data from a large number of shorter simulations instead of a single long simulation. This paper presents a new Bayesian method for the construction of Markov models from simulation data. A Markov model is specified by (τ,P,T), where τ is the mesoscopic time step, P is a partition of configuration space into mesostates, and T is an N(P)×N(P) transition rate matrix for transitions between the mesostates in one mesoscopic time step, where N(P) is the number of mesostates in P. The method presented here is different from previous Bayesian methods in several ways. (1) The method uses Bayesian analysis to determine the partition as well as the transition probabilities. (2) The method allows the construction of a Markov model for any chosen mesoscopic time-scale τ. (3) It constructs Markov models for which the diagonal elements of T are all equal to or greater than 0.5. Such a model will be called a "consistent mesoscopic Markov model" (CMMM). Such models have important advantages for providing an understanding of the dynamics on a mesoscopic time-scale. The Bayesian method uses simulation data to find a posterior probability distribution for (P,T) for any chosen τ. This distribution can be regarded as the Bayesian probability that the kinetics observed in the atomistic simulation data on the mesoscopic time-scale τ was generated by the CMMM specified by (P,T). An optimization algorithm is used to find the most

  9. Optimisation of Hidden Markov Model using Baum–Welch algorithm ...

    Indian Academy of Sciences (India)

    The present work is a part of development of Hidden Markov Model. (HMM) based ... the Himalaya. In this work, HMMs have been developed for forecasting of maximum and minimum ..... data collection teams of Snow and Avalanche Study.

  10. Cyclic Markov chains with an application to an intermediate ENSO model

    Directory of Open Access Journals (Sweden)

    R. A. Pasmanter

    2003-01-01

    Full Text Available We develop the theory of cyclic Markov chains and apply it to the El Niño-Southern Oscillation (ENSO predictability problem. At the core of Markov chain modelling is a partition of the state space such that the transition rates between different state space cells can be computed and used most efficiently. We apply a partition technique, which divides the state space into multidimensional cells containing an equal number of data points. This partition leads to mathematical properties of the transition matrices which can be exploited further such as to establish connections with the dynamical theory of unstable periodic orbits. We introduce the concept of most and least predictable states. The data basis of our analysis consists of a multicentury-long data set obtained from an intermediate coupled atmosphere-ocean model of the tropical Pacific. This cyclostationary Markov chain approach captures the spring barrier in ENSO predictability and gives insight also into the dependence of ENSO predictability on the climatic state.

  11. DISEÑO Y MANIPULACIÓN DE MODELOS OCULTOS DE MARKOV, UTILIZANDO HERRAMIENTAS HTK: UNA TUTORÍA DESIGN AND MANIPULATION OF HIDDEN MARKOV MODELS USING HTK TOOLS: A TUTORIAL

    Directory of Open Access Journals (Sweden)

    Roberto Carrillo Aguilar

    2007-04-01

    Full Text Available Este trabajo da a conocer el sistema de desarrollo de software para el diseño y manipulación de modelos ocultos de Markov, denominado HTK. Actualmente, la técnica de modelos ocultos de Markov es la herramienta más efectiva para implementar sistemas reconocedores del habla. HTK está orientado principalmente a ese aspecto. Su arquitectura es robusta y autosuficiente. Permite: la entrada lógica y natural desde un micrófono, dispone de módulos para la conversión A/D, preprocesado y parametrización de la información, posee herramientas para definir y manipular modelos ocultos de Markov, tiene librerías para entrenamiento y manipulación de los modelos ocultos de Markov ya definidos, considera funciones para definir la gramática, y además: Una serie de herramientas adicionales permiten lograr el objetivo final de obtener una hipotética transcripción del habla (conversión voz - texto.This paper presents HTK, a software development platform for the design and management of Hidden Markov Models. Nowadays, the Hidden Markov Models technique is the more effective one to implement voice recognition systems. HTK is mainly oriented to this application. Its architecture is robust and self-sufficient. It allows a natural input from a microphone, it has modules for A/D conversion, it allows pre-processing and parameterization of information, it possesses tools to define and manage the Hidden Markov Models, libraries for training and use the already defined Hidden Markov Models. It has functions to define the grammar and it has additional tools to reach the final objective, to obtain an hypothetical transcription of the talking (voice to text translation.

  12. Markov processes and controlled Markov chains

    CERN Document Server

    Filar, Jerzy; Chen, Anyue

    2002-01-01

    The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South Ameri...

  13. A Markov Chain Model for Contagion

    Directory of Open Access Journals (Sweden)

    Angelos Dassios

    2014-11-01

    Full Text Available We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering arrival of events, such as jumps, bankruptcies, crises and catastrophes in finance, insurance and economics with both internal contagion risk and external common risk. Key distributional properties, such as the moments and probability generating functions, for this process are derived. Some special cases with explicit results and numerical examples and the motivation for further actuarial applications are also discussed. The model can be considered a generalisation of the dynamic contagion process introduced by Dassios and Zhao (2011.

  14. HMMEditor: a visual editing tool for profile hidden Markov model

    Directory of Open Access Journals (Sweden)

    Cheng Jianlin

    2008-03-01

    Full Text Available Abstract Background Profile Hidden Markov Model (HMM is a powerful statistical model to represent a family of DNA, RNA, and protein sequences. Profile HMM has been widely used in bioinformatics research such as sequence alignment, gene structure prediction, motif identification, protein structure prediction, and biological database search. However, few comprehensive, visual editing tools for profile HMM are publicly available. Results We develop a visual editor for profile Hidden Markov Models (HMMEditor. HMMEditor can visualize the profile HMM architecture, transition probabilities, and emission probabilities. Moreover, it provides functions to edit and save HMM and parameters. Furthermore, HMMEditor allows users to align a sequence against the profile HMM and to visualize the corresponding Viterbi path. Conclusion HMMEditor provides a set of unique functions to visualize and edit a profile HMM. It is a useful tool for biological sequence analysis and modeling. Both HMMEditor software and web service are freely available.

  15. Extracting Markov Models of Peptide Conformational Dynamics from Simulation Data.

    Science.gov (United States)

    Schultheis, Verena; Hirschberger, Thomas; Carstens, Heiko; Tavan, Paul

    2005-07-01

    A high-dimensional time series obtained by simulating a complex and stochastic dynamical system (like a peptide in solution) may code an underlying multiple-state Markov process. We present a computational approach to most plausibly identify and reconstruct this process from the simulated trajectory. Using a mixture of normal distributions we first construct a maximum likelihood estimate of the point density associated with this time series and thus obtain a density-oriented partition of the data space. This discretization allows us to estimate the transfer operator as a matrix of moderate dimension at sufficient statistics. A nonlinear dynamics involving that matrix and, alternatively, a deterministic coarse-graining procedure are employed to construct respective hierarchies of Markov models, from which the model most plausibly mapping the generating stochastic process is selected by consideration of certain observables. Within both procedures the data are classified in terms of prototypical points, the conformations, marking the various Markov states. As a typical example, the approach is applied to analyze the conformational dynamics of a tripeptide in solution. The corresponding high-dimensional time series has been obtained from an extended molecular dynamics simulation.

  16. Reliability analysis of nuclear component cooling water system using semi-Markov process model

    International Nuclear Information System (INIS)

    Veeramany, Arun; Pandey, Mahesh D.

    2011-01-01

    Research highlights: → Semi-Markov process (SMP) model is used to evaluate system failure probability of the nuclear component cooling water (NCCW) system. → SMP is used because it can solve reliability block diagram with a mixture of redundant repairable and non-repairable components. → The primary objective is to demonstrate that SMP can consider Weibull failure time distribution for components while a Markov model cannot → Result: the variability in component failure time is directly proportional to the NCCW system failure probability. → The result can be utilized as an initiating event probability in probabilistic safety assessment projects. - Abstract: A reliability analysis of nuclear component cooling water (NCCW) system is carried out. Semi-Markov process model is used in the analysis because it has potential to solve a reliability block diagram with a mixture of repairable and non-repairable components. With Markov models it is only possible to assume an exponential profile for component failure times. An advantage of the proposed model is the ability to assume Weibull distribution for the failure time of components. In an attempt to reduce the number of states in the model, it is shown that usage of poly-Weibull distribution arises. The objective of the paper is to determine system failure probability under these assumptions. Monte Carlo simulation is used to validate the model result. This result can be utilized as an initiating event probability in probabilistic safety assessment projects.

  17. Observation uncertainty in reversible Markov chains.

    Science.gov (United States)

    Metzner, Philipp; Weber, Marcus; Schütte, Christof

    2010-09-01

    In many applications one is interested in finding a simplified model which captures the essential dynamical behavior of a real life process. If the essential dynamics can be assumed to be (approximately) memoryless then a reasonable choice for a model is a Markov model whose parameters are estimated by means of Bayesian inference from an observed time series. We propose an efficient Monte Carlo Markov chain framework to assess the uncertainty of the Markov model and related observables. The derived Gibbs sampler allows for sampling distributions of transition matrices subject to reversibility and/or sparsity constraints. The performance of the suggested sampling scheme is demonstrated and discussed for a variety of model examples. The uncertainty analysis of functions of the Markov model under investigation is discussed in application to the identification of conformations of the trialanine molecule via Robust Perron Cluster Analysis (PCCA+) .

  18. A Multilayer Hidden Markov Models-Based Method for Human-Robot Interaction

    Directory of Open Access Journals (Sweden)

    Chongben Tao

    2013-01-01

    Full Text Available To achieve Human-Robot Interaction (HRI by using gestures, a continuous gesture recognition approach based on Multilayer Hidden Markov Models (MHMMs is proposed, which consists of two parts. One part is gesture spotting and segment module, the other part is continuous gesture recognition module. Firstly, a Kinect sensor is used to capture 3D acceleration and 3D angular velocity data of hand gestures. And then, a Feed-forward Neural Networks (FNNs and a threshold criterion are used for gesture spotting and segment, respectively. Afterwards, the segmented gesture signals are respectively preprocessed and vector symbolized by a sliding window and a K-means clustering method. Finally, symbolized data are sent into Lower Hidden Markov Models (LHMMs to identify individual gestures, and then, a Bayesian filter with sequential constraints among gestures in Upper Hidden Markov Models (UHMMs is used to correct recognition errors created in LHMMs. Five predefined gestures are used to interact with a Kinect mobile robot in experiments. The experimental results show that the proposed method not only has good effectiveness and accuracy, but also has favorable real-time performance.

  19. Embedding a State Space Model Into a Markov Decision Process

    DEFF Research Database (Denmark)

    Nielsen, Lars Relund; Jørgensen, Erik; Højsgaard, Søren

    2011-01-01

    In agriculture Markov decision processes (MDPs) with finite state and action space are often used to model sequential decision making over time. For instance, states in the process represent possible levels of traits of the animal and transition probabilities are based on biological models...

  20. Verification of Open Interactive Markov Chains

    OpenAIRE

    Brazdil, Tomas; Hermanns, Holger; Krcal, Jan; Kretinsky, Jan; Rehak, Vojtech

    2012-01-01

    Interactive Markov chains (IMC) are compositional behavioral models extending both labeled transition systems and continuous-time Markov chains. IMC pair modeling convenience - owed to compositionality properties - with effective verification algorithms and tools - owed to Markov properties. Thus far however, IMC verification did not consider compositionality properties, but considered closed systems. This paper discusses the evaluation of IMC in an open and thus compositional interpretation....

  1. Improved hidden Markov model for nosocomial infections.

    Science.gov (United States)

    Khader, Karim; Leecaster, Molly; Greene, Tom; Samore, Matthew; Thomas, Alun

    2014-12-01

    We propose a novel hidden Markov model (HMM) for parameter estimation in hospital transmission models, and show that commonly made simplifying assumptions can lead to severe model misspecification and poor parameter estimates. A standard HMM that embodies two commonly made simplifying assumptions, namely a fixed patient count and binomially distributed detections is compared with a new alternative HMM that does not require these simplifying assumptions. Using simulated data, we demonstrate how each of the simplifying assumptions used by the standard model leads to model misspecification, whereas the alternative model results in accurate parameter estimates. © The Authors 2013. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

  2. Joint modeling of ChIP-seq data via a Markov random field model

    NARCIS (Netherlands)

    Bao, Yanchun; Vinciotti, Veronica; Wit, Ernst; 't Hoen, Peter A C

    Chromatin ImmunoPrecipitation-sequencing (ChIP-seq) experiments have now become routine in biology for the detection of protein-binding sites. In this paper, we present a Markov random field model for the joint analysis of multiple ChIP-seq experiments. The proposed model naturally accounts for

  3. Finding exact constants in a Markov model of Zipfs law generation

    Science.gov (United States)

    Bochkarev, V. V.; Lerner, E. Yu.; Nikiforov, A. A.; Pismenskiy, A. A.

    2017-12-01

    According to the classical Zipfs law, the word frequency is a power function of the word rank with an exponent -1. The objective of this work is to find multiplicative constant in a Markov model of word generation. Previously, the case of independent letters was mathematically strictly investigated in [Bochkarev V V and Lerner E Yu 2017 International Journal of Mathematics and Mathematical Sciences Article ID 914374]. Unfortunately, the methods used in this paper cannot be generalized in case of Markov chains. The search of the correct formulation of the Markov generalization of this results was performed using experiments with different ergodic matrices of transition probability P. Combinatory technique allowed taking into account all the words with probability of more than e -300 in case of 2 by 2 matrices. It was experimentally proved that the required constant in the limit is equal to the value reciprocal to conditional entropy of matrix row P with weights presenting the elements of the vector π of the stationary distribution of the Markov chain.

  4. Derivation of Markov processes that violate detailed balance

    Science.gov (United States)

    Lee, Julian

    2018-03-01

    Time-reversal symmetry of the microscopic laws dictates that the equilibrium distribution of a stochastic process must obey the condition of detailed balance. However, cyclic Markov processes that do not admit equilibrium distributions with detailed balance are often used to model systems driven out of equilibrium by external agents. I show that for a Markov model without detailed balance, an extended Markov model can be constructed, which explicitly includes the degrees of freedom for the driving agent and satisfies the detailed balance condition. The original cyclic Markov model for the driven system is then recovered as an approximation at early times by summing over the degrees of freedom for the driving agent. I also show that the widely accepted expression for the entropy production in a cyclic Markov model is actually a time derivative of an entropy component in the extended model. Further, I present an analytic expression for the entropy component that is hidden in the cyclic Markov model.

  5. A Markov chain model for CANDU feeder pipe degradation

    International Nuclear Information System (INIS)

    Datla, S.; Dinnie, K.; Usmani, A.; Yuan, X.-X.

    2008-01-01

    There is need for risk based approach to manage feeder pipe degradation to ensure safe operation by minimizing the nuclear safety risk. The current lack of understanding of some fundamental degradation mechanisms will result in uncertainty in predicting the rupture frequency. There are still concerns caused by uncertainties in the inspection techniques and engineering evaluations which should be addressed in the current procedures. A probabilistic approach is therefore useful in quantifying the risk and also it provides a tool for risk based decision making. This paper discusses the application of Markov chain model for feeder pipes in order to predict and manage the risks associated with the existing and future aging-related feeder degradation mechanisms. The major challenge in the approach is the lack of service data in characterizing the transition probabilities of the Markov model. The paper also discusses various approaches in estimating plant specific degradation rates. (author)

  6. Evolving the structure of hidden Markov Models

    DEFF Research Database (Denmark)

    won, K. J.; Prugel-Bennett, A.; Krogh, A.

    2006-01-01

    A genetic algorithm (GA) is proposed for finding the structure of hidden Markov Models (HMMs) used for biological sequence analysis. The GA is designed to preserve biologically meaningful building blocks. The search through the space of HMM structures is combined with optimization of the emission...... and transition probabilities using the classic Baum-Welch algorithm. The system is tested on the problem of finding the promoter and coding region of C. jejuni. The resulting HMM has a superior discrimination ability to a handcrafted model that has been published in the literature....

  7. Neuroevolution Mechanism for Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Nabil M. Hewahi

    2011-12-01

    Full Text Available Hidden Markov Model (HMM is a statistical model based on probabilities. HMM is becoming one of the major models involved in many applications such as natural language
    processing, handwritten recognition, image processing, prediction systems and many more. In this research we are concerned with finding out the best HMM for a certain application domain. We propose a neuroevolution process that is based first on converting the HMM to a neural network, then generating many neural networks at random where each represents a HMM. We proceed by
    applying genetic operators to obtain new set of neural networks where each represents HMMs, and updating the population. Finally select the best neural network based on a fitness function.

  8. Nonparametric estimation of transition probabilities in the non-Markov illness-death model: A comparative study.

    Science.gov (United States)

    de Uña-Álvarez, Jacobo; Meira-Machado, Luís

    2015-06-01

    Multi-state models are often used for modeling complex event history data. In these models the estimation of the transition probabilities is of particular interest, since they allow for long-term predictions of the process. These quantities have been traditionally estimated by the Aalen-Johansen estimator, which is consistent if the process is Markov. Several non-Markov estimators have been proposed in the recent literature, and their superiority with respect to the Aalen-Johansen estimator has been proved in situations in which the Markov condition is strongly violated. However, the existing estimators have the drawback of requiring that the support of the censoring distribution contains the support of the lifetime distribution, which is not often the case. In this article, we propose two new methods for estimating the transition probabilities in the progressive illness-death model. Some asymptotic results are derived. The proposed estimators are consistent regardless the Markov condition and the referred assumption about the censoring support. We explore the finite sample behavior of the estimators through simulations. The main conclusion of this piece of research is that the proposed estimators are much more efficient than the existing non-Markov estimators in most cases. An application to a clinical trial on colon cancer is included. Extensions to progressive processes beyond the three-state illness-death model are discussed. © 2015, The International Biometric Society.

  9. A Bayesian Markov geostatistical model for estimation of hydrogeological properties

    International Nuclear Information System (INIS)

    Rosen, L.; Gustafson, G.

    1996-01-01

    A geostatistical methodology based on Markov-chain analysis and Bayesian statistics was developed for probability estimations of hydrogeological and geological properties in the siting process of a nuclear waste repository. The probability estimates have practical use in decision-making on issues such as siting, investigation programs, and construction design. The methodology is nonparametric which makes it possible to handle information that does not exhibit standard statistical distributions, as is often the case for classified information. Data do not need to meet the requirements on additivity and normality as with the geostatistical methods based on regionalized variable theory, e.g., kriging. The methodology also has a formal way for incorporating professional judgments through the use of Bayesian statistics, which allows for updating of prior estimates to posterior probabilities each time new information becomes available. A Bayesian Markov Geostatistical Model (BayMar) software was developed for implementation of the methodology in two and three dimensions. This paper gives (1) a theoretical description of the Bayesian Markov Geostatistical Model; (2) a short description of the BayMar software; and (3) an example of application of the model for estimating the suitability for repository establishment with respect to the three parameters of lithology, hydraulic conductivity, and rock quality designation index (RQD) at 400--500 meters below ground surface in an area around the Aespoe Hard Rock Laboratory in southeastern Sweden

  10. Shape Modelling Using Markov Random Field Restoration of Point Correspondences

    DEFF Research Database (Denmark)

    Paulsen, Rasmus Reinhold; Hilger, Klaus Baggesen

    2003-01-01

    A method for building statistical point distribution models is proposed. The novelty in this paper is the adaption of Markov random field regularization of the correspondence field over the set of shapes. The new approach leads to a generative model that produces highly homogeneous polygonized sh...

  11. Flux through a Markov chain

    International Nuclear Information System (INIS)

    Floriani, Elena; Lima, Ricardo; Ourrad, Ouerdia; Spinelli, Lionel

    2016-01-01

    Highlights: • The flux through a Markov chain of a conserved quantity (mass) is studied. • Mass is supplied by an external source and ends in the absorbing states of the chain. • Meaningful for modeling open systems whose dynamics has a Markov property. • The analytical expression of mass distribution is given for a constant source. • The expression of mass distribution is given for periodic or random sources. - Abstract: In this paper we study the flux through a finite Markov chain of a quantity, that we will call mass, which moves through the states of the chain according to the Markov transition probabilities. Mass is supplied by an external source and accumulates in the absorbing states of the chain. We believe that studying how this conserved quantity evolves through the transient (non-absorbing) states of the chain could be useful for the modelization of open systems whose dynamics has a Markov property.

  12. A theoretical Markov chain model for evaluating correctional ...

    African Journals Online (AJOL)

    In this paper a stochastic method is applied in the study of the long time effect of confinement in a correctional institution on the behaviour of a person with criminal tendencies. The approach used is Markov chain, which uses past history to predict the state of a system in the future. A model is developed for comparing the ...

  13. A Markov deterioration model for predicting recurrent maintenance ...

    African Journals Online (AJOL)

    The parameters of the Markov chain model for predicting the condition of the road at a design · period for· the flexible pavement failures of wheel track rutting, cracks and pot holes were developed for the Niger State· road network . in Nigeria. Twelve sampled candidate roads were each subjected to standard inventory, traffic ...

  14. Model checking conditional CSL for continuous-time Markov chains

    DEFF Research Database (Denmark)

    Gao, Yang; Xu, Ming; Zhan, Naijun

    2013-01-01

    In this paper, we consider the model-checking problem of continuous-time Markov chains (CTMCs) with respect to conditional logic. To the end, we extend Continuous Stochastic Logic introduced in Aziz et al. (2000) [1] to Conditional Continuous Stochastic Logic (CCSL) by introducing a conditional...

  15. Basic problems solving for two-dimensional discrete 3 × 4 order hidden markov model

    International Nuclear Information System (INIS)

    Wang, Guo-gang; Gan, Zong-liang; Tang, Gui-jin; Cui, Zi-guan; Zhu, Xiu-chang

    2016-01-01

    A novel model is proposed to overcome the shortages of the classical hypothesis of the two-dimensional discrete hidden Markov model. In the proposed model, the state transition probability depends on not only immediate horizontal and vertical states but also on immediate diagonal state, and the observation symbol probability depends on not only current state but also on immediate horizontal, vertical and diagonal states. This paper defines the structure of the model, and studies the three basic problems of the model, including probability calculation, path backtracking and parameters estimation. By exploiting the idea that the sequences of states on rows or columns of the model can be seen as states of a one-dimensional discrete 1 × 2 order hidden Markov model, several algorithms solving the three questions are theoretically derived. Simulation results further demonstrate the performance of the algorithms. Compared with the two-dimensional discrete hidden Markov model, there are more statistical characteristics in the structure of the proposed model, therefore the proposed model theoretically can more accurately describe some practical problems.

  16. Study of the seismic activity in central Ionian Islands via semi-Markov modelling

    Science.gov (United States)

    Pertsinidou, Christina Elisavet; Tsaklidis, George; Papadimitriou, Eleftheria

    2017-06-01

    The seismicity of the central Ionian Islands ( M ≥ 5.2, 1911-2014) is studied via a semi-Markov chain which is investigated in terms of the destination probabilities (occurrence probabilities). The interevent times are considered to follow geometric (in which case the semi-Markov model reduces to a Markov model) or Pareto distributions. The study of the destination probabilities is useful for forecasting purposes because they can provide the more probable earthquake magnitude and occurrence time. Using the first half of the data sample for the estimation procedure and the other half for forecasting purposes it is found that the time windows obtained by the destination probabilities include 72.9% of the observed earthquake occurrence times (for all magnitudes) and 71.4% for the larger ( M ≥ 6.0) ones.

  17. Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    DEFF Research Database (Denmark)

    Nystrup, Peter; Madsen, Henrik; Lindström, Erik

    2016-01-01

    Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior have not been thoroughly examined. This paper presents an adaptive...... to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations....

  18. Assessing type I error and power of multistate Markov models for panel data-A simulation study.

    Science.gov (United States)

    Cassarly, Christy; Martin, Renee' H; Chimowitz, Marc; Peña, Edsel A; Ramakrishnan, Viswanathan; Palesch, Yuko Y

    2017-01-01

    Ordinal outcomes collected at multiple follow-up visits are common in clinical trials. Sometimes, one visit is chosen for the primary analysis and the scale is dichotomized amounting to loss of information. Multistate Markov models describe how a process moves between states over time. Here, simulation studies are performed to investigate the type I error and power characteristics of multistate Markov models for panel data with limited non-adjacent state transitions. The results suggest that the multistate Markov models preserve the type I error and adequate power is achieved with modest sample sizes for panel data with limited non-adjacent state transitions.

  19. Optimisation of Hidden Markov Model using Baum–Welch algorithm

    Indian Academy of Sciences (India)

    Home; Journals; Journal of Earth System Science; Volume 126; Issue 1. Optimisation of Hidden Markov Model using Baum–Welch algorithm for prediction of maximum and minimum temperature over Indian Himalaya. J C Joshi Tankeshwar Kumar Sunita Srivastava Divya Sachdeva. Volume 126 Issue 1 February 2017 ...

  20. biomvRhsmm: Genomic Segmentation with Hidden Semi-Markov Model

    Directory of Open Access Journals (Sweden)

    Yang Du

    2014-01-01

    Full Text Available High-throughput technologies like tiling array and next-generation sequencing (NGS generate continuous homogeneous segments or signal peaks in the genome that represent transcripts and transcript variants (transcript mapping and quantification, regions of deletion and amplification (copy number variation, or regions characterized by particular common features like chromatin state or DNA methylation ratio (epigenetic modifications. However, the volume and output of data produced by these technologies present challenges in analysis. Here, a hidden semi-Markov model (HSMM is implemented and tailored to handle multiple genomic profile, to better facilitate genome annotation by assisting in the detection of transcripts, regulatory regions, and copy number variation by holistic microarray or NGS. With support for various data distributions, instead of limiting itself to one specific application, the proposed hidden semi-Markov model is designed to allow modeling options to accommodate different types of genomic data and to serve as a general segmentation engine. By incorporating genomic positions into the sojourn distribution of HSMM, with optional prior learning using annotation or previous studies, the modeling output is more biologically sensible. The proposed model has been compared with several other state-of-the-art segmentation models through simulation benchmarking, which shows that our efficient implementation achieves comparable or better sensitivity and specificity in genomic segmentation.

  1. Learning Markov models for stationary system behaviors

    DEFF Research Database (Denmark)

    Chen, Yingke; Mao, Hua; Jaeger, Manfred

    2012-01-01

    to a single long observation sequence, and in these situations existing automatic learning methods cannot be applied. In this paper, we adapt algorithms for learning variable order Markov chains from a single observation sequence of a target system, so that stationary system properties can be verified using......Establishing an accurate model for formal verification of an existing hardware or software system is often a manual process that is both time consuming and resource demanding. In order to ease the model construction phase, methods have recently been proposed for automatically learning accurate...... the learned model. Experiments demonstrate that system properties (formulated as stationary probabilities of LTL formulas) can be reliably identified using the learned model....

  2. Markov-switching model for nonstationary runoff conditioned on El Nino information

    DEFF Research Database (Denmark)

    Gelati, Emiliano; Madsen, H.; Rosbjerg, Dan

    2010-01-01

    We define a Markov-modulated autoregressive model with exogenous input (MARX) to generate runoff scenarios using climatic information. Runoff parameterization is assumed to be conditioned on a hidden climate state following a Markov chain, where state transition probabilities are functions...... of the climatic input. MARX allows stochastic modeling of nonstationary runoff, as runoff anomalies are described by a mixture of autoregressive models with exogenous input, each one corresponding to a climate state. We apply MARX to inflow time series of the Daule Peripa reservoir (Ecuador). El Nino Southern...... Oscillation (ENSO) information is used to condition runoff parameterization. Among the investigated ENSO indexes, the NINO 1+2 sea surface temperature anomalies and the trans-Nino index perform best as predictors. In the perspective of reservoir optimization at various time scales, MARX produces realistic...

  3. Process Modeling for Energy Usage in “Smart House” System with a Help of Markov Discrete Chain

    Directory of Open Access Journals (Sweden)

    Victor Kravets

    2016-05-01

    Full Text Available Method for evaluating economic efficiency of technical systems using discrete Markov chains modelling illustrated by the system of “Smart house”, consisting, for example, of the three independently functioning elements. Dynamic model of a random power consumption process in the form of a symmetrical state graph of heterogeneous discrete Markov chain is built. The corresponding mathematical model of a random Markov process of power consumption in the “smart house” system in recurrent matrix form is being developed. Technique of statistical determination of probability of random transition elements of the system and the corresponding to the transition probability matrix of the discrete inhomogeneous Markov chain are developed. Statistically determined random transitions of system elements power consumption and the corresponding distribution laws are introduced. The matrix of transition prices, expectations for the possible states of a system price transition and, eventually, the cost of Markov process of power consumption throughout the day.

  4. Bridge Deterioration Prediction Model Based On Hybrid Markov-System Dynamic

    Directory of Open Access Journals (Sweden)

    Widodo Soetjipto Jojok

    2017-01-01

    Full Text Available Instantaneous bridge failure tends to increase in Indonesia. To mitigate this condition, Indonesia’s Bridge Management System (I-BMS has been applied to continuously monitor the condition of bridges. However, I-BMS only implements visual inspection for maintenance priority of the bridge structure component instead of bridge structure system. This paper proposes a new bridge failure prediction model based on hybrid Markov-System Dynamic (MSD. System dynamic is used to represent the correlation among bridge structure components while Markov chain is used to calculate temporal probability of the bridge failure. Around 235 data of bridges in Indonesia were collected from Directorate of Bridge the Ministry of Public Works and Housing for calculating transition probability of the model. To validate the model, a medium span concrete bridge was used as a case study. The result shows that the proposed model can accurately predict the bridge condition. Besides predicting the probability of the bridge failure, this model can also be used as an early warning system for bridge monitoring activity.

  5. a multi-period markov model for monthly rainfall in lagos, nigeria

    African Journals Online (AJOL)

    PUBLICATIONS1

    A twelve-period. Markov model has been developed for the monthly rainfall data for Lagos, along the coast of .... autoregressive process to model river flow; Deo et al. (2015) utilized an ...... quences for the analysis of river basins by simulation.

  6. Learning Markov Decision Processes for Model Checking

    DEFF Research Database (Denmark)

    Mao, Hua; Chen, Yingke; Jaeger, Manfred

    2012-01-01

    . The proposed learning algorithm is adapted from algorithms for learning deterministic probabilistic finite automata, and extended to include both probabilistic and nondeterministic transitions. The algorithm is empirically analyzed and evaluated by learning system models of slot machines. The evaluation......Constructing an accurate system model for formal model verification can be both resource demanding and time-consuming. To alleviate this shortcoming, algorithms have been proposed for automatically learning system models based on observed system behaviors. In this paper we extend the algorithm...... on learning probabilistic automata to reactive systems, where the observed system behavior is in the form of alternating sequences of inputs and outputs. We propose an algorithm for automatically learning a deterministic labeled Markov decision process model from the observed behavior of a reactive system...

  7. Multivariate Markov chain modeling for stock markets

    Science.gov (United States)

    Maskawa, Jun-ichi

    2003-06-01

    We study a multivariate Markov chain model as a stochastic model of the price changes of portfolios in the framework of the mean field approximation. The time series of price changes are coded into the sequences of up and down spins according to their signs. We start with the discussion for small portfolios consisting of two stock issues. The generalization of our model to arbitrary size of portfolio is constructed by a recurrence relation. The resultant form of the joint probability of the stationary state coincides with Gibbs measure assigned to each configuration of spin glass model. Through the analysis of actual portfolios, it has been shown that the synchronization of the direction of the price changes is well described by the model.

  8. Hidden Markov latent variable models with multivariate longitudinal data.

    Science.gov (United States)

    Song, Xinyuan; Xia, Yemao; Zhu, Hongtu

    2017-03-01

    Cocaine addiction is chronic and persistent, and has become a major social and health problem in many countries. Existing studies have shown that cocaine addicts often undergo episodic periods of addiction to, moderate dependence on, or swearing off cocaine. Given its reversible feature, cocaine use can be formulated as a stochastic process that transits from one state to another, while the impacts of various factors, such as treatment received and individuals' psychological problems on cocaine use, may vary across states. This article develops a hidden Markov latent variable model to study multivariate longitudinal data concerning cocaine use from a California Civil Addict Program. The proposed model generalizes conventional latent variable models to allow bidirectional transition between cocaine-addiction states and conventional hidden Markov models to allow latent variables and their dynamic interrelationship. We develop a maximum-likelihood approach, along with a Monte Carlo expectation conditional maximization (MCECM) algorithm, to conduct parameter estimation. The asymptotic properties of the parameter estimates and statistics for testing the heterogeneity of model parameters are investigated. The finite sample performance of the proposed methodology is demonstrated by simulation studies. The application to cocaine use study provides insights into the prevention of cocaine use. © 2016, The International Biometric Society.

  9. Confluence reduction for Markov automata

    NARCIS (Netherlands)

    Timmer, Mark; Katoen, Joost P.; van de Pol, Jaco; Stoelinga, Mariëlle Ida Antoinette

    2016-01-01

    Markov automata are a novel formalism for specifying systems exhibiting nondeterminism, probabilistic choices and Markovian rates. As expected, the state space explosion threatens the analysability of these models. We therefore introduce confluence reduction for Markov automata, a powerful reduction

  10. Optimal Number of States in Hidden Markov Models and its ...

    African Journals Online (AJOL)

    In this paper, Hidden Markov Model is applied to model human movements as to facilitate an automatic detection of the same. A number of activities were simulated with the help of two persons. The four movements considered are walking, sitting down-getting up, fall while walking and fall while standing. The data is ...

  11. Detecting memory and structure in human navigation patterns using Markov chain models of varying order.

    Science.gov (United States)

    Singer, Philipp; Helic, Denis; Taraghi, Behnam; Strohmaier, Markus

    2014-01-01

    One of the most frequently used models for understanding human navigation on the Web is the Markov chain model, where Web pages are represented as states and hyperlinks as probabilities of navigating from one page to another. Predominantly, human navigation on the Web has been thought to satisfy the memoryless Markov property stating that the next page a user visits only depends on her current page and not on previously visited ones. This idea has found its way in numerous applications such as Google's PageRank algorithm and others. Recently, new studies suggested that human navigation may better be modeled using higher order Markov chain models, i.e., the next page depends on a longer history of past clicks. Yet, this finding is preliminary and does not account for the higher complexity of higher order Markov chain models which is why the memoryless model is still widely used. In this work we thoroughly present a diverse array of advanced inference methods for determining the appropriate Markov chain order. We highlight strengths and weaknesses of each method and apply them for investigating memory and structure of human navigation on the Web. Our experiments reveal that the complexity of higher order models grows faster than their utility, and thus we confirm that the memoryless model represents a quite practical model for human navigation on a page level. However, when we expand our analysis to a topical level, where we abstract away from specific page transitions to transitions between topics, we find that the memoryless assumption is violated and specific regularities can be observed. We report results from experiments with two types of navigational datasets (goal-oriented vs. free form) and observe interesting structural differences that make a strong argument for more contextual studies of human navigation in future work.

  12. Detecting memory and structure in human navigation patterns using Markov chain models of varying order.

    Directory of Open Access Journals (Sweden)

    Philipp Singer

    Full Text Available One of the most frequently used models for understanding human navigation on the Web is the Markov chain model, where Web pages are represented as states and hyperlinks as probabilities of navigating from one page to another. Predominantly, human navigation on the Web has been thought to satisfy the memoryless Markov property stating that the next page a user visits only depends on her current page and not on previously visited ones. This idea has found its way in numerous applications such as Google's PageRank algorithm and others. Recently, new studies suggested that human navigation may better be modeled using higher order Markov chain models, i.e., the next page depends on a longer history of past clicks. Yet, this finding is preliminary and does not account for the higher complexity of higher order Markov chain models which is why the memoryless model is still widely used. In this work we thoroughly present a diverse array of advanced inference methods for determining the appropriate Markov chain order. We highlight strengths and weaknesses of each method and apply them for investigating memory and structure of human navigation on the Web. Our experiments reveal that the complexity of higher order models grows faster than their utility, and thus we confirm that the memoryless model represents a quite practical model for human navigation on a page level. However, when we expand our analysis to a topical level, where we abstract away from specific page transitions to transitions between topics, we find that the memoryless assumption is violated and specific regularities can be observed. We report results from experiments with two types of navigational datasets (goal-oriented vs. free form and observe interesting structural differences that make a strong argument for more contextual studies of human navigation in future work.

  13. Markov modeling for the neurosurgeon: a review of the literature and an introduction to cost-effectiveness research.

    Science.gov (United States)

    Wali, Arvin R; Brandel, Michael G; Santiago-Dieppa, David R; Rennert, Robert C; Steinberg, Jeffrey A; Hirshman, Brian R; Murphy, James D; Khalessi, Alexander A

    2018-05-01

    OBJECTIVE Markov modeling is a clinical research technique that allows competing medical strategies to be mathematically assessed in order to identify the optimal allocation of health care resources. The authors present a review of the recently published neurosurgical literature that employs Markov modeling and provide a conceptual framework with which to evaluate, critique, and apply the findings generated from health economics research. METHODS The PubMed online database was searched to identify neurosurgical literature published from January 2010 to December 2017 that had utilized Markov modeling for neurosurgical cost-effectiveness studies. Included articles were then assessed with regard to year of publication, subspecialty of neurosurgery, decision analytical techniques utilized, and source information for model inputs. RESULTS A total of 55 articles utilizing Markov models were identified across a broad range of neurosurgical subspecialties. Sixty-five percent of the papers were published within the past 3 years alone. The majority of models derived health transition probabilities, health utilities, and cost information from previously published studies or publicly available information. Only 62% of the studies incorporated indirect costs. Ninety-three percent of the studies performed a 1-way or 2-way sensitivity analysis, and 67% performed a probabilistic sensitivity analysis. A review of the conceptual framework of Markov modeling and an explanation of the different terminology and methodology are provided. CONCLUSIONS As neurosurgeons continue to innovate and identify novel treatment strategies for patients, Markov modeling will allow for better characterization of the impact of these interventions on a patient and societal level. The aim of this work is to equip the neurosurgical readership with the tools to better understand, critique, and apply findings produced from cost-effectiveness research.

  14. PELACAKAN DAN PENGENALAN WAJAH MENGGUNAKAN METODE EMBEDDED HIDDEN MARKOV MODELS

    Directory of Open Access Journals (Sweden)

    Arie Wirawan Margono

    2004-01-01

    Full Text Available Tracking and recognizing human face becomes one of the important research subjects nowadays, where it is applicable in security system like room access, surveillance, as well as searching for person identity in police database. Because of applying in security case, it is necessary to have robust system for certain conditions such as: background influence, non-frontal face pose of male or female in different age and race. The aim of this research is to develop software which combines human face tracking using CamShift algorithm and face recognition system using Embedded Hidden Markov Models. The software uses video camera (webcam for real-time input, video AVI for dynamic input, and image file for static input. The software uses Object Oriented Programming (OOP coding style with C++ programming language, Microsoft Visual C++ 6.0® compiler, and assisted by some libraries of Intel Image Processing Library (IPL and Intel Open Source Computer Vision (OpenCV. System testing shows that object tracking based on skin complexion using CamShift algorithm comes out well, for tracking of single or even two face objects at once. Human face recognition system using Embedded Hidden Markov Models method has reach accuracy percentage of 82.76%, using 341 human faces in database that consists of 31 individuals with 11 poses and 29 human face testers. Abstract in Bahasa Indonesia : Pelacakan dan pengenalan wajah manusia merupakan salah satu bidang yang cukup berkembang dewasa ini, dimana aplikasi dapat diterapkan dalam bidang keamanan (security system seperti ijin akses masuk ruangan, pengawasan lokasi (surveillance, maupun pencarian identitas individu pada database kepolisian. Karena diterapkan dalam kasus keamanan, dibutuhkan sistem yang handal terhadap beberapa kondisi, seperti: pengaruh latar belakang, pose wajah non-frontal terhadap pria maupun wanita dalam perbedaan usia dan ras. Tujuan penelitiam ini adalah untuk membuat perangkat lunak yang menggabungkan

  15. A sow replacement model using Bayesian updating in a three-level hierarchic Markov process. I. Biological model

    DEFF Research Database (Denmark)

    Kristensen, Anders Ringgaard; Søllested, Thomas Algot

    2004-01-01

    that really uses all these methodological improvements. In this paper, the biological model describing the performance and feed intake of sows is presented. In particular, estimation of herd specific parameters is emphasized. The optimization model is described in a subsequent paper......Several replacement models have been presented in literature. In other applicational areas like dairy cow replacement, various methodological improvements like hierarchical Markov processes and Bayesian updating have been implemented, but not in sow models. Furthermore, there are methodological...... improvements like multi-level hierarchical Markov processes with decisions on multiple time scales, efficient methods for parameter estimations at herd level and standard software that has been hardly implemented at all in any replacement model. The aim of this study is to present a sow replacement model...

  16. Simulation of daily rainfall through markov chain modeling

    International Nuclear Information System (INIS)

    Sadiq, N.

    2015-01-01

    Being an agricultural country, the inhabitants of dry land in cultivated areas mainly rely on the daily rainfall for watering their fields. A stochastic model based on first order Markov Chain was developed to simulate daily rainfall data for Multan, D. I. Khan, Nawabshah, Chilas and Barkhan for the period 1981-2010. Transitional probability matrices of first order Markov Chain was utilized to generate the daily rainfall occurrence while gamma distribution was used to generate the daily rainfall amount. In order to achieve the parametric values of mentioned cities, method of moments is used to estimate the shape and scale parameters which lead to synthetic sequence generation as per gamma distribution. In this study, unconditional and conditional probabilities of wet and dry days in sum with means and standard deviations are considered as the essential parameters for the simulated stochastic generation of daily rainfalls. It has been found that the computerized synthetic rainfall series concurred pretty well with the actual observed rainfall series. (author)

  17. Markov chain modeling of evolution of strains in reinforced concrete flexural beams

    Directory of Open Access Journals (Sweden)

    Anoop, M. B.

    2012-09-01

    Full Text Available From the analysis of experimentally observed variations in surface strains with loading in reinforced concrete beams, it is noted that there is a need to consider the evolution of strains (with loading as a stochastic process. Use of Markov Chains for modeling stochastic evolution of strains with loading in reinforced concrete flexural beams is studied in this paper. A simple, yet practically useful, bi-level homogeneous Gaussian Markov Chain (BLHGMC model is proposed for determining the state of strain in reinforced concrete beams. The BLHGMC model will be useful for predicting behavior/response of reinforced concrete beams leading to more rational design.A través del análisis de la evolución de la deformación superficial observada experimentalmente en vigas de hormigón armado al entrar en carga, se constata que dicho proceso debe considerarse estocástico. En este trabajo se estudia la utilización de cadenas de Markov para modelizar la evolución estocástica de la deformación de vigas flexotraccionadas. Se propone, para establecer el estado de deformación de estas, un modelo con distribución gaussiana tipo cadena de Markov homogénea de dos niveles (BLHGMC por sus siglas en inglés, cuyo empleo resulta sencillo y práctico. Se comprueba la utilidad del modelo BLHGMC para prever el comportamiento de estos elementos, lo que determina a su vez una mayor racionalidad a la hora de su cálculo y diseño

  18. Markov Chain Models for Stochastic Behavior in Resonance Overlap Regions

    Science.gov (United States)

    McCarthy, Morgan; Quillen, Alice

    2018-01-01

    We aim to predict lifetimes of particles in chaotic zoneswhere resonances overlap. A continuous-time Markov chain model isconstructed using mean motion resonance libration timescales toestimate transition times between resonances. The model is applied todiffusion in the co-rotation region of a planet. For particles begunat low eccentricity, the model is effective for early diffusion, butnot at later time when particles experience close encounters to the planet.

  19. Exact Sampling and Decoding in High-Order Hidden Markov Models

    NARCIS (Netherlands)

    Carter, S.; Dymetman, M.; Bouchard, G.

    2012-01-01

    We present a method for exact optimization and sampling from high order Hidden Markov Models (HMMs), which are generally handled by approximation techniques. Motivated by adaptive rejection sampling and heuristic search, we propose a strategy based on sequentially refining a lower-order language

  20. Diffusion maps, clustering and fuzzy Markov modeling in peptide folding transitions

    International Nuclear Information System (INIS)

    Nedialkova, Lilia V.; Amat, Miguel A.; Kevrekidis, Ioannis G.; Hummer, Gerhard

    2014-01-01

    Using the helix-coil transitions of alanine pentapeptide as an illustrative example, we demonstrate the use of diffusion maps in the analysis of molecular dynamics simulation trajectories. Diffusion maps and other nonlinear data-mining techniques provide powerful tools to visualize the distribution of structures in conformation space. The resulting low-dimensional representations help in partitioning conformation space, and in constructing Markov state models that capture the conformational dynamics. In an initial step, we use diffusion maps to reduce the dimensionality of the conformational dynamics of Ala5. The resulting pretreated data are then used in a clustering step. The identified clusters show excellent overlap with clusters obtained previously by using the backbone dihedral angles as input, with small—but nontrivial—differences reflecting torsional degrees of freedom ignored in the earlier approach. We then construct a Markov state model describing the conformational dynamics in terms of a discrete-time random walk between the clusters. We show that by combining fuzzy C-means clustering with a transition-based assignment of states, we can construct robust Markov state models. This state-assignment procedure suppresses short-time memory effects that result from the non-Markovianity of the dynamics projected onto the space of clusters. In a comparison with previous work, we demonstrate how manifold learning techniques may complement and enhance informed intuition commonly used to construct reduced descriptions of the dynamics in molecular conformation space

  1. Diffusion maps, clustering and fuzzy Markov modeling in peptide folding transitions

    Energy Technology Data Exchange (ETDEWEB)

    Nedialkova, Lilia V.; Amat, Miguel A. [Department of Chemical and Biological Engineering, Princeton University, Princeton, New Jersey 08544 (United States); Kevrekidis, Ioannis G., E-mail: yannis@princeton.edu, E-mail: gerhard.hummer@biophys.mpg.de [Department of Chemical and Biological Engineering and Program in Applied and Computational Mathematics, Princeton University, Princeton, New Jersey 08544 (United States); Hummer, Gerhard, E-mail: yannis@princeton.edu, E-mail: gerhard.hummer@biophys.mpg.de [Department of Theoretical Biophysics, Max Planck Institute of Biophysics, Max-von-Laue-Str. 3, 60438 Frankfurt am Main (Germany)

    2014-09-21

    Using the helix-coil transitions of alanine pentapeptide as an illustrative example, we demonstrate the use of diffusion maps in the analysis of molecular dynamics simulation trajectories. Diffusion maps and other nonlinear data-mining techniques provide powerful tools to visualize the distribution of structures in conformation space. The resulting low-dimensional representations help in partitioning conformation space, and in constructing Markov state models that capture the conformational dynamics. In an initial step, we use diffusion maps to reduce the dimensionality of the conformational dynamics of Ala5. The resulting pretreated data are then used in a clustering step. The identified clusters show excellent overlap with clusters obtained previously by using the backbone dihedral angles as input, with small—but nontrivial—differences reflecting torsional degrees of freedom ignored in the earlier approach. We then construct a Markov state model describing the conformational dynamics in terms of a discrete-time random walk between the clusters. We show that by combining fuzzy C-means clustering with a transition-based assignment of states, we can construct robust Markov state models. This state-assignment procedure suppresses short-time memory effects that result from the non-Markovianity of the dynamics projected onto the space of clusters. In a comparison with previous work, we demonstrate how manifold learning techniques may complement and enhance informed intuition commonly used to construct reduced descriptions of the dynamics in molecular conformation space.

  2. 2nd International Symposium on Semi-Markov Models : Theory and Applications

    CERN Document Server

    Limnios, Nikolaos

    1999-01-01

    This book presents a selection of papers presented to the Second Inter­ national Symposium on Semi-Markov Models: Theory and Applications held in Compiegne (France) in December 1998. This international meeting had the same aim as the first one held in Brussels in 1984 : to make, fourteen years later, the state of the art in the field of semi-Markov processes and their applications, bring together researchers in this field and also to stimulate fruitful discussions. The set of the subjects of the papers presented in Compiegne has a lot of similarities with the preceding Symposium; this shows that the main fields of semi-Markov processes are now well established particularly for basic applications in Reliability and Maintenance, Biomedicine, Queue­ ing, Control processes and production. A growing field is the one of insurance and finance but this is not really a surprising fact as the problem of pricing derivative products represents now a crucial problem in economics and finance. For example, stochastic mode...

  3. Modeling of IP scanning activities with Hidden Markov Models: Darknet case study

    OpenAIRE

    De Santis , Giulia; Lahmadi , Abdelkader; Francois , Jerome; Festor , Olivier

    2016-01-01

    International audience; We propose a methodology based on Hidden Markov Models (HMMs) to model scanning activities monitored by a darknet. The HMMs of scanning activities are built on the basis of the number of scanned IP addresses within a time window and fitted using mixtures of Poisson distributions. Our methodology is applied on real data traces collected from a darknet and generated by two large scale scanners, ZMap and Shodan. We demonstrated that the built models are able to characteri...

  4. Book Review: "Hidden Markov Models for Time Series: An ...

    African Journals Online (AJOL)

    Hidden Markov Models for Time Series: An Introduction using R. by Walter Zucchini and Iain L. MacDonald. Chapman & Hall (CRC Press), 2009. Full Text: EMAIL FULL TEXT EMAIL FULL TEXT · DOWNLOAD FULL TEXT DOWNLOAD FULL TEXT · http://dx.doi.org/10.4314/saaj.v10i1.61717 · AJOL African Journals Online.

  5. Stability Analysis of Networked Control Systems with Random Time Delays and Packet Dropouts Modeled by Markov Chains

    Directory of Open Access Journals (Sweden)

    Li Qiu

    2013-01-01

    unified Markov jump model. The random time delays and packet dropouts existed in feedback communication link are modeled by two independent Markov chains; the resulting closed-loop system is described by a new Markovian jump linear system (MJLS with Markov delays. Sufficient conditions of the stochastic stability for NCSs is obtained by constructing a novel Lyapunov functional, and the mode-dependent output feedback controller design method is presented based on linear matrix inequality (LMI technique. A numerical example is given to illustrate the effectiveness of the proposed method.

  6. Cost Effective Community Based Dementia Screening: A Markov Model Simulation

    Directory of Open Access Journals (Sweden)

    Erin Saito

    2014-01-01

    Full Text Available Background. Given the dementia epidemic and the increasing cost of healthcare, there is a need to assess the economic benefit of community based dementia screening programs. Materials and Methods. Markov model simulations were generated using data obtained from a community based dementia screening program over a one-year period. The models simulated yearly costs of caring for patients based on clinical transitions beginning in pre dementia and extending for 10 years. Results. A total of 93 individuals (74 female, 19 male were screened for dementia and 12 meeting clinical criteria for either mild cognitive impairment (n=7 or dementia (n=5 were identified. Assuming early therapeutic intervention beginning during the year of dementia detection, Markov model simulations demonstrated 9.8% reduction in cost of dementia care over a ten-year simulation period, primarily through increased duration in mild stages and reduced time in more costly moderate and severe stages. Discussion. Community based dementia screening can reduce healthcare costs associated with caring for demented individuals through earlier detection and treatment, resulting in proportionately reduced time in more costly advanced stages.

  7. Invited commentary: Lost in estimation--searching for alternatives to markov chains to fit complex Bayesian models.

    Science.gov (United States)

    Molitor, John

    2012-03-01

    Bayesian methods have seen an increase in popularity in a wide variety of scientific fields, including epidemiology. One of the main reasons for their widespread application is the power of the Markov chain Monte Carlo (MCMC) techniques generally used to fit these models. As a result, researchers often implicitly associate Bayesian models with MCMC estimation procedures. However, Bayesian models do not always require Markov-chain-based methods for parameter estimation. This is important, as MCMC estimation methods, while generally quite powerful, are complex and computationally expensive and suffer from convergence problems related to the manner in which they generate correlated samples used to estimate probability distributions for parameters of interest. In this issue of the Journal, Cole et al. (Am J Epidemiol. 2012;175(5):368-375) present an interesting paper that discusses non-Markov-chain-based approaches to fitting Bayesian models. These methods, though limited, can overcome some of the problems associated with MCMC techniques and promise to provide simpler approaches to fitting Bayesian models. Applied researchers will find these estimation approaches intuitively appealing and will gain a deeper understanding of Bayesian models through their use. However, readers should be aware that other non-Markov-chain-based methods are currently in active development and have been widely published in other fields.

  8. 438 Optimal Number of States in Hidden Markov Models and its ...

    African Journals Online (AJOL)

    In this paper, Hidden Markov Model is applied to model human movements as to .... emit either discrete information or a continuous data derived from a Probability .... For each hidden state in the test set, the probability = ... by applying the Kullback-Leibler distance (Juang & Rabiner, 1985) which ..... One Size Does Not Fit.

  9. Hidden markov model for the prediction of transmembrane proteins using MATLAB.

    Science.gov (United States)

    Chaturvedi, Navaneet; Shanker, Sudhanshu; Singh, Vinay Kumar; Sinha, Dhiraj; Pandey, Paras Nath

    2011-01-01

    Since membranous proteins play a key role in drug targeting therefore transmembrane proteins prediction is active and challenging area of biological sciences. Location based prediction of transmembrane proteins are significant for functional annotation of protein sequences. Hidden markov model based method was widely applied for transmembrane topology prediction. Here we have presented a revised and a better understanding model than an existing one for transmembrane protein prediction. Scripting on MATLAB was built and compiled for parameter estimation of model and applied this model on amino acid sequence to know the transmembrane and its adjacent locations. Estimated model of transmembrane topology was based on TMHMM model architecture. Only 7 super states are defined in the given dataset, which were converted to 96 states on the basis of their length in sequence. Accuracy of the prediction of model was observed about 74 %, is a good enough in the area of transmembrane topology prediction. Therefore we have concluded the hidden markov model plays crucial role in transmembrane helices prediction on MATLAB platform and it could also be useful for drug discovery strategy. The database is available for free at bioinfonavneet@gmail.comvinaysingh@bhu.ac.in.

  10. Master equation for She-Leveque scaling and its classification in terms of other Markov models of developed turbulence

    Science.gov (United States)

    Nickelsen, Daniel

    2017-07-01

    The statistics of velocity increments in homogeneous and isotropic turbulence exhibit universal features in the limit of infinite Reynolds numbers. After Kolmogorov’s scaling law from 1941, many turbulence models aim for capturing these universal features, some are known to have an equivalent formulation in terms of Markov processes. We derive the Markov process equivalent to the particularly successful scaling law postulated by She and Leveque. The Markov process is a jump process for velocity increments u(r) in scale r in which the jumps occur randomly but with deterministic width in u. From its master equation we establish a prescription to simulate the She-Leveque process and compare it with Kolmogorov scaling. To put the She-Leveque process into the context of other established turbulence models on the Markov level, we derive a diffusion process for u(r) using two properties of the Navier-Stokes equation. This diffusion process already includes Kolmogorov scaling, extended self-similarity and a class of random cascade models. The fluctuation theorem of this Markov process implies a ‘second law’ that puts a loose bound on the multipliers of the random cascade models. This bound explicitly allows for instances of inverse cascades, which are necessary to satisfy the fluctuation theorem. By adding a jump process to the diffusion process, we go beyond Kolmogorov scaling and formulate the most general scaling law for the class of Markov processes having both diffusion and jump parts. This Markov scaling law includes She-Leveque scaling and a scaling law derived by Yakhot.

  11. ON THE ISSUE OF "MEMORY" MARKOV MODEL OF DAMAGE ACCUMULATION

    Directory of Open Access Journals (Sweden)

    A. I. Lantuh-Lyaschenko

    2010-04-01

    Full Text Available This paper presents the application of a probabilistic approach for the modeling of service life of highway bridge elements. The focus of this paper is on the Markov stochastic deterioration models. These models can be used as effective tool for technical state assessments and prediction of residual resource of a structure. For the bridge maintenance purpose these models can give quantitative criteria of a reliability level, risk and prediction algorithms of the residual resource.

  12. rEMM: Extensible Markov Model for Data Stream Clustering in R

    Directory of Open Access Journals (Sweden)

    Michael Hahsler

    2010-10-01

    Full Text Available Clustering streams of continuously arriving data has become an important application of data mining in recent years and efficient algorithms have been proposed by several researchers. However, clustering alone neglects the fact that data in a data stream is not only characterized by the proximity of data points which is used by clustering, but also by a temporal component. The extensible Markov model (EMM adds the temporal component to data stream clustering by superimposing a dynamically adapting Markov chain. In this paper we introduce the implementation of the R extension package rEMM which implements EMM and we discuss some examples and applications.

  13. Pruning Boltzmann networks and hidden Markov models

    DEFF Research Database (Denmark)

    Pedersen, Morten With; Stork, D.

    1996-01-01

    We present sensitivity-based pruning algorithms for general Boltzmann networks. Central to our methods is the efficient calculation of a second-order approximation to the true weight saliencies in a cross-entropy error. Building upon previous work which shows a formal correspondence between linear...... Boltzmann chains and hidden Markov models (HMMs), we argue that our method can be applied to HMMs as well. We illustrate pruning on Boltzmann zippers, which are equivalent to two HMMs with cross-connection links. We verify that our second-order approximation preserves the rank ordering of weight saliencies...

  14. Genetic Algorithms Principles Towards Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Nabil M. Hewahi

    2011-10-01

    Full Text Available In this paper we propose a general approach based on Genetic Algorithms (GAs to evolve Hidden Markov Models (HMM. The problem appears when experts assign probability values for HMM, they use only some limited inputs. The assigned probability values might not be accurate to serve in other cases related to the same domain. We introduce an approach based on GAs to find
    out the suitable probability values for the HMM to be mostly correct in more cases than what have been used to assign the probability values.

  15. Optimizing Availability of a Framework in Series Configuration Utilizing Markov Model and Monte Carlo Simulation Techniques

    Directory of Open Access Journals (Sweden)

    Mansoor Ahmed Siddiqui

    2017-06-01

    Full Text Available This research work is aimed at optimizing the availability of a framework comprising of two units linked together in series configuration utilizing Markov Model and Monte Carlo (MC Simulation techniques. In this article, effort has been made to develop a maintenance model that incorporates three distinct states for each unit, while taking into account their different levels of deterioration. Calculations are carried out using the proposed model for two distinct cases of corrective repair, namely perfect and imperfect repairs, with as well as without opportunistic maintenance. Initially, results are accomplished using an analytical technique i.e., Markov Model. Validation of the results achieved is later carried out with the help of MC Simulation. In addition, MC Simulation based codes also work well for the frameworks that follow non-exponential failure and repair rates, and thus overcome the limitations offered by the Markov Model.

  16. Constructing Markov State Models to elucidate the functional conformational changes of complex biomolecules

    KAUST Repository

    Wang, Wei; Cao, Siqin; Zhu, Lizhe; Huang, Xuhui

    2017-01-01

    bioengineering applications and rational drug design. Constructing Markov State Models (MSMs) based on large-scale molecular dynamics simulations has emerged as a powerful approach to model functional conformational changes of the biomolecular system

  17. Inhomogeneous Markov point processes by transformation

    DEFF Research Database (Denmark)

    Jensen, Eva B. Vedel; Nielsen, Linda Stougaard

    2000-01-01

    We construct parametrized models for point processes, allowing for both inhomogeneity and interaction. The inhomogeneity is obtained by applying parametrized transformations to homogeneous Markov point processes. An interesting model class, which can be constructed by this transformation approach......, is that of exponential inhomogeneous Markov point processes. Statistical inference For such processes is discussed in some detail....

  18. Quadratic Variation by Markov Chains

    DEFF Research Database (Denmark)

    Hansen, Peter Reinhard; Horel, Guillaume

    We introduce a novel estimator of the quadratic variation that is based on the the- ory of Markov chains. The estimator is motivated by some general results concerning filtering contaminated semimartingales. Specifically, we show that filtering can in prin- ciple remove the effects of market...... microstructure noise in a general framework where little is assumed about the noise. For the practical implementation, we adopt the dis- crete Markov chain model that is well suited for the analysis of financial high-frequency prices. The Markov chain framework facilitates simple expressions and elegant analyti...

  19. Generalized Markov branching models

    OpenAIRE

    Li, Junping

    2005-01-01

    In this thesis, we first considered a modified Markov branching process incorporating both state-independent immigration and resurrection. After establishing the criteria for regularity and uniqueness, explicit expressions for the extinction probability and mean extinction time are presented. The criteria for recurrence and ergodicity are also established. In addition, an explicit expression for the equilibrium distribution is presented.\\ud \\ud We then moved on to investigate the basic proper...

  20. Bayesian clustering of DNA sequences using Markov chains and a stochastic partition model.

    Science.gov (United States)

    Jääskinen, Väinö; Parkkinen, Ville; Cheng, Lu; Corander, Jukka

    2014-02-01

    In many biological applications it is necessary to cluster DNA sequences into groups that represent underlying organismal units, such as named species or genera. In metagenomics this grouping needs typically to be achieved on the basis of relatively short sequences which contain different types of errors, making the use of a statistical modeling approach desirable. Here we introduce a novel method for this purpose by developing a stochastic partition model that clusters Markov chains of a given order. The model is based on a Dirichlet process prior and we use conjugate priors for the Markov chain parameters which enables an analytical expression for comparing the marginal likelihoods of any two partitions. To find a good candidate for the posterior mode in the partition space, we use a hybrid computational approach which combines the EM-algorithm with a greedy search. This is demonstrated to be faster and yield highly accurate results compared to earlier suggested clustering methods for the metagenomics application. Our model is fairly generic and could also be used for clustering of other types of sequence data for which Markov chains provide a reasonable way to compress information, as illustrated by experiments on shotgun sequence type data from an Escherichia coli strain.

  1. Basic problems and solution methods for two-dimensional continuous 3 × 3 order hidden Markov model

    International Nuclear Information System (INIS)

    Wang, Guo-gang; Tang, Gui-jin; Gan, Zong-liang; Cui, Zi-guan; Zhu, Xiu-chang

    2016-01-01

    A novel model referred to as two-dimensional continuous 3 × 3 order hidden Markov model is put forward to avoid the disadvantages of the classical hypothesis of two-dimensional continuous hidden Markov model. This paper presents three equivalent definitions of the model, in which the state transition probability relies on not only immediate horizontal and vertical states but also immediate diagonal state, and in which the probability density of the observation relies on not only current state but also immediate horizontal and vertical states. The paper focuses on the three basic problems of the model, namely probability density calculation, parameters estimation and path backtracking. Some algorithms solving the questions are theoretically derived, by exploiting the idea that the sequences of states on rows or columns of the model can be viewed as states of a one-dimensional continuous 1 × 2 order hidden Markov model. Simulation results further demonstrate the performance of the algorithms. Because there are more statistical characteristics in the structure of the proposed new model, it can more accurately describe some practical problems, as compared to two-dimensional continuous hidden Markov model.

  2. Reservoir Modeling Combining Geostatistics with Markov Chain Monte Carlo Inversion

    DEFF Research Database (Denmark)

    Zunino, Andrea; Lange, Katrine; Melnikova, Yulia

    2014-01-01

    We present a study on the inversion of seismic reflection data generated from a synthetic reservoir model. Our aim is to invert directly for rock facies and porosity of the target reservoir zone. We solve this inverse problem using a Markov chain Monte Carlo (McMC) method to handle the nonlinear...

  3. Development and validation of a Markov microsimulation model for the economic evaluation of treatments in osteoporosis.

    Science.gov (United States)

    Hiligsmann, Mickaël; Ethgen, Olivier; Bruyère, Olivier; Richy, Florent; Gathon, Henry-Jean; Reginster, Jean-Yves

    2009-01-01

    Markov models are increasingly used in economic evaluations of treatments for osteoporosis. Most of the existing evaluations are cohort-based Markov models missing comprehensive memory management and versatility. In this article, we describe and validate an original Markov microsimulation model to accurately assess the cost-effectiveness of prevention and treatment of osteoporosis. We developed a Markov microsimulation model with a lifetime horizon and a direct health-care cost perspective. The patient history was recorded and was used in calculations of transition probabilities, utilities, and costs. To test the internal consistency of the model, we carried out an example calculation for alendronate therapy. Then, external consistency was investigated by comparing absolute lifetime risk of fracture estimates with epidemiologic data. For women at age 70 years, with a twofold increase in the fracture risk of the average population, the costs per quality-adjusted life-year gained for alendronate therapy versus no treatment were estimated at €9105 and €15,325, respectively, under full and realistic adherence assumptions. All the sensitivity analyses in terms of model parameters and modeling assumptions were coherent with expected conclusions and absolute lifetime risk of fracture estimates were within the range of previous estimates, which confirmed both internal and external consistency of the model. Microsimulation models present some major advantages over cohort-based models, increasing the reliability of the results and being largely compatible with the existing state of the art, evidence-based literature. The developed model appears to be a valid model for use in economic evaluations in osteoporosis.

  4. Markov Networks in Evolutionary Computation

    CERN Document Server

    Shakya, Siddhartha

    2012-01-01

    Markov networks and other probabilistic graphical modes have recently received an upsurge in attention from Evolutionary computation community, particularly in the area of Estimation of distribution algorithms (EDAs).  EDAs have arisen as one of the most successful experiences in the application of machine learning methods in optimization, mainly due to their efficiency to solve complex real-world optimization problems and their suitability for theoretical analysis. This book focuses on the different steps involved in the conception, implementation and application of EDAs that use Markov networks, and undirected models in general. It can serve as a general introduction to EDAs but covers also an important current void in the study of these algorithms by explaining the specificities and benefits of modeling optimization problems by means of undirected probabilistic models. All major developments to date in the progressive introduction of Markov networks based EDAs are reviewed in the book. Hot current researc...

  5. Activity recognition using semi-Markov models on real world smart home datasets

    NARCIS (Netherlands)

    van Kasteren, T.L.M.; Englebienne, G.; Kröse, B.J.A.

    2010-01-01

    Accurately recognizing human activities from sensor data recorded in a smart home setting is a challenging task. Typically, probabilistic models such as the hidden Markov model (HMM) or conditional random fields (CRF) are used to map the observed sensor data onto the hidden activity states. A

  6. User's Manual MCnest - Markov Chain Nest Productivity Model Version 2.0

    Science.gov (United States)

    The Markov chain nest productivity model, or MCnest, is a set of algorithms for integrating the results of avian toxicity tests with reproductive life-history data to project the relative magnitude of chemical effects on avian reproduction. The mathematical foundation of MCnest i...

  7. A Novel Grey Prediction Model Combining Markov Chain with Functional-Link Net and Its Application to Foreign Tourist Forecasting

    Directory of Open Access Journals (Sweden)

    Yi-Chung Hu

    2017-10-01

    Full Text Available Grey prediction models for time series have been widely applied to demand forecasting because only limited data are required for them to build a time series model without any statistical assumptions. Previous studies have demonstrated that the combination of grey prediction with neural networks helps grey prediction perform better. Some methods have been presented to improve the prediction accuracy of the popular GM(1,1 model by using the Markov chain to estimate the residual needed to modify a predicted value. Compared to the previous Grey-Markov models, this study contributes to apply the functional-link net to estimate the degree to which a predicted value obtained from the GM(1,1 model can be adjusted. Furthermore, the troublesome number of states and their bounds that are not easily specified in Markov chain have been determined by a genetic algorithm. To verify prediction performance, the proposed grey prediction model was applied to an important grey system problem—foreign tourist forecasting. Experimental results show that the proposed model provides satisfactory results compared to the other Grey-Markov models considered.

  8. Analyzing Taiwan IC Assembly Industry by Grey-Markov Forecasting Model

    Directory of Open Access Journals (Sweden)

    Lei-Chuan Lin

    2013-01-01

    Full Text Available This study utilizes the black swan theorem to discuss how to face the lack of historical data and outliers. They may cause huge influences which make it impossible for people to predict the economy from their knowledge or experiences. Meanwhile, they cause the general dilemma of which prediction tool to be used which is also considered in this study. For the reason above, this study uses 2009 Q1 to 2010 Q4 quarterly revenue trend of Taiwan’s semiconductor packaging and testing industry under the global financial turmoil as basis and the grey prediction method to deal with nonlinear problems and small data. Under the lack of information and economic drastic changes, this study applies Markov model to predict the industry revenues of GM(1,1 and DGM(1,1 results. The results show that the accuracy of 2010 Q1–Q3 is 88.37%, 90.27%, sand 91.13%, respectively. Besides, they are better than the results of GM(1,1 and DGM(1,1 which are 86.51%, 77.35%, 75.46% and 73.77%, 74.25%, 59.72%. The results show that the prediction ability of the grey prediction with Markov model is better than traditional GM(1,1 and DGM(1,1 sfacing the changes of financial crisis. The results also prove that the grey-Markov chain prediction can be the perfect criterion for decision-makers judgment even when the environment has undergone drastic changes which bring the impact of unpredictable conditions.

  9. Hidden Markov modelling of movement data from fish

    DEFF Research Database (Denmark)

    Pedersen, Martin Wæver

    Movement data from marine animals tagged with electronic tags are becoming increasingly diverse and plentiful. This trend entails a need for statistical methods that are able to filter the observations to extract the ecologically relevant content. This dissertation focuses on the development...... the behaviour of the animal. With the extended model can migratory and resident movement behaviour be related to geographical regions. For population inference multiple individual state-space analyses can be interconnected using mixed effects modelling. This framework provides parameter estimates...... approximated. This furthermore enables accurate probability densities of location to be computed. Finally, the performance of the HMM approach in analysing nonlinear state space models is compared with two alternatives: the AD Model Builder framework and BUGS, which relies on Markov chain Monte Carlo...

  10. Logics and Models for Stochastic Analysis Beyond Markov Chains

    DEFF Research Database (Denmark)

    Zeng, Kebin

    , because of the generality of ME distributions, we have to leave the world of Markov chains. To support ME distributions with multiple exits, we introduce a multi-exits ME distribution together with a process algebra MEME to express the systems having the semantics as Markov renewal processes with ME...

  11. Generalized Boolean logic Driven Markov Processes: A powerful modeling framework for Model-Based Safety Analysis of dynamic repairable and reconfigurable systems

    International Nuclear Information System (INIS)

    Piriou, Pierre-Yves; Faure, Jean-Marc; Lesage, Jean-Jacques

    2017-01-01

    This paper presents a modeling framework that permits to describe in an integrated manner the structure of the critical system to analyze, by using an enriched fault tree, the dysfunctional behavior of its components, by means of Markov processes, and the reconfiguration strategies that have been planned to ensure safety and availability, with Moore machines. This framework has been developed from BDMP (Boolean logic Driven Markov Processes), a previous framework for dynamic repairable systems. First, the contribution is motivated by pinpointing the limitations of BDMP to model complex reconfiguration strategies and the failures of the control of these strategies. The syntax and semantics of GBDMP (Generalized Boolean logic Driven Markov Processes) are then formally defined; in particular, an algorithm to analyze the dynamic behavior of a GBDMP model is developed. The modeling capabilities of this framework are illustrated on three representative examples. Last, qualitative and quantitative analysis of GDBMP models highlight the benefits of the approach.

  12. Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R

    DEFF Research Database (Denmark)

    O'Connell, Jarad Michael; Højsgaard, Søren

    2011-01-01

    models only allow a geometrically distributed sojourn time in a given state, while hidden semi-Markov models extend this by allowing an arbitrary sojourn distribution. We demonstrate the software with simulation examples and an application involving the modelling of the ovarian cycle of dairy cows...

  13. Estimation and asymptotic theory for transition probabilities in Markov Renewal Multi–state models

    NARCIS (Netherlands)

    Spitoni, C.; Verduijn, M.; Putter, H.

    2012-01-01

    In this paper we discuss estimation of transition probabilities for semi–Markov multi–state models. Non–parametric and semi–parametric estimators of the transition probabilities for a large class of models (forward going models) are proposed. Large sample theory is derived using the functional

  14. Development of Markov model of emergency diesel generator for dynamic reliability analysis

    Energy Technology Data Exchange (ETDEWEB)

    Jin, Young Ho; Choi, Sun Yeong; Yang, Joon Eon [Korea Atomic Energy Research Institute, Taejon (Korea)

    1999-02-01

    The EDG (Emergency Diesal Generator) of nuclear power plant is one of the most important equipments in mitigating accidents. The FT (Fault Tree) method is widely used to assess the reliability of safety systems like an EDG in nuclear power plant. This method, however, has limitations in modeling dynamic features of safety systems exactly. We, hence, have developed a Markov model to represent the stochastic process of dynamic systems whose states change as time moves on. The Markov model enables us to develop a dynamic reliability model of EDG. This model can represent all possible states of EDG comparing to the FRANTIC code developed by U.S. NRC for the reliability analysis of standby systems. to access the regulation policy for test interval, we performed two simulations based on the generic data and plant specific data of YGN 3, respectively by using the developed model. We also estimate the effects of various repair rates and the fractions of starting failures by demand shock to the reliability of EDG. And finally, Aging effect is analyzed. (author). 23 refs., 19 figs., 9 tabs.

  15. Assessing type I error and power of multistate Markov models for panel data-A simulation study

    OpenAIRE

    Cassarly, Christy; Martin, Renee’ H.; Chimowitz, Marc; Peña, Edsel A.; Ramakrishnan, Viswanathan; Palesch, Yuko Y.

    2016-01-01

    Ordinal outcomes collected at multiple follow-up visits are common in clinical trials. Sometimes, one visit is chosen for the primary analysis and the scale is dichotomized amounting to loss of information. Multistate Markov models describe how a process moves between states over time. Here, simulation studies are performed to investigate the type I error and power characteristics of multistate Markov models for panel data with limited non-adjacent state transitions. The results suggest that ...

  16. Entropies from Markov Models as Complexity Measures of Embedded Attractors

    Directory of Open Access Journals (Sweden)

    Julián D. Arias-Londoño

    2015-06-01

    Full Text Available This paper addresses the problem of measuring complexity from embedded attractors as a way to characterize changes in the dynamical behavior of different types of systems with a quasi-periodic behavior by observing their outputs. With the aim of measuring the stability of the trajectories of the attractor along time, this paper proposes three new estimations of entropy that are derived from a Markov model of the embedded attractor. The proposed estimators are compared with traditional nonparametric entropy measures, such as approximate entropy, sample entropy and fuzzy entropy, which only take into account the spatial dimension of the trajectory. The method proposes the use of an unsupervised algorithm to find the principal curve, which is considered as the “profile trajectory”, that will serve to adjust the Markov model. The new entropy measures are evaluated using three synthetic experiments and three datasets of physiological signals. In terms of consistency and discrimination capabilities, the results show that the proposed measures perform better than the other entropy measures used for comparison purposes.

  17. Irreversible Local Markov Chains with Rapid Convergence towards Equilibrium

    Science.gov (United States)

    Kapfer, Sebastian C.; Krauth, Werner

    2017-12-01

    We study the continuous one-dimensional hard-sphere model and present irreversible local Markov chains that mix on faster time scales than the reversible heat bath or Metropolis algorithms. The mixing time scales appear to fall into two distinct universality classes, both faster than for reversible local Markov chains. The event-chain algorithm, the infinitesimal limit of one of these Markov chains, belongs to the class presenting the fastest decay. For the lattice-gas limit of the hard-sphere model, reversible local Markov chains correspond to the symmetric simple exclusion process (SEP) with periodic boundary conditions. The two universality classes for irreversible Markov chains are realized by the totally asymmetric SEP (TASEP), and by a faster variant (lifted TASEP) that we propose here. We discuss how our irreversible hard-sphere Markov chains generalize to arbitrary repulsive pair interactions and carry over to higher dimensions through the concept of lifted Markov chains and the recently introduced factorized Metropolis acceptance rule.

  18. Estimation with Right-Censored Observations Under A Semi-Markov Model.

    Science.gov (United States)

    Zhao, Lihui; Hu, X Joan

    2013-06-01

    The semi-Markov process often provides a better framework than the classical Markov process for the analysis of events with multiple states. The purpose of this paper is twofold. First, we show that in the presence of right censoring, when the right end-point of the support of the censoring time is strictly less than the right end-point of the support of the semi-Markov kernel, the transition probability of the semi-Markov process is nonidentifiable, and the estimators proposed in the literature are inconsistent in general. We derive the set of all attainable values for the transition probability based on the censored data, and we propose a nonparametric inference procedure for the transition probability using this set. Second, the conventional approach to constructing confidence bands is not applicable for the semi-Markov kernel and the sojourn time distribution. We propose new perturbation resampling methods to construct these confidence bands. Different weights and transformations are explored in the construction. We use simulation to examine our proposals and illustrate them with hospitalization data from a recent cancer survivor study.

  19. A Correlated Random Effects Model for Non-homogeneous Markov Processes with Nonignorable Missingness.

    Science.gov (United States)

    Chen, Baojiang; Zhou, Xiao-Hua

    2013-05-01

    Life history data arising in clusters with prespecified assessment time points for patients often feature incomplete data since patients may choose to visit the clinic based on their needs. Markov process models provide a useful tool describing disease progression for life history data. The literature mainly focuses on time homogeneous process. In this paper we develop methods to deal with non-homogeneous Markov process with incomplete clustered life history data. A correlated random effects model is developed to deal with the nonignorable missingness, and a time transformation is employed to address the non-homogeneity in the transition model. Maximum likelihood estimate based on the Monte-Carlo EM algorithm is advocated for parameter estimation. Simulation studies demonstrate that the proposed method works well in many situations. We also apply this method to an Alzheimer's disease study.

  20. Extending Markov Automata with State and Action Rewards

    NARCIS (Netherlands)

    Guck, Dennis; Timmer, Mark; Blom, Stefan; Bertrand, N.; Bortolussi, L.

    This presentation introduces the Markov Reward Automaton (MRA), an extension of the Markov automaton that allows the modelling of systems incorporating rewards in addition to nondeterminism, discrete probabilistic choice and continuous stochastic timing. Our models support both rewards that are

  1. Characterization of prokaryotic and eukaryotic promoters usinghidden Markov models

    DEFF Research Database (Denmark)

    Pedersen, Anders Gorm; Baldi, Pierre; Brunak, Søren

    1996-01-01

    In this paper we utilize hidden Markov models (HMMs) and information theory to analyze prokaryotic and eukaryotic promoters. We perform this analysis with special emphasis on the fact that promoters are divided into a number of different classes, depending on which polymerase-associated factors...... that bind to them. We find that HMMs trained on such subclasses of Escherichia coli promoters (specifically, the so-called sigma-70 and sigma-54 classes) give an excellent classification of unknown promoters with respect to sigma-class. HMMs trained on eukaryotic sequences from human genes also model nicely...

  2. Fast sampling from a Hidden Markov Model posterior for large data

    DEFF Research Database (Denmark)

    Bonnevie, Rasmus; Hansen, Lars Kai

    2014-01-01

    Hidden Markov Models are of interest in a broad set of applications including modern data driven systems involving very large data sets. However, approximate inference methods based on Bayesian averaging are precluded in such applications as each sampling step requires a full sweep over the data...

  3. Markov models for digraph panel data : Monte Carlo-based derivative estimation

    NARCIS (Netherlands)

    Schweinberger, Michael; Snijders, Tom A. B.

    2007-01-01

    A parametric, continuous-time Markov model for digraph panel data is considered. The parameter is estimated by the method of moments. A convenient method for estimating the variance-covariance matrix of the moment estimator relies on the delta method, requiring the Jacobian matrix-that is, the

  4. Enhancement of Markov chain model by integrating exponential smoothing: A case study on Muslims marriage and divorce

    Science.gov (United States)

    Jamaluddin, Fadhilah; Rahim, Rahela Abdul

    2015-12-01

    Markov Chain has been introduced since the 1913 for the purpose of studying the flow of data for a consecutive number of years of the data and also forecasting. The important feature in Markov Chain is obtaining the accurate Transition Probability Matrix (TPM). However to obtain the suitable TPM is hard especially in involving long-term modeling due to unavailability of data. This paper aims to enhance the classical Markov Chain by introducing Exponential Smoothing technique in developing the appropriate TPM.

  5. Markov Chain Model with Catastrophe to Determine Mean Time to Default of Credit Risky Assets

    Science.gov (United States)

    Dharmaraja, Selvamuthu; Pasricha, Puneet; Tardelli, Paola

    2017-11-01

    This article deals with the problem of probabilistic prediction of the time distance to default for a firm. To model the credit risk, the dynamics of an asset is described as a function of a homogeneous discrete time Markov chain subject to a catastrophe, the default. The behaviour of the Markov chain is investigated and the mean time to the default is expressed in a closed form. The methodology to estimate the parameters is given. Numerical results are provided to illustrate the applicability of the proposed model on real data and their analysis is discussed.

  6. Epigenetic change detection and pattern recognition via Bayesian hierarchical hidden Markov models.

    Science.gov (United States)

    Wang, Xinlei; Zang, Miao; Xiao, Guanghua

    2013-06-15

    Epigenetics is the study of changes to the genome that can switch genes on or off and determine which proteins are transcribed without altering the DNA sequence. Recently, epigenetic changes have been linked to the development and progression of disease such as psychiatric disorders. High-throughput epigenetic experiments have enabled researchers to measure genome-wide epigenetic profiles and yield data consisting of intensity ratios of immunoprecipitation versus reference samples. The intensity ratios can provide a view of genomic regions where protein binding occur under one experimental condition and further allow us to detect epigenetic alterations through comparison between two different conditions. However, such experiments can be expensive, with only a few replicates available. Moreover, epigenetic data are often spatially correlated with high noise levels. In this paper, we develop a Bayesian hierarchical model, combined with hidden Markov processes with four states for modeling spatial dependence, to detect genomic sites with epigenetic changes from two-sample experiments with paired internal control. One attractive feature of the proposed method is that the four states of the hidden Markov process have well-defined biological meanings and allow us to directly call the change patterns based on the corresponding posterior probabilities. In contrast, none of existing methods can offer this advantage. In addition, the proposed method offers great power in statistical inference by spatial smoothing (via hidden Markov modeling) and information pooling (via hierarchical modeling). Both simulation studies and real data analysis in a cocaine addiction study illustrate the reliability and success of this method. Copyright © 2012 John Wiley & Sons, Ltd.

  7. Recursive smoothers for hidden discrete-time Markov chains

    Directory of Open Access Journals (Sweden)

    Lakhdar Aggoun

    2005-01-01

    Full Text Available We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by Elliott et al. (1995. We propose improved recursive formulae to update smoothed estimates of processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM algorithm.

  8. Decisive Markov Chains

    OpenAIRE

    Abdulla, Parosh Aziz; Henda, Noomene Ben; Mayr, Richard

    2007-01-01

    We consider qualitative and quantitative verification problems for infinite-state Markov chains. We call a Markov chain decisive w.r.t. a given set of target states F if it almost certainly eventually reaches either F or a state from which F can no longer be reached. While all finite Markov chains are trivially decisive (for every set F), this also holds for many classes of infinite Markov chains. Infinite Markov chains which contain a finite attractor are decisive w.r.t. every set F. In part...

  9. The Independence of Markov's Principle in Type Theory

    DEFF Research Database (Denmark)

    Coquand, Thierry; Mannaa, Bassel

    2017-01-01

    for the generic point of this model. Instead we design an extension of type theory, which intuitively extends type theory by the addition of a generic point of Cantor space. We then show the consistency of this extension by a normalization argument. Markov's principle does not hold in this extension......In this paper, we show that Markov's principle is not derivable in dependent type theory with natural numbers and one universe. One way to prove this would be to remark that Markov's principle does not hold in a sheaf model of type theory over Cantor space, since Markov's principle does not hold......, and it follows that it cannot be proved in type theory....

  10. Caveats on Bayesian and hidden-Markov models (v2.8)

    OpenAIRE

    Schomaker, Lambert

    2016-01-01

    This paper describes a number of fundamental and practical problems in the application of hidden-Markov models and Bayes when applied to cursive-script recognition. Several problems, however, will have an effect in other application areas. The most fundamental problem is the propagation of error in the product of probabilities. This is a common and pervasive problem which deserves more attention. On the basis of Monte Carlo modeling, tables for the expected relative error are given. It seems ...

  11. Hidden Semi-Markov Models for Predictive Maintenance

    Directory of Open Access Journals (Sweden)

    Francesco Cartella

    2015-01-01

    Full Text Available Realistic predictive maintenance approaches are essential for condition monitoring and predictive maintenance of industrial machines. In this work, we propose Hidden Semi-Markov Models (HSMMs with (i no constraints on the state duration density function and (ii being applied to continuous or discrete observation. To deal with such a type of HSMM, we also propose modifications to the learning, inference, and prediction algorithms. Finally, automatic model selection has been made possible using the Akaike Information Criterion. This paper describes the theoretical formalization of the model as well as several experiments performed on simulated and real data with the aim of methodology validation. In all performed experiments, the model is able to correctly estimate the current state and to effectively predict the time to a predefined event with a low overall average absolute error. As a consequence, its applicability to real world settings can be beneficial, especially where in real time the Remaining Useful Lifetime (RUL of the machine is calculated.

  12. Bearing Degradation Process Prediction Based on the Support Vector Machine and Markov Model

    Directory of Open Access Journals (Sweden)

    Shaojiang Dong

    2014-01-01

    Full Text Available Predicting the degradation process of bearings before they reach the failure threshold is extremely important in industry. This paper proposed a novel method based on the support vector machine (SVM and the Markov model to achieve this goal. Firstly, the features are extracted by time and time-frequency domain methods. However, the extracted original features are still with high dimensional and include superfluous information, and the nonlinear multifeatures fusion technique LTSA is used to merge the features and reduces the dimension. Then, based on the extracted features, the SVM model is used to predict the bearings degradation process, and the CAO method is used to determine the embedding dimension of the SVM model. After the bearing degradation process is predicted by SVM model, the Markov model is used to improve the prediction accuracy. The proposed method was validated by two bearing run-to-failure experiments, and the results proved the effectiveness of the methodology.

  13. Markov Chain-Based Stochastic Modeling of Chloride Ion Transport in Concrete Bridges

    Directory of Open Access Journals (Sweden)

    Yan Zhang

    2018-03-01

    Full Text Available Over the last decade, there has been an increasing interest in models for the evaluation and prediction of the condition of bridges in Canada due to their large number in an advanced state of deterioration. The models are used to develop optimal maintenance and replacement strategies to extend service life and optimally allocate financial and technical resources. The main process of deterioration of concrete bridges in Canada is corrosion of the reinforcing steel due to the widespread use of de-icing salts. In this article, numerical models of the diffusion process and chemical reactions of chloride ions in concrete are used to estimate the time to initiation of corrosion and for the progression of corrosion. The analyses are performed for a range of typical concrete properties, exposure and climatic conditions. The results from these simulations are used to develop parametric surrogate Markov chain models of increasing states of deterioration. The surrogate models are more efficient than physical models for the portfolio analysis of a large number of structures. The procedure provides an alternative to Markov models derived from condition ratings when historical inspection data is limited.

  14. Adjoint sensitivity analysis of dynamic reliability models based on Markov chains - I: Theory

    International Nuclear Information System (INIS)

    Cacuci, D. G.; Cacuci, D. G.; Ionescu-Bujor, M.

    2008-01-01

    The development of the adjoint sensitivity analysis procedure (ASAP) for generic dynamic reliability models based on Markov chains is presented, together with applications of this procedure to the analysis of several systems of increasing complexity. The general theory is presented in Part I of this work and is accompanied by a paradigm application to the dynamic reliability analysis of a simple binary component, namely a pump functioning on an 'up/down' cycle until it fails irreparably. This paradigm example admits a closed form analytical solution, which permits a clear illustration of the main characteristics of the ASAP for Markov chains. In particular, it is shown that the ASAP for Markov chains presents outstanding computational advantages over other procedures currently in use for sensitivity and uncertainty analysis of the dynamic reliability of large-scale systems. This conclusion is further underscored by the large-scale applications presented in Part II. (authors)

  15. Adjoint sensitivity analysis of dynamic reliability models based on Markov chains - I: Theory

    Energy Technology Data Exchange (ETDEWEB)

    Cacuci, D. G. [Commiss Energy Atom, Direct Energy Nucl, Saclay, (France); Cacuci, D. G. [Univ Karlsruhe, Inst Nucl Technol and Reactor Safety, D-76021 Karlsruhe, (Germany); Ionescu-Bujor, M. [Forschungszentrum Karlsruhe, Fus Program, D-76021 Karlsruhe, (Germany)

    2008-07-01

    The development of the adjoint sensitivity analysis procedure (ASAP) for generic dynamic reliability models based on Markov chains is presented, together with applications of this procedure to the analysis of several systems of increasing complexity. The general theory is presented in Part I of this work and is accompanied by a paradigm application to the dynamic reliability analysis of a simple binary component, namely a pump functioning on an 'up/down' cycle until it fails irreparably. This paradigm example admits a closed form analytical solution, which permits a clear illustration of the main characteristics of the ASAP for Markov chains. In particular, it is shown that the ASAP for Markov chains presents outstanding computational advantages over other procedures currently in use for sensitivity and uncertainty analysis of the dynamic reliability of large-scale systems. This conclusion is further underscored by the large-scale applications presented in Part II. (authors)

  16. Markov-modulated and feedback fluid queues

    NARCIS (Netherlands)

    Scheinhardt, Willem R.W.

    1998-01-01

    In the last twenty years the field of Markov-modulated fluid queues has received considerable attention. In these models a fluid reservoir receives and/or releases fluid at rates which depend on the actual state of a background Markov chain. In the first chapter of this thesis we give a short

  17. Markov modeling and reliability analysis of urea synthesis system of a fertilizer plant

    Science.gov (United States)

    Aggarwal, Anil Kr.; Kumar, Sanjeev; Singh, Vikram; Garg, Tarun Kr.

    2015-12-01

    This paper deals with the Markov modeling and reliability analysis of urea synthesis system of a fertilizer plant. This system was modeled using Markov birth-death process with the assumption that the failure and repair rates of each subsystem follow exponential distribution. The first-order Chapman-Kolmogorov differential equations are developed with the use of mnemonic rule and these equations are solved with Runga-Kutta fourth-order method. The long-run availability, reliability and mean time between failures are computed for various choices of failure and repair rates of subsystems of the system. The findings of the paper are discussed with the plant personnel to adopt and practice suitable maintenance policies/strategies to enhance the performance of the urea synthesis system of the fertilizer plant.

  18. STATISTICAL ANALYSIS OF NOTATIONAL AFL DATA USING CONTINUOUS TIME MARKOV CHAINS

    Directory of Open Access Journals (Sweden)

    Denny Meyer

    2006-12-01

    Full Text Available Animal biologists commonly use continuous time Markov chain models to describe patterns of animal behaviour. In this paper we consider the use of these models for describing AFL football. In particular we test the assumptions for continuous time Markov chain models (CTMCs, with time, distance and speed values associated with each transition. Using a simple event categorisation it is found that a semi-Markov chain model is appropriate for this data. This validates the use of Markov Chains for future studies in which the outcomes of AFL matches are simulated

  19. Stochastic model of milk homogenization process using Markov's chain

    Directory of Open Access Journals (Sweden)

    A. A. Khvostov

    2016-01-01

    Full Text Available The process of development of a mathematical model of the process of homogenization of dairy products is considered in the work. The theory of Markov's chains was used in the development of the mathematical model, Markov's chain with discrete states and continuous parameter for which the homogenisation pressure is taken, being the basis for the model structure. Machine realization of the model is implemented in the medium of structural modeling MathWorks Simulink™. Identification of the model parameters was carried out by minimizing the standard deviation calculated from the experimental data for each fraction of dairy products fat phase. As the set of experimental data processing results of the micrographic images of fat globules of whole milk samples distribution which were subjected to homogenization at different pressures were used. Pattern Search method was used as optimization method with the Latin Hypercube search algorithm from Global Optimization Тoolbox library. The accuracy of calculations averaged over all fractions of 0.88% (the relative share of units, the maximum relative error was 3.7% with the homogenization pressure of 30 MPa, which may be due to the very abrupt change in properties from the original milk in the particle size distribution at the beginning of the homogenization process and the lack of experimental data at homogenization pressures of below the specified value. The mathematical model proposed allows to calculate the profile of volume and mass distribution of the fat phase (fat globules in the product, depending on the homogenization pressure and can be used in the laboratory and research of dairy products composition, as well as in the calculation, design and modeling of the process equipment of the dairy industry enterprises.

  20. Metode Linear Predictive Coding (LPC Pada klasifikasi Hidden Markov Model (HMM Untuk Kata Arabic pada penutur Indonesia

    Directory of Open Access Journals (Sweden)

    Ririn Kusumawati

    2016-05-01

    In the classification, using Hidden Markov Model, voice signal is analyzed and searched the maximum possible value that can be recognized. The modeling results obtained parameters are used to compare with the sound of Arabic speakers. From the test results' Classification, Hidden Markov Models with Linear Predictive Coding extraction average accuracy of 78.6% for test data sampling frequency of 8,000 Hz, 80.2% for test data sampling frequency of 22050 Hz, 79% for frequencies sampling test data at 44100 Hz.

  1. Entropy, complexity, and Markov diagrams for random walk cancer models.

    Science.gov (United States)

    Newton, Paul K; Mason, Jeremy; Hurt, Brian; Bethel, Kelly; Bazhenova, Lyudmila; Nieva, Jorge; Kuhn, Peter

    2014-12-19

    The notion of entropy is used to compare the complexity associated with 12 common cancers based on metastatic tumor distribution autopsy data. We characterize power-law distributions, entropy, and Kullback-Liebler divergence associated with each primary cancer as compared with data for all cancer types aggregated. We then correlate entropy values with other measures of complexity associated with Markov chain dynamical systems models of progression. The Markov transition matrix associated with each cancer is associated with a directed graph model where nodes are anatomical locations where a metastatic tumor could develop, and edge weightings are transition probabilities of progression from site to site. The steady-state distribution corresponds to the autopsy data distribution. Entropy correlates well with the overall complexity of the reduced directed graph structure for each cancer and with a measure of systemic interconnectedness of the graph, called graph conductance. The models suggest that grouping cancers according to their entropy values, with skin, breast, kidney, and lung cancers being prototypical high entropy cancers, stomach, uterine, pancreatic and ovarian being mid-level entropy cancers, and colorectal, cervical, bladder, and prostate cancers being prototypical low entropy cancers, provides a potentially useful framework for viewing metastatic cancer in terms of predictability, complexity, and metastatic potential.

  2. Finite Markov processes and their applications

    CERN Document Server

    Iosifescu, Marius

    2007-01-01

    A self-contained treatment of finite Markov chains and processes, this text covers both theory and applications. Author Marius Iosifescu, vice president of the Romanian Academy and director of its Center for Mathematical Statistics, begins with a review of relevant aspects of probability theory and linear algebra. Experienced readers may start with the second chapter, a treatment of fundamental concepts of homogeneous finite Markov chain theory that offers examples of applicable models.The text advances to studies of two basic types of homogeneous finite Markov chains: absorbing and ergodic ch

  3. Confronting uncertainty in model-based geostatistics using Markov Chain Monte Carlo simulation

    NARCIS (Netherlands)

    Minasny, B.; Vrugt, J.A.; McBratney, A.B.

    2011-01-01

    This paper demonstrates for the first time the use of Markov Chain Monte Carlo (MCMC) simulation for parameter inference in model-based soil geostatistics. We implemented the recently developed DiffeRential Evolution Adaptive Metropolis (DREAM) algorithm to jointly summarize the posterior

  4. Hidden Markov models for zero-inflated Poisson counts with an application to substance use.

    Science.gov (United States)

    DeSantis, Stacia M; Bandyopadhyay, Dipankar

    2011-06-30

    Paradigms for substance abuse cue-reactivity research involve pharmacological or stressful stimulation designed to elicit stress and craving responses in cocaine-dependent subjects. It is unclear as to whether stress induced from participation in such studies increases drug-seeking behavior. We propose a 2-state Hidden Markov model to model the number of cocaine abuses per week before and after participation in a stress-and cue-reactivity study. The hypothesized latent state corresponds to 'high' or 'low' use. To account for a preponderance of zeros, we assume a zero-inflated Poisson model for the count data. Transition probabilities depend on the prior week's state, fixed demographic variables, and time-varying covariates. We adopt a Bayesian approach to model fitting, and use the conditional predictive ordinate statistic to demonstrate that the zero-inflated Poisson hidden Markov model outperforms other models for longitudinal count data. Copyright © 2011 John Wiley & Sons, Ltd.

  5. The application of a Grey Markov Model to forecasting annual maximum water levels at hydrological stations

    Science.gov (United States)

    Dong, Sheng; Chi, Kun; Zhang, Qiyi; Zhang, Xiangdong

    2012-03-01

    Compared with traditional real-time forecasting, this paper proposes a Grey Markov Model (GMM) to forecast the maximum water levels at hydrological stations in the estuary area. The GMM combines the Grey System and Markov theory into a higher precision model. The GMM takes advantage of the Grey System to predict the trend values and uses the Markov theory to forecast fluctuation values, and thus gives forecast results involving two aspects of information. The procedure for forecasting annul maximum water levels with the GMM contains five main steps: 1) establish the GM (1, 1) model based on the data series; 2) estimate the trend values; 3) establish a Markov Model based on relative error series; 4) modify the relative errors caused in step 2, and then obtain the relative errors of the second order estimation; 5) compare the results with measured data and estimate the accuracy. The historical water level records (from 1960 to 1992) at Yuqiao Hydrological Station in the estuary area of the Haihe River near Tianjin, China are utilized to calibrate and verify the proposed model according to the above steps. Every 25 years' data are regarded as a hydro-sequence. Eight groups of simulated results show reasonable agreement between the predicted values and the measured data. The GMM is also applied to the 10 other hydrological stations in the same estuary. The forecast results for all of the hydrological stations are good or acceptable. The feasibility and effectiveness of this new forecasting model have been proved in this paper.

  6. Prediction of inspection intervals using the Markov analysis; Prediccion de intervalos de inspeccion utilizando analisis de Markov

    Energy Technology Data Exchange (ETDEWEB)

    Rea, R.; Arellano, J. [IIE, Calle Reforma 113, Col. Palmira, Cuernavaca, Morelos (Mexico)]. e-mail: rrea@iie.org.mx

    2005-07-01

    To solve the unmanageable number of states of Markov of systems that have a great number of components, it is intends a modification to the method of Markov, denominated Markov truncated analysis, in which is assumed that it is worthless the dependence among faults of components. With it the number of states is increased in a lineal way (not exponential) with the number of components of the system, simplifying the analysis vastly. As example, the proposed method was applied to the system HPCS of the CLV considering its 18 main components. It thinks about that each component can take three states: operational, with hidden fault and with revealed fault. Additionally, it takes into account the configuration of the system HPCS by means of a block diagram of dependability to estimate their unavailability at level system. The results of the model here proposed are compared with other methods and approaches used to simplify the Markov analysis. It also intends the modification of the intervals of inspection of three components of the system HPCS. This finishes with base in the developed Markov model and in the maximum time allowed by the code ASME (NUREG-1482) to inspect components of systems that are in reservation in nuclear power plants. (Author)

  7. Composable Markov Building Blocks

    NARCIS (Netherlands)

    Evers, S.; Fokkinga, M.M.; Apers, Peter M.G.; Prade, H.; Subrahmanian, V.S.

    2007-01-01

    In situations where disjunct parts of the same process are described by their own first-order Markov models and only one model applies at a time (activity in one model coincides with non-activity in the other models), these models can be joined together into one. Under certain conditions, nearly all

  8. Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models

    NARCIS (Netherlands)

    Banachewicz, K.P.; Lucas, A.

    2008-01-01

    Recent models for credit risk management make use of hidden Markov models (HMMs). HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially misspecified. In this paper, we focus on

  9. Markov chain model helps predict pitting corrosion depth and rate in underground pipelines

    Energy Technology Data Exchange (ETDEWEB)

    Caleyo, F.; Velazquez, J.C.; Hallen, J. M. [ESIQIE, Instituto Politecnico Nacional, Mexico D. F. (Mexico); Esquivel-Amezcua, A. [PEMEX PEP Region Sur, Villahermosa, Tabasco (Mexico); Valor, A. [Universidad de la Habana, Vedado, La Habana (Cuba)

    2010-07-01

    Recent reports place pipeline corrosion costs in North America at seven billion dollars per year. Pitting corrosion causes the higher percentage of failures among other corrosion mechanisms. This has motivated multiple modelling studies to be focused on corrosion pitting of underground pipelines. In this study, a continuous-time, non-homogenous pure birth Markov chain serves to model external pitting corrosion in buried pipelines. The analytical solution of Kolmogorov's forward equations for this type of Markov process gives the transition probability function in a discrete space of pit depths. The transition probability function can be completely identified by making a correlation between the stochastic pit depth mean and the deterministic mean obtained experimentally. The model proposed in this study can be applied to pitting corrosion data from repeated in-line pipeline inspections. Case studies presented in this work show how pipeline inspection and maintenance planning can be improved by using the proposed Markovian model for pitting corrosion.

  10. Perspective: Markov models for long-timescale biomolecular dynamics

    International Nuclear Information System (INIS)

    Schwantes, C. R.; McGibbon, R. T.; Pande, V. S.

    2014-01-01

    Molecular dynamics simulations have the potential to provide atomic-level detail and insight to important questions in chemical physics that cannot be observed in typical experiments. However, simply generating a long trajectory is insufficient, as researchers must be able to transform the data in a simulation trajectory into specific scientific insights. Although this analysis step has often been taken for granted, it deserves further attention as large-scale simulations become increasingly routine. In this perspective, we discuss the application of Markov models to the analysis of large-scale biomolecular simulations. We draw attention to recent improvements in the construction of these models as well as several important open issues. In addition, we highlight recent theoretical advances that pave the way for a new generation of models of molecular kinetics

  11. Perspective: Markov models for long-timescale biomolecular dynamics

    Energy Technology Data Exchange (ETDEWEB)

    Schwantes, C. R.; McGibbon, R. T. [Department of Chemistry, Stanford University, Stanford, California 94305 (United States); Pande, V. S., E-mail: pande@stanford.edu [Department of Chemistry, Stanford University, Stanford, California 94305 (United States); Department of Computer Science, Stanford University, Stanford, California 94305 (United States); Department of Structural Biology, Stanford University, Stanford, California 94305 (United States); Biophysics Program, Stanford University, Stanford, California 94305 (United States)

    2014-09-07

    Molecular dynamics simulations have the potential to provide atomic-level detail and insight to important questions in chemical physics that cannot be observed in typical experiments. However, simply generating a long trajectory is insufficient, as researchers must be able to transform the data in a simulation trajectory into specific scientific insights. Although this analysis step has often been taken for granted, it deserves further attention as large-scale simulations become increasingly routine. In this perspective, we discuss the application of Markov models to the analysis of large-scale biomolecular simulations. We draw attention to recent improvements in the construction of these models as well as several important open issues. In addition, we highlight recent theoretical advances that pave the way for a new generation of models of molecular kinetics.

  12. Pavement maintenance optimization model using Markov Decision Processes

    Science.gov (United States)

    Mandiartha, P.; Duffield, C. F.; Razelan, I. S. b. M.; Ismail, A. b. H.

    2017-09-01

    This paper presents an optimization model for selection of pavement maintenance intervention using a theory of Markov Decision Processes (MDP). There are some particular characteristics of the MDP developed in this paper which distinguish it from other similar studies or optimization models intended for pavement maintenance policy development. These unique characteristics include a direct inclusion of constraints into the formulation of MDP, the use of an average cost method of MDP, and the policy development process based on the dual linear programming solution. The limited information or discussions that are available on these matters in terms of stochastic based optimization model in road network management motivates this study. This paper uses a data set acquired from road authorities of state of Victoria, Australia, to test the model and recommends steps in the computation of MDP based stochastic optimization model, leading to the development of optimum pavement maintenance policy.

  13. Estimation and uncertainty of reversible Markov models.

    Science.gov (United States)

    Trendelkamp-Schroer, Benjamin; Wu, Hao; Paul, Fabian; Noé, Frank

    2015-11-07

    Reversibility is a key concept in Markov models and master-equation models of molecular kinetics. The analysis and interpretation of the transition matrix encoding the kinetic properties of the model rely heavily on the reversibility property. The estimation of a reversible transition matrix from simulation data is, therefore, crucial to the successful application of the previously developed theory. In this work, we discuss methods for the maximum likelihood estimation of transition matrices from finite simulation data and present a new algorithm for the estimation if reversibility with respect to a given stationary vector is desired. We also develop new methods for the Bayesian posterior inference of reversible transition matrices with and without given stationary vector taking into account the need for a suitable prior distribution preserving the meta-stable features of the observed process during posterior inference. All algorithms here are implemented in the PyEMMA software--http://pyemma.org--as of version 2.0.

  14. Multi-state Markov models for disease progression in the presence of informative examination times: an application to hepatitis C.

    Science.gov (United States)

    Sweeting, M J; Farewell, V T; De Angelis, D

    2010-05-20

    In many chronic diseases it is important to understand the rate at which patients progress from infection through a series of defined disease states to a clinical outcome, e.g. cirrhosis in hepatitis C virus (HCV)-infected individuals or AIDS in HIV-infected individuals. Typically data are obtained from longitudinal studies, which often are observational in nature, and where disease state is observed only at selected examinations throughout follow-up. Transition times between disease states are therefore interval censored. Multi-state Markov models are commonly used to analyze such data, but rely on the assumption that the examination times are non-informative, and hence the examination process is ignorable in a likelihood-based analysis. In this paper we develop a Markov model that relaxes this assumption through the premise that the examination process is ignorable only after conditioning on a more regularly observed auxiliary variable. This situation arises in a study of HCV disease progression, where liver biopsies (the examinations) are sparse, irregular, and potentially informative with respect to the transition times. We use additional information on liver function tests (LFTs), commonly collected throughout follow-up, to inform current disease state and to assume an ignorable examination process. The model developed has a similar structure to a hidden Markov model and accommodates both the series of LFT measurements and the partially latent series of disease states. We show through simulation how this model compares with the commonly used ignorable Markov model, and a Markov model that assumes the examination process is non-ignorable. Copyright 2010 John Wiley & Sons, Ltd.

  15. Information-Theoretic Performance Analysis of Sensor Networks via Markov Modeling of Time Series Data.

    Science.gov (United States)

    Li, Yue; Jha, Devesh K; Ray, Asok; Wettergren, Thomas A; Yue Li; Jha, Devesh K; Ray, Asok; Wettergren, Thomas A; Wettergren, Thomas A; Li, Yue; Ray, Asok; Jha, Devesh K

    2018-06-01

    This paper presents information-theoretic performance analysis of passive sensor networks for detection of moving targets. The proposed method falls largely under the category of data-level information fusion in sensor networks. To this end, a measure of information contribution for sensors is formulated in a symbolic dynamics framework. The network information state is approximately represented as the largest principal component of the time series collected across the network. To quantify each sensor's contribution for generation of the information content, Markov machine models as well as x-Markov (pronounced as cross-Markov) machine models, conditioned on the network information state, are constructed; the difference between the conditional entropies of these machines is then treated as an approximate measure of information contribution by the respective sensors. The x-Markov models represent the conditional temporal statistics given the network information state. The proposed method has been validated on experimental data collected from a local area network of passive sensors for target detection, where the statistical characteristics of environmental disturbances are similar to those of the target signal in the sense of time scale and texture. A distinctive feature of the proposed algorithm is that the network decisions are independent of the behavior and identity of the individual sensors, which is desirable from computational perspectives. Results are presented to demonstrate the proposed method's efficacy to correctly identify the presence of a target with very low false-alarm rates. The performance of the underlying algorithm is compared with that of a recent data-driven, feature-level information fusion algorithm. It is shown that the proposed algorithm outperforms the other algorithm.

  16. Hidden Markov models for the activity profile of terrorist groups

    OpenAIRE

    Raghavan, Vasanthan; Galstyan, Aram; Tartakovsky, Alexander G.

    2012-01-01

    The main focus of this work is on developing models for the activity profile of a terrorist group, detecting sudden spurts and downfalls in this profile, and, in general, tracking it over a period of time. Toward this goal, a $d$-state hidden Markov model (HMM) that captures the latent states underlying the dynamics of the group and thus its activity profile is developed. The simplest setting of $d=2$ corresponds to the case where the dynamics are coarsely quantized as Active and Inactive, re...

  17. A Markov decision model for optimising economic production lot size ...

    African Journals Online (AJOL)

    Adopting such a Markov decision process approach, the states of a Markov chain represent possible states of demand. The decision of whether or not to produce additional inventory units is made using dynamic programming. This approach demonstrates the existence of an optimal state-dependent EPL size, and produces ...

  18. Land-Cover Change Analysis and Simulation in Conakry (Guinea, Using Hybrid Cellular-Automata and Markov Model

    Directory of Open Access Journals (Sweden)

    Arafan Traore

    2018-04-01

    Full Text Available In this study, land-cover change in the capital Conakry of Guinea was simulated using the integrated Cellular Automata and Markov model (CA-Markov in the Geographic Information System (GIS and Remote Sensing (RS. Historical land-cover change information was derived from 1986, 2000 and 2016 Landsat data. Using the land-cover change maps of 1986 and 2000, the land-cover change map for 2016 was simulated based on the Markov model in IDRISSI software (Clark University, Worcester, MA, USA. The simulated result was compared with the 2016 land-cover map for validation using the Relative Operating Characteristic (ROC. The ROC result showed a very strong agreement between the two maps. From this result, the land-cover change map for 2025 was simulated using CA-Markov model. The result has indicated that the proportion of the urban area was 49% in 2016, and it is expected to increase to 52% by 2025, while vegetation will decrease from 35% in 2016 to 32% in 2025. This study suggests that the rapid land-cover change has been led by both rapid population growth and extreme poverty in rural areas, which will result in migration into Conakry. The results of this study will provide bases for assessing the sustainability and the management of the urban area and for taking actions to mitigate the degradation of the urban environment.

  19. Markov source model for printed music decoding

    Science.gov (United States)

    Kopec, Gary E.; Chou, Philip A.; Maltz, David A.

    1995-03-01

    This paper describes a Markov source model for a simple subset of printed music notation. The model is based on the Adobe Sonata music symbol set and a message language of our own design. Chord imaging is the most complex part of the model. Much of the complexity follows from a rule of music typography that requires the noteheads for adjacent pitches to be placed on opposite sides of the chord stem. This rule leads to a proliferation of cases for other typographic details such as dot placement. We describe the language of message strings accepted by the model and discuss some of the imaging issues associated with various aspects of the message language. We also point out some aspects of music notation that appear problematic for a finite-state representation. Development of the model was greatly facilitated by the duality between image synthesis and image decoding. Although our ultimate objective was a music image model for use in decoding, most of the development proceeded by using the evolving model for image synthesis, since it is computationally far less costly to image a message than to decode an image.

  20. Dynamic neutron scattering from conformational dynamics. I. Theory and Markov models.

    Science.gov (United States)

    Lindner, Benjamin; Yi, Zheng; Prinz, Jan-Hendrik; Smith, Jeremy C; Noé, Frank

    2013-11-07

    The dynamics of complex molecules can be directly probed by inelastic neutron scattering experiments. However, many of the underlying dynamical processes may exist on similar timescales, which makes it difficult to assign processes seen experimentally to specific structural rearrangements. Here, we show how Markov models can be used to connect structural changes observed in molecular dynamics simulation directly to the relaxation processes probed by scattering experiments. For this, a conformational dynamics theory of dynamical neutron and X-ray scattering is developed, following our previous approach for computing dynamical fingerprints of time-correlation functions [F. Noé, S. Doose, I. Daidone, M. Löllmann, J. Chodera, M. Sauer, and J. Smith, Proc. Natl. Acad. Sci. U.S.A. 108, 4822 (2011)]. Markov modeling is used to approximate the relaxation processes and timescales of the molecule via the eigenvectors and eigenvalues of a transition matrix between conformational substates. This procedure allows the establishment of a complete set of exponential decay functions and a full decomposition into the individual contributions, i.e., the contribution of every atom and dynamical process to each experimental relaxation process.

  1. High-Resolution Remote Sensing Image Building Extraction Based on Markov Model

    Science.gov (United States)

    Zhao, W.; Yan, L.; Chang, Y.; Gong, L.

    2018-04-01

    With the increase of resolution, remote sensing images have the characteristics of increased information load, increased noise, more complex feature geometry and texture information, which makes the extraction of building information more difficult. To solve this problem, this paper designs a high resolution remote sensing image building extraction method based on Markov model. This method introduces Contourlet domain map clustering and Markov model, captures and enhances the contour and texture information of high-resolution remote sensing image features in multiple directions, and further designs the spectral feature index that can characterize "pseudo-buildings" in the building area. Through the multi-scale segmentation and extraction of image features, the fine extraction from the building area to the building is realized. Experiments show that this method can restrain the noise of high-resolution remote sensing images, reduce the interference of non-target ground texture information, and remove the shadow, vegetation and other pseudo-building information, compared with the traditional pixel-level image information extraction, better performance in building extraction precision, accuracy and completeness.

  2. Composable Markov Building Blocks

    NARCIS (Netherlands)

    Evers, S.; Fokkinga, M.M.; Apers, Peter M.G.

    2007-01-01

    In situations where disjunct parts of the same process are described by their own first-order Markov models, these models can be joined together under the constraint that there can only be one activity at a time, i.e. the activities of one model coincide with non-activity in the other models. Under

  3. [Succession caused by beaver (Castor fiber L.) life activity: II. A refined Markov model].

    Science.gov (United States)

    Logofet; Evstigneev, O I; Aleinikov, A A; Morozova, A O

    2015-01-01

    The refined Markov model of cyclic zoogenic successions caused by beaver (Castor fiber L.) life activity represents a discrete chain of the following six states: flooded forest, swamped forest, pond, grassy swamp, shrubby swamp, and wet forest, which correspond to certain stages of succession. Those stages are defined, and a conceptual scheme of probable transitions between them for one time step is constructed from the knowledge of beaver behaviour in small river floodplains of "Bryanskii Les" Reserve. We calibrated the corresponding matrix of transition probabilities according to the optimization principle: minimizing differences between the model outcome and reality; the model generates a distribution of relative areas corresponding to the stages of succession, that has to be compared to those gained from case studies in the Reserve during 2002-2006. The time step is chosen to equal 2 years, and the first-step data in the sum of differences are given various weights, w (between 0 and 1). The value of w = 0.2 is selected due to its optimality and for some additional reasons. By the formulae of finite homogeneous Markov chain theory, we obtained the main results of the calibrated model, namely, a steady-state distribution of stage areas, indexes of cyclicity, and the mean durations (M(j)) of succession stages. The results of calibration give an objective quantitative nature to the expert knowledge of the course of succession and get a proper interpretation. The 2010 data, which are not involved in the calibration procedure, enabled assessing the quality of prediction by the homogeneous model in short-term (from the 2006 situation): the error of model area distribution relative to the distribution observed in 2010 falls into the range of 9-17%, the best prognosis being given by the least optimal matrices (rejected values of w). This indicates a formally heterogeneous nature of succession processes in time. Thus, the refined version of the homogeneous Markov chain

  4. Utilization of two web-based continuing education courses evaluated by Markov chain model.

    Science.gov (United States)

    Tian, Hao; Lin, Jin-Mann S; Reeves, William C

    2012-01-01

    To evaluate the web structure of two web-based continuing education courses, identify problems and assess the effects of web site modifications. Markov chain models were built from 2008 web usage data to evaluate the courses' web structure and navigation patterns. The web site was then modified to resolve identified design issues and the improvement in user activity over the subsequent 12 months was quantitatively evaluated. Web navigation paths were collected between 2008 and 2010. The probability of navigating from one web page to another was analyzed. The continuing education courses' sequential structure design was clearly reflected in the resulting actual web usage models, and none of the skip transitions provided was heavily used. The web navigation patterns of the two different continuing education courses were similar. Two possible design flaws were identified and fixed in only one of the two courses. Over the following 12 months, the drop-out rate in the modified course significantly decreased from 41% to 35%, but remained unchanged in the unmodified course. The web improvement effects were further verified via a second-order Markov chain model. The results imply that differences in web content have less impact than web structure design on how learners navigate through continuing education courses. Evaluation of user navigation can help identify web design flaws and guide modifications. This study showed that Markov chain models provide a valuable tool to evaluate web-based education courses. Both the results and techniques in this study would be very useful for public health education and research specialists.

  5. A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns

    DEFF Research Database (Denmark)

    Ntantamis, Christos

    This paper introduces a Duration Hidden Markov Model to model bull and bear market regime switches in the stock market; the duration of each state of the Markov Chain is a random variable that depends on a set of exogenous variables. The model not only allows the endogenous determination...... of the different regimes and but also estimates the effect of the explanatory variables on the regimes' durations. The model is estimated here on NYSE returns using the short-term interest rate and the interest rate spread as exogenous variables. The bull market regime is assigned to the identified state...... with the higher mean and lower variance; bull market duration is found to be negatively dependent on short-term interest rates and positively on the interest rate spread, while bear market duration depends positively the short-term interest rate and negatively on the interest rate spread....

  6. Markov state models of protein misfolding

    Science.gov (United States)

    Sirur, Anshul; De Sancho, David; Best, Robert B.

    2016-02-01

    Markov state models (MSMs) are an extremely useful tool for understanding the conformational dynamics of macromolecules and for analyzing MD simulations in a quantitative fashion. They have been extensively used for peptide and protein folding, for small molecule binding, and for the study of native ensemble dynamics. Here, we adapt the MSM methodology to gain insight into the dynamics of misfolded states. To overcome possible flaws in root-mean-square deviation (RMSD)-based metrics, we introduce a novel discretization approach, based on coarse-grained contact maps. In addition, we extend the MSM methodology to include "sink" states in order to account for the irreversibility (on simulation time scales) of processes like protein misfolding. We apply this method to analyze the mechanism of misfolding of tandem repeats of titin domains, and how it is influenced by confinement in a chaperonin-like cavity.

  7. Monte Carlo Simulation of Markov, Semi-Markov, and Generalized Semi- Markov Processes in Probabilistic Risk Assessment

    Science.gov (United States)

    English, Thomas

    2005-01-01

    A standard tool of reliability analysis used at NASA-JSC is the event tree. An event tree is simply a probability tree, with the probabilities determining the next step through the tree specified at each node. The nodal probabilities are determined by a reliability study of the physical system at work for a particular node. The reliability study performed at a node is typically referred to as a fault tree analysis, with the potential of a fault tree existing.for each node on the event tree. When examining an event tree it is obvious why the event tree/fault tree approach has been adopted. Typical event trees are quite complex in nature, and the event tree/fault tree approach provides a systematic and organized approach to reliability analysis. The purpose of this study was two fold. Firstly, we wanted to explore the possibility that a semi-Markov process can create dependencies between sojourn times (the times it takes to transition from one state to the next) that can decrease the uncertainty when estimating time to failures. Using a generalized semi-Markov model, we studied a four element reliability model and were able to demonstrate such sojourn time dependencies. Secondly, we wanted to study the use of semi-Markov processes to introduce a time variable into the event tree diagrams that are commonly developed in PRA (Probabilistic Risk Assessment) analyses. Event tree end states which change with time are more representative of failure scenarios than are the usual static probability-derived end states.

  8. Availability Control for Means of Transport in Decisive Semi-Markov Models of Exploitation Process

    Science.gov (United States)

    Migawa, Klaudiusz

    2012-12-01

    The issues presented in this research paper refer to problems connected with the control process for exploitation implemented in the complex systems of exploitation for technical objects. The article presents the description of the method concerning the control availability for technical objects (means of transport) on the basis of the mathematical model of the exploitation process with the implementation of the decisive processes by semi-Markov. The presented method means focused on the preparing the decisive for the exploitation process for technical objects (semi-Markov model) and after that specifying the best control strategy (optimal strategy) from among possible decisive variants in accordance with the approved criterion (criteria) of the activity evaluation of the system of exploitation for technical objects. In the presented method specifying the optimal strategy for control availability in the technical objects means a choice of a sequence of control decisions made in individual states of modelled exploitation process for which the function being a criterion of evaluation reaches the extreme value. In order to choose the optimal control strategy the implementation of the genetic algorithm was chosen. The opinions were presented on the example of the exploitation process of the means of transport implemented in the real system of the bus municipal transport. The model of the exploitation process for the means of transports was prepared on the basis of the results implemented in the real transport system. The mathematical model of the exploitation process was built taking into consideration the fact that the model of the process constitutes the homogenous semi-Markov process.

  9. Characterization of prokaryotic and eukaryotic promoters using hidden Markov models

    DEFF Research Database (Denmark)

    Pedersen, Anders Gorm; Baldi, P.; Chauvin, Y.

    1996-01-01

    In this paper we utilize hidden Markov models (HMMs) and information theory to analyze prokaryotic and eukaryotic promoters. We perform this analysis with special emphasis on the fact that promoters are divided into a number of different classes, depending on which polymerase-associated factors...... that bind to them. We find that HMMs trained on such subclasses of Escherichia coli promoters (specifically, the so-called sigma 70 and sigma 54 classes) give an excellent classification of unknown promoters with respect to sigma-class. HMMs trained on eukaryotic sequences from human genes also model nicely...

  10. Markov Modeling with Soft Aggregation for Safety and Decision Analysis; TOPICAL

    International Nuclear Information System (INIS)

    COOPER, J. ARLIN

    1999-01-01

    The methodology in this report improves on some of the limitations of many conventional safety assessment and decision analysis methods. A top-down mathematical approach is developed for decomposing systems and for expressing imprecise individual metrics as possibilistic or fuzzy numbers. A ''Markov-like'' model is developed that facilitates combining (aggregating) inputs into overall metrics and decision aids, also portraying the inherent uncertainty. A major goal of Markov modeling is to help convey the top-down system perspective. One of the constituent methodologies allows metrics to be weighted according to significance of the attribute and aggregated nonlinearly as to contribution. This aggregation is performed using exponential combination of the metrics, since the accumulating effect of such factors responds less and less to additional factors. This is termed ''soft'' mathematical aggregation. Dependence among the contributing factors is accounted for by incorporating subjective metrics on ''overlap'' of the factors as well as by correspondingly reducing the overall contribution of these combinations to the overall aggregation. Decisions corresponding to the meaningfulness of the results are facilitated in several ways. First, the results are compared to a soft threshold provided by a sigmoid function. Second, information is provided on input ''Importance'' and ''Sensitivity,'' in order to know where to place emphasis on considering new controls that may be necessary. Third, trends in inputs and outputs are tracked in order to obtain significant information% including cyclic information for the decision process. A practical example from the air transportation industry is used to demonstrate application of the methodology. Illustrations are given for developing a structure (along with recommended inputs and weights) for air transportation oversight at three different levels, for developing and using cycle information, for developing Importance and

  11. Overshoot in biological systems modelled by Markov chains: a non-equilibrium dynamic phenomenon.

    Science.gov (United States)

    Jia, Chen; Qian, Minping; Jiang, Daquan

    2014-08-01

    A number of biological systems can be modelled by Markov chains. Recently, there has been an increasing concern about when biological systems modelled by Markov chains will perform a dynamic phenomenon called overshoot. In this study, the authors found that the steady-state behaviour of the system will have a great effect on the occurrence of overshoot. They showed that overshoot in general cannot occur in systems that will finally approach an equilibrium steady state. They further classified overshoot into two types, named as simple overshoot and oscillating overshoot. They showed that except for extreme cases, oscillating overshoot will occur if the system is far from equilibrium. All these results clearly show that overshoot is a non-equilibrium dynamic phenomenon with energy consumption. In addition, the main result in this study is validated with real experimental data.

  12. Learning to Automatically Detect Features for Mobile Robots Using Second-Order Hidden Markov Models

    Directory of Open Access Journals (Sweden)

    Olivier Aycard

    2004-12-01

    Full Text Available In this paper, we propose a new method based on Hidden Markov Models to interpret temporal sequences of sensor data from mobile robots to automatically detect features. Hidden Markov Models have been used for a long time in pattern recognition, especially in speech recognition. Their main advantages over other methods (such as neural networks are their ability to model noisy temporal signals of variable length. We show in this paper that this approach is well suited for interpretation of temporal sequences of mobile-robot sensor data. We present two distinct experiments and results: the first one in an indoor environment where a mobile robot learns to detect features like open doors or T-intersections, the second one in an outdoor environment where a different mobile robot has to identify situations like climbing a hill or crossing a rock.

  13. Utilizing Gaze Behavior for Inferring Task Transitions Using Abstract Hidden Markov Models

    Directory of Open Access Journals (Sweden)

    Daniel Fernando Tello Gamarra

    2016-12-01

    Full Text Available We demonstrate an improved method for utilizing observed gaze behavior and show that it is useful in inferring hand movement intent during goal directed tasks. The task dynamics and the relationship between hand and gaze behavior are learned using an Abstract Hidden Markov Model (AHMM. We show that the predicted hand movement transitions occur consistently earlier in AHMM models with gaze than those models that do not include gaze observations.

  14. A simplified parsimonious higher order multivariate Markov chain model with new convergence condition

    Science.gov (United States)

    Wang, Chao; Yang, Chuan-sheng

    2017-09-01

    In this paper, we present a simplified parsimonious higher-order multivariate Markov chain model with new convergence condition. (TPHOMMCM-NCC). Moreover, estimation method of the parameters in TPHOMMCM-NCC is give. Numerical experiments illustrate the effectiveness of TPHOMMCM-NCC.

  15. Noise can speed convergence in Markov chains.

    Science.gov (United States)

    Franzke, Brandon; Kosko, Bart

    2011-10-01

    A new theorem shows that noise can speed convergence to equilibrium in discrete finite-state Markov chains. The noise applies to the state density and helps the Markov chain explore improbable regions of the state space. The theorem ensures that a stochastic-resonance noise benefit exists for states that obey a vector-norm inequality. Such noise leads to faster convergence because the noise reduces the norm components. A corollary shows that a noise benefit still occurs if the system states obey an alternate norm inequality. This leads to a noise-benefit algorithm that requires knowledge of the steady state. An alternative blind algorithm uses only past state information to achieve a weaker noise benefit. Simulations illustrate the predicted noise benefits in three well-known Markov models. The first model is a two-parameter Ehrenfest diffusion model that shows how noise benefits can occur in the class of birth-death processes. The second model is a Wright-Fisher model of genotype drift in population genetics. The third model is a chemical reaction network of zeolite crystallization. A fourth simulation shows a convergence rate increase of 64% for states that satisfy the theorem and an increase of 53% for states that satisfy the corollary. A final simulation shows that even suboptimal noise can speed convergence if the noise applies over successive time cycles. Noise benefits tend to be sharpest in Markov models that do not converge quickly and that do not have strong absorbing states.

  16. Technical manual for basic version of the Markov chain nest productivity model (MCnest)

    Science.gov (United States)

    The Markov Chain Nest Productivity Model (or MCnest) integrates existing toxicity information from three standardized avian toxicity tests with information on species life history and the timing of pesticide applications relative to the timing of avian breeding seasons to quantit...

  17. User’s manual for basic version of MCnest Markov chain nest productivity model

    Science.gov (United States)

    The Markov Chain Nest Productivity Model (or MCnest) integrates existing toxicity information from three standardized avian toxicity tests with information on species life history and the timing of pesticide applications relative to the timing of avian breeding seasons to quantit...

  18. Automatic categorization of web pages and user clustering with mixtures of hidden Markov models

    NARCIS (Netherlands)

    Ypma, A.; Heskes, T.M.; Zaiane, O.R.; Srivastav, J.

    2003-01-01

    We propose mixtures of hidden Markov models for modelling clickstreams of web surfers. Hence, the page categorization is learned from the data without the need for a (possibly cumbersome) manual categorization. We provide an EM algorithm for training a mixture of HMMs and show that additional static

  19. An integrated Markov decision process and nested logit consumer response model of air ticket pricing

    NARCIS (Netherlands)

    Lu, J.; Feng, T.; Timmermans, H.P.J.; Yang, Z.

    2017-01-01

    The paper attempts to propose an optimal air ticket pricing model during the booking horizon by taking into account passengers' purchasing behavior of air tickets. A Markov decision process incorporating a nested logit consumer response model is established to modeling the dynamic pricing process.

  20. Modelling and evaluation of surgical performance using hidden Markov models.

    Science.gov (United States)

    Megali, Giuseppe; Sinigaglia, Stefano; Tonet, Oliver; Dario, Paolo

    2006-10-01

    Minimally invasive surgery has become very widespread in the last ten years. Since surgeons experience difficulties in learning and mastering minimally invasive techniques, the development of training methods is of great importance. While the introduction of virtual reality-based simulators has introduced a new paradigm in surgical training, skill evaluation methods are far from being objective. This paper proposes a method for defining a model of surgical expertise and an objective metric to evaluate performance in laparoscopic surgery. Our approach is based on the processing of kinematic data describing movements of surgical instruments. We use hidden Markov model theory to define an expert model that describes expert surgical gesture. The model is trained on kinematic data related to exercises performed on a surgical simulator by experienced surgeons. Subsequently, we use this expert model as a reference model in the definition of an objective metric to evaluate performance of surgeons with different abilities. Preliminary results show that, using different topologies for the expert model, the method can be efficiently used both for the discrimination between experienced and novice surgeons, and for the quantitative assessment of surgical ability.

  1. Discrete time Markov chains (DTMC) susceptible infected susceptible (SIS) epidemic model with two pathogens in two patches

    Science.gov (United States)

    Lismawati, Eka; Respatiwulan; Widyaningsih, Purnami

    2017-06-01

    The SIS epidemic model describes the pattern of disease spread with characteristics that recovered individuals can be infected more than once. The number of susceptible and infected individuals every time follows the discrete time Markov process. It can be represented by the discrete time Markov chains (DTMC) SIS. The DTMC SIS epidemic model can be developed for two pathogens in two patches. The aims of this paper are to reconstruct and to apply the DTMC SIS epidemic model with two pathogens in two patches. The model was presented as transition probabilities. The application of the model obtain that the number of susceptible individuals decreases while the number of infected individuals increases for each pathogen in each patch.

  2. Markov decision processes: a tool for sequential decision making under uncertainty.

    Science.gov (United States)

    Alagoz, Oguzhan; Hsu, Heather; Schaefer, Andrew J; Roberts, Mark S

    2010-01-01

    We provide a tutorial on the construction and evaluation of Markov decision processes (MDPs), which are powerful analytical tools used for sequential decision making under uncertainty that have been widely used in many industrial and manufacturing applications but are underutilized in medical decision making (MDM). We demonstrate the use of an MDP to solve a sequential clinical treatment problem under uncertainty. Markov decision processes generalize standard Markov models in that a decision process is embedded in the model and multiple decisions are made over time. Furthermore, they have significant advantages over standard decision analysis. We compare MDPs to standard Markov-based simulation models by solving the problem of the optimal timing of living-donor liver transplantation using both methods. Both models result in the same optimal transplantation policy and the same total life expectancies for the same patient and living donor. The computation time for solving the MDP model is significantly smaller than that for solving the Markov model. We briefly describe the growing literature of MDPs applied to medical decisions.

  3. Using Hidden Markov Models to characterise intermittent social behaviour in fish shoals

    Science.gov (United States)

    Bode, Nikolai W. F.; Seitz, Michael J.

    2018-02-01

    The movement of animals in groups is widespread in nature. Understanding this phenomenon presents an important problem in ecology with many applications that range from conservation to robotics. Underlying all group movements are interactions between individual animals and it is therefore crucial to understand the mechanisms of this social behaviour. To date, despite promising methodological developments, there are few applications to data of practical statistical techniques that inferentially investigate the extent and nature of social interactions in group movement. We address this gap by demonstrating the usefulness of a Hidden Markov Model approach to characterise individual-level social movement in published trajectory data on three-spined stickleback shoals ( Gasterosteus aculeatus) and novel data on guppy shoals ( Poecilia reticulata). With these models, we formally test for speed-mediated social interactions and verify that they are present. We further characterise this inferred social behaviour and find that despite the substantial shoal-level differences in movement dynamics between species, it is qualitatively similar in guppies and sticklebacks. It is intermittent, occurring in varying numbers of individuals at different time points. The speeds of interacting fish follow a bimodal distribution, indicating that they are either stationary or move at a preferred mean speed, and social fish with more social neighbours move at higher speeds, on average. Our findings and methodology present steps towards characterising social behaviour in animal groups.

  4. Segmenting Continuous Motions with Hidden Semi-markov Models and Gaussian Processes

    Directory of Open Access Journals (Sweden)

    Tomoaki Nakamura

    2017-12-01

    Full Text Available Humans divide perceived continuous information into segments to facilitate recognition. For example, humans can segment speech waves into recognizable morphemes. Analogously, continuous motions are segmented into recognizable unit actions. People can divide continuous information into segments without using explicit segment points. This capacity for unsupervised segmentation is also useful for robots, because it enables them to flexibly learn languages, gestures, and actions. In this paper, we propose a Gaussian process-hidden semi-Markov model (GP-HSMM that can divide continuous time series data into segments in an unsupervised manner. Our proposed method consists of a generative model based on the hidden semi-Markov model (HSMM, the emission distributions of which are Gaussian processes (GPs. Continuous time series data is generated by connecting segments generated by the GP. Segmentation can be achieved by using forward filtering-backward sampling to estimate the model's parameters, including the lengths and classes of the segments. In an experiment using the CMU motion capture dataset, we tested GP-HSMM with motion capture data containing simple exercise motions; the results of this experiment showed that the proposed GP-HSMM was comparable with other methods. We also conducted an experiment using karate motion capture data, which is more complex than exercise motion capture data; in this experiment, the segmentation accuracy of GP-HSMM was 0.92, which outperformed other methods.

  5. A hidden Markov model approach to neuron firing patterns.

    Science.gov (United States)

    Camproux, A C; Saunier, F; Chouvet, G; Thalabard, J C; Thomas, G

    1996-11-01

    Analysis and characterization of neuronal discharge patterns are of interest to neurophysiologists and neuropharmacologists. In this paper we present a hidden Markov model approach to modeling single neuron electrical activity. Basically the model assumes that each interspike interval corresponds to one of several possible states of the neuron. Fitting the model to experimental series of interspike intervals by maximum likelihood allows estimation of the number of possible underlying neuron states, the probability density functions of interspike intervals corresponding to each state, and the transition probabilities between states. We present an application to the analysis of recordings of a locus coeruleus neuron under three pharmacological conditions. The model distinguishes two states during halothane anesthesia and during recovery from halothane anesthesia, and four states after administration of clonidine. The transition probabilities yield additional insights into the mechanisms of neuron firing.

  6. Mixture estimation with state-space components and Markov model of switching

    Czech Academy of Sciences Publication Activity Database

    Nagy, Ivan; Suzdaleva, Evgenia

    2013-01-01

    Roč. 37, č. 24 (2013), s. 9970-9984 ISSN 0307-904X R&D Projects: GA TA ČR TA01030123 Institutional support: RVO:67985556 Keywords : probabilistic dynamic mixtures, * probability density function * state-space models * recursive mixture estimation * Bayesian dynamic decision making under uncertainty * Kerridge inaccuracy Subject RIV: BC - Control Systems Theory Impact factor: 2.158, year: 2013 http://library.utia.cas.cz/separaty/2013/AS/nagy-mixture estimation with state-space components and markov model of switching.pdf

  7. ANALYTIC WORD RECOGNITION WITHOUT SEGMENTATION BASED ON MARKOV RANDOM FIELDS

    NARCIS (Netherlands)

    Coisy, C.; Belaid, A.

    2004-01-01

    In this paper, a method for analytic handwritten word recognition based on causal Markov random fields is described. The words models are HMMs where each state corresponds to a letter; each letter is modelled by a NSHP­HMM (Markov field). Global models are build dynamically, and used for recognition

  8. Markov branching in the vertex splitting model

    International Nuclear Information System (INIS)

    Stefánsson, Sigurdur Örn

    2012-01-01

    We study a special case of the vertex splitting model which is a recent model of randomly growing trees. For any finite maximum vertex degree D, we find a one parameter model, with parameter α element of [0,1] which has a so-called Markov branching property. When D=∞ we find a two parameter model with an additional parameter γ element of [0,1] which also has this feature. In the case D = 3, the model bears resemblance to Ford's α-model of phylogenetic trees and when D=∞ it is similar to its generalization, the αγ-model. For α = 0, the model reduces to the well known model of preferential attachment. In the case α > 0, we prove convergence of the finite volume probability measures, generated by the growth rules, to a measure on infinite trees which is concentrated on the set of trees with a single spine. We show that the annealed Hausdorff dimension with respect to the infinite volume measure is 1/α. When γ = 0 the model reduces to a model of growing caterpillar graphs in which case we prove that the Hausdorff dimension is almost surely 1/α and that the spectral dimension is almost surely 2/(1 + α). We comment briefly on the distribution of vertex degrees and correlations between degrees of neighbouring vertices

  9. Gold price effect on stock market: A Markov switching vector error correction approach

    Science.gov (United States)

    Wai, Phoong Seuk; Ismail, Mohd Tahir; Kun, Sek Siok

    2014-06-01

    Gold is a popular precious metal where the demand is driven not only for practical use but also as a popular investments commodity. While stock market represents a country growth, thus gold price effect on stock market behavior as interest in the study. Markov Switching Vector Error Correction Models are applied to analysis the relationship between gold price and stock market changes since real financial data always exhibit regime switching, jumps or missing data through time. Besides, there are numerous specifications of Markov Switching Vector Error Correction Models and this paper will compare the intercept adjusted Markov Switching Vector Error Correction Model and intercept adjusted heteroskedasticity Markov Switching Vector Error Correction Model to determine the best model representation in capturing the transition of the time series. Results have shown that gold price has a positive relationship with Malaysia, Thailand and Indonesia stock market and a two regime intercept adjusted heteroskedasticity Markov Switching Vector Error Correction Model is able to provide the more significance and reliable result compare to intercept adjusted Markov Switching Vector Error Correction Models.

  10. Short-term droughts forecast using Markov chain model in Victoria, Australia

    Science.gov (United States)

    Rahmat, Siti Nazahiyah; Jayasuriya, Niranjali; Bhuiyan, Muhammed A.

    2017-07-01

    A comprehensive risk management strategy for dealing with drought should include both short-term and long-term planning. The objective of this paper is to present an early warning method to forecast drought using the Standardised Precipitation Index (SPI) and a non-homogeneous Markov chain model. A model such as this is useful for short-term planning. The developed method has been used to forecast droughts at a number of meteorological monitoring stations that have been regionalised into six (6) homogenous clusters with similar drought characteristics based on SPI. The non-homogeneous Markov chain model was used to estimate drought probabilities and drought predictions up to 3 months ahead. The drought severity classes defined using the SPI were computed at a 12-month time scale. The drought probabilities and the predictions were computed for six clusters that depict similar drought characteristics in Victoria, Australia. Overall, the drought severity class predicted was quite similar for all the clusters, with the non-drought class probabilities ranging from 49 to 57 %. For all clusters, the near normal class had a probability of occurrence varying from 27 to 38 %. For the more moderate and severe classes, the probabilities ranged from 2 to 13 % and 3 to 1 %, respectively. The developed model predicted drought situations 1 month ahead reasonably well. However, 2 and 3 months ahead predictions should be used with caution until the models are developed further.

  11. Input modeling with phase-type distributions and Markov models theory and applications

    CERN Document Server

    Buchholz, Peter; Felko, Iryna

    2014-01-01

    Containing a summary of several recent results on Markov-based input modeling in a coherent notation, this book introduces and compares algorithms for parameter fitting and gives an overview of available software tools in the area. Due to progress made in recent years with respect to new algorithms to generate PH distributions and Markovian arrival processes from measured data, the models outlined are useful alternatives to other distributions or stochastic processes used for input modeling. Graduate students and researchers in applied probability, operations research and computer science along with practitioners using simulation or analytical models for performance analysis and capacity planning will find the unified notation and up-to-date results presented useful. Input modeling is the key step in model based system analysis to adequately describe the load of a system using stochastic models. The goal of input modeling is to find a stochastic model to describe a sequence of measurements from a real system...

  12. Markov Chain-Like Quantum Biological Modeling of Mutations, Aging, and Evolution

    Directory of Open Access Journals (Sweden)

    Ivan B. Djordjevic

    2015-08-01

    Full Text Available Recent evidence suggests that quantum mechanics is relevant in photosynthesis, magnetoreception, enzymatic catalytic reactions, olfactory reception, photoreception, genetics, electron-transfer in proteins, and evolution; to mention few. In our recent paper published in Life, we have derived the operator-sum representation of a biological channel based on codon basekets, and determined the quantum channel model suitable for study of the quantum biological channel capacity. However, this model is essentially memoryless and it is not able to properly model the propagation of mutation errors in time, the process of aging, and evolution of genetic information through generations. To solve for these problems, we propose novel quantum mechanical models to accurately describe the process of creation spontaneous, induced, and adaptive mutations and their propagation in time. Different biological channel models with memory, proposed in this paper, include: (i Markovian classical model, (ii Markovian-like quantum model, and (iii hybrid quantum-classical model. We then apply these models in a study of aging and evolution of quantum biological channel capacity through generations. We also discuss key differences of these models with respect to a multilevel symmetric channel-based Markovian model and a Kimura model-based Markovian process. These models are quite general and applicable to many open problems in biology, not only biological channel capacity, which is the main focus of the paper. We will show that the famous quantum Master equation approach, commonly used to describe different biological processes, is just the first-order approximation of the proposed quantum Markov chain-like model, when the observation interval tends to zero. One of the important implications of this model is that the aging phenotype becomes determined by different underlying transition probabilities in both programmed and random (damage Markov chain-like models of aging, which

  13. A new Markov-chain-related statistical approach for modelling synthetic wind power time series

    International Nuclear Information System (INIS)

    Pesch, T; Hake, J F; Schröders, S; Allelein, H J

    2015-01-01

    The integration of rising shares of volatile wind power in the generation mix is a major challenge for the future energy system. To address the uncertainties involved in wind power generation, models analysing and simulating the stochastic nature of this energy source are becoming increasingly important. One statistical approach that has been frequently used in the literature is the Markov chain approach. Recently, the method was identified as being of limited use for generating wind time series with time steps shorter than 15–40 min as it is not capable of reproducing the autocorrelation characteristics accurately. This paper presents a new Markov-chain-related statistical approach that is capable of solving this problem by introducing a variable second lag. Furthermore, additional features are presented that allow for the further adjustment of the generated synthetic time series. The influences of the model parameter settings are examined by meaningful parameter variations. The suitability of the approach is demonstrated by an application analysis with the example of the wind feed-in in Germany. It shows that—in contrast to conventional Markov chain approaches—the generated synthetic time series do not systematically underestimate the required storage capacity to balance wind power fluctuation. (paper)

  14. Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models

    NARCIS (Netherlands)

    Nooijen, S.J.; Broda, S.A.

    2016-01-01

    The authors examine the predictive capabilities of online investor sentiment for the returns and volatility of MSCI U.S. Equity Sector Indices by including exogenous variables in the mean and volatility specifications of a Markov-switching model. As predicted by the semistrong efficient market

  15. Markov model plus k-word distributions: a synergy that produces novel statistical measures for sequence comparison.

    Science.gov (United States)

    Dai, Qi; Yang, Yanchun; Wang, Tianming

    2008-10-15

    Many proposed statistical measures can efficiently compare biological sequences to further infer their structures, functions and evolutionary information. They are related in spirit because all the ideas for sequence comparison try to use the information on the k-word distributions, Markov model or both. Motivated by adding k-word distributions to Markov model directly, we investigated two novel statistical measures for sequence comparison, called wre.k.r and S2.k.r. The proposed measures were tested by similarity search, evaluation on functionally related regulatory sequences and phylogenetic analysis. This offers the systematic and quantitative experimental assessment of our measures. Moreover, we compared our achievements with these based on alignment or alignment-free. We grouped our experiments into two sets. The first one, performed via ROC (receiver operating curve) analysis, aims at assessing the intrinsic ability of our statistical measures to search for similar sequences from a database and discriminate functionally related regulatory sequences from unrelated sequences. The second one aims at assessing how well our statistical measure is used for phylogenetic analysis. The experimental assessment demonstrates that our similarity measures intending to incorporate k-word distributions into Markov model are more efficient.

  16. Maximizing Entropy over Markov Processes

    DEFF Research Database (Denmark)

    Biondi, Fabrizio; Legay, Axel; Nielsen, Bo Friis

    2013-01-01

    The channel capacity of a deterministic system with confidential data is an upper bound on the amount of bits of data an attacker can learn from the system. We encode all possible attacks to a system using a probabilistic specification, an Interval Markov Chain. Then the channel capacity...... as a reward function, a polynomial algorithm to verify the existence of an system maximizing entropy among those respecting a specification, a procedure for the maximization of reward functions over Interval Markov Chains and its application to synthesize an implementation maximizing entropy. We show how...... to use Interval Markov Chains to model abstractions of deterministic systems with confidential data, and use the above results to compute their channel capacity. These results are a foundation for ongoing work on computing channel capacity for abstractions of programs derived from code....

  17. Maximizing entropy over Markov processes

    DEFF Research Database (Denmark)

    Biondi, Fabrizio; Legay, Axel; Nielsen, Bo Friis

    2014-01-01

    The channel capacity of a deterministic system with confidential data is an upper bound on the amount of bits of data an attacker can learn from the system. We encode all possible attacks to a system using a probabilistic specification, an Interval Markov Chain. Then the channel capacity...... as a reward function, a polynomial algorithm to verify the existence of a system maximizing entropy among those respecting a specification, a procedure for the maximization of reward functions over Interval Markov Chains and its application to synthesize an implementation maximizing entropy. We show how...... to use Interval Markov Chains to model abstractions of deterministic systems with confidential data, and use the above results to compute their channel capacity. These results are a foundation for ongoing work on computing channel capacity for abstractions of programs derived from code. © 2014 Elsevier...

  18. Trans-dimensional matched-field geoacoustic inversion with hierarchical error models and interacting Markov chains.

    Science.gov (United States)

    Dettmer, Jan; Dosso, Stan E

    2012-10-01

    This paper develops a trans-dimensional approach to matched-field geoacoustic inversion, including interacting Markov chains to improve efficiency and an autoregressive model to account for correlated errors. The trans-dimensional approach and hierarchical seabed model allows inversion without assuming any particular parametrization by relaxing model specification to a range of plausible seabed models (e.g., in this case, the number of sediment layers is an unknown parameter). Data errors are addressed by sampling statistical error-distribution parameters, including correlated errors (covariance), by applying a hierarchical autoregressive error model. The well-known difficulty of low acceptance rates for trans-dimensional jumps is addressed with interacting Markov chains, resulting in a substantial increase in efficiency. The trans-dimensional seabed model and the hierarchical error model relax the degree of prior assumptions required in the inversion, resulting in substantially improved (more realistic) uncertainty estimates and a more automated algorithm. In particular, the approach gives seabed parameter uncertainty estimates that account for uncertainty due to prior model choice (layering and data error statistics). The approach is applied to data measured on a vertical array in the Mediterranean Sea.

  19. Fitting and interpreting continuous-time latent Markov models for panel data.

    Science.gov (United States)

    Lange, Jane M; Minin, Vladimir N

    2013-11-20

    Multistate models characterize disease processes within an individual. Clinical studies often observe the disease status of individuals at discrete time points, making exact times of transitions between disease states unknown. Such panel data pose considerable modeling challenges. Assuming the disease process progresses accordingly, a standard continuous-time Markov chain (CTMC) yields tractable likelihoods, but the assumption of exponential sojourn time distributions is typically unrealistic. More flexible semi-Markov models permit generic sojourn distributions yet yield intractable likelihoods for panel data in the presence of reversible transitions. One attractive alternative is to assume that the disease process is characterized by an underlying latent CTMC, with multiple latent states mapping to each disease state. These models retain analytic tractability due to the CTMC framework but allow for flexible, duration-dependent disease state sojourn distributions. We have developed a robust and efficient expectation-maximization algorithm in this context. Our complete data state space consists of the observed data and the underlying latent trajectory, yielding computationally efficient expectation and maximization steps. Our algorithm outperforms alternative methods measured in terms of time to convergence and robustness. We also examine the frequentist performance of latent CTMC point and interval estimates of disease process functionals based on simulated data. The performance of estimates depends on time, functional, and data-generating scenario. Finally, we illustrate the interpretive power of latent CTMC models for describing disease processes on a dataset of lung transplant patients. We hope our work will encourage wider use of these models in the biomedical setting. Copyright © 2013 John Wiley & Sons, Ltd.

  20. Confluence reduction for Markov automata

    NARCIS (Netherlands)

    Timmer, Mark; van de Pol, Jan Cornelis; Stoelinga, Mariëlle Ida Antoinette

    Markov automata are a novel formalism for specifying systems exhibiting nondeterminism, probabilistic choices and Markovian rates. Recently, the process algebra MAPA was introduced to efficiently model such systems. As always, the state space explosion threatens the analysability of the models

  1. Confluence Reduction for Markov Automata

    NARCIS (Netherlands)

    Timmer, Mark; van de Pol, Jan Cornelis; Stoelinga, Mariëlle Ida Antoinette; Braberman, Victor; Fribourg, Laurent

    Markov automata are a novel formalism for specifying systems exhibiting nondeterminism, probabilistic choices and Markovian rates. Recently, the process algebra MAPA was introduced to efficiently model such systems. As always, the state space explosion threatens the analysability of the models

  2. Detecting critical state before phase transition of complex biological systems by hidden Markov model.

    Science.gov (United States)

    Chen, Pei; Liu, Rui; Li, Yongjun; Chen, Luonan

    2016-07-15

    Identifying the critical state or pre-transition state just before the occurrence of a phase transition is a challenging task, because the state of the system may show little apparent change before this critical transition during the gradual parameter variations. Such dynamics of phase transition is generally composed of three stages, i.e. before-transition state, pre-transition state and after-transition state, which can be considered as three different Markov processes. By exploring the rich dynamical information provided by high-throughput data, we present a novel computational method, i.e. hidden Markov model (HMM) based approach, to detect the switching point of the two Markov processes from the before-transition state (a stationary Markov process) to the pre-transition state (a time-varying Markov process), thereby identifying the pre-transition state or early-warning signals of the phase transition. To validate the effectiveness, we apply this method to detect the signals of the imminent phase transitions of complex systems based on the simulated datasets, and further identify the pre-transition states as well as their critical modules for three real datasets, i.e. the acute lung injury triggered by phosgene inhalation, MCF-7 human breast cancer caused by heregulin and HCV-induced dysplasia and hepatocellular carcinoma. Both functional and pathway enrichment analyses validate the computational results. The source code and some supporting files are available at https://github.com/rabbitpei/HMM_based-method lnchen@sibs.ac.cn or liyj@scut.edu.cn Supplementary data are available at Bioinformatics online. © The Author 2016. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com.

  3. Markov chains and mixing times

    CERN Document Server

    Levin, David A; Wilmer, Elizabeth L

    2009-01-01

    This book is an introduction to the modern approach to the theory of Markov chains. The main goal of this approach is to determine the rate of convergence of a Markov chain to the stationary distribution as a function of the size and geometry of the state space. The authors develop the key tools for estimating convergence times, including coupling, strong stationary times, and spectral methods. Whenever possible, probabilistic methods are emphasized. The book includes many examples and provides brief introductions to some central models of statistical mechanics. Also provided are accounts of r

  4. A Hidden Markov Model Representing the Spatial and Temporal Correlation of Multiple Wind Farms

    DEFF Research Database (Denmark)

    Fang, Jiakun; Su, Chi; Hu, Weihao

    2015-01-01

    To accommodate the increasing wind energy with stochastic nature becomes a major issue on power system reliability. This paper proposes a methodology to characterize the spatiotemporal correlation of multiple wind farms. First, a hierarchical clustering method based on self-organizing maps is ado....... The proposed statistical modeling framework is compatible with the sequential power system reliability analysis. A case study on optimal sizing and location of fast-response regulation sources is presented.......To accommodate the increasing wind energy with stochastic nature becomes a major issue on power system reliability. This paper proposes a methodology to characterize the spatiotemporal correlation of multiple wind farms. First, a hierarchical clustering method based on self-organizing maps...... is adopted to categorize the similar output patterns of several wind farms into joint states. Then the hidden Markov model (HMM) is then designed to describe the temporal correlations among these joint states. Unlike the conventional Markov chain model, the accumulated wind power is taken into consideration...

  5. A Multistep Extending Truncation Method towards Model Construction of Infinite-State Markov Chains

    Directory of Open Access Journals (Sweden)

    Kemin Wang

    2014-01-01

    Full Text Available The model checking of Infinite-State Continuous Time Markov Chains will inevitably encounter the state explosion problem when constructing the CTMCs model; our method is to get a truncated model of the infinite one; to get a sufficient truncated model to meet the model checking of Continuous Stochastic Logic based system properties, we propose a multistep extending advanced truncation method towards model construction of CTMCs and implement it in the INFAMY model checker; the experiment results show that our method is effective.

  6. Dimensional Reduction for the General Markov Model on Phylogenetic Trees.

    Science.gov (United States)

    Sumner, Jeremy G

    2017-03-01

    We present a method of dimensional reduction for the general Markov model of sequence evolution on a phylogenetic tree. We show that taking certain linear combinations of the associated random variables (site pattern counts) reduces the dimensionality of the model from exponential in the number of extant taxa, to quadratic in the number of taxa, while retaining the ability to statistically identify phylogenetic divergence events. A key feature is the identification of an invariant subspace which depends only bilinearly on the model parameters, in contrast to the usual multi-linear dependence in the full space. We discuss potential applications including the computation of split (edge) weights on phylogenetic trees from observed sequence data.

  7. Enhanced Map-Matching Algorithm with a Hidden Markov Model for Mobile Phone Positioning

    Directory of Open Access Journals (Sweden)

    An Luo

    2017-10-01

    Full Text Available Numerous map-matching techniques have been developed to improve positioning, using Global Positioning System (GPS data and other sensors. However, most existing map-matching algorithms process GPS data with high sampling rates, to achieve a higher correct rate and strong universality. This paper introduces a novel map-matching algorithm based on a hidden Markov model (HMM for GPS positioning and mobile phone positioning with a low sampling rate. The HMM is a statistical model well known for providing solutions to temporal recognition applications such as text and speech recognition. In this work, the hidden Markov chain model was built to establish a map-matching process, using the geometric data, the topologies matrix of road links in road network and refined quad-tree data structure. HMM-based map-matching exploits the Viterbi algorithm to find the optimized road link sequence. The sequence consists of hidden states in the HMM model. The HMM-based map-matching algorithm is validated on a vehicle trajectory using GPS and mobile phone data. The results show a significant improvement in mobile phone positioning and high and low sampling of GPS data.

  8. A joint logistic regression and covariate-adjusted continuous-time Markov chain model.

    Science.gov (United States)

    Rubin, Maria Laura; Chan, Wenyaw; Yamal, Jose-Miguel; Robertson, Claudia Sue

    2017-12-10

    The use of longitudinal measurements to predict a categorical outcome is an increasingly common goal in research studies. Joint models are commonly used to describe two or more models simultaneously by considering the correlated nature of their outcomes and the random error present in the longitudinal measurements. However, there is limited research on joint models with longitudinal predictors and categorical cross-sectional outcomes. Perhaps the most challenging task is how to model the longitudinal predictor process such that it represents the true biological mechanism that dictates the association with the categorical response. We propose a joint logistic regression and Markov chain model to describe a binary cross-sectional response, where the unobserved transition rates of a two-state continuous-time Markov chain are included as covariates. We use the method of maximum likelihood to estimate the parameters of our model. In a simulation study, coverage probabilities of about 95%, standard deviations close to standard errors, and low biases for the parameter values show that our estimation method is adequate. We apply the proposed joint model to a dataset of patients with traumatic brain injury to describe and predict a 6-month outcome based on physiological data collected post-injury and admission characteristics. Our analysis indicates that the information provided by physiological changes over time may help improve prediction of long-term functional status of these severely ill subjects. Copyright © 2017 John Wiley & Sons, Ltd. Copyright © 2017 John Wiley & Sons, Ltd.

  9. Modeling dyadic processes using Hidden Markov Models: A time series approach to mother-infant interactions during infant immunization.

    Science.gov (United States)

    Stifter, Cynthia A; Rovine, Michael

    2015-01-01

    The focus of the present longitudinal study, to examine mother-infant interaction during the administration of immunizations at two and six months of age, used hidden Markov modeling, a time series approach that produces latent states to describe how mothers and infants work together to bring the infant to a soothed state. Results revealed a 4-state model for the dyadic responses to a two-month inoculation whereas a 6-state model best described the dyadic process at six months. Two of the states at two months and three of the states at six months suggested a progression from high intensity crying to no crying with parents using vestibular and auditory soothing methods. The use of feeding and/or pacifying to soothe the infant characterized one two-month state and two six-month states. These data indicate that with maturation and experience, the mother-infant dyad is becoming more organized around the soothing interaction. Using hidden Markov modeling to describe individual differences, as well as normative processes, is also presented and discussed.

  10. Modeling Urban Expansion in Bangkok Metropolitan Region Using Demographic–Economic Data through Cellular Automata-Markov Chain and Multi-Layer Perceptron-Markov Chain Models

    Directory of Open Access Journals (Sweden)

    Chudech Losiri

    2016-07-01

    Full Text Available Urban expansion is considered as one of the most important problems in several developing countries. Bangkok Metropolitan Region (BMR is the urbanized and agglomerated area of Bangkok Metropolis (BM and its vicinity, which confronts the expansion problem from the center of the city. Landsat images of 1988, 1993, 1998, 2003, 2008, and 2011 were used to detect the land use and land cover (LULC changes. The demographic and economic data together with corresponding maps were used to determine the driving factors for land conversions. This study applied Cellular Automata-Markov Chain (CA-MC and Multi-Layer Perceptron-Markov Chain (MLP-MC to model LULC and urban expansions. The performance of the CA-MC and MLP-MC yielded more than 90% overall accuracy to predict the LULC, especially the MLP-MC method. Further, the annual population and economic growth rates were considered to produce the land demand for the LULC in 2014 and 2035 using the statistical extrapolation and system dynamics (SD. It was evident that the simulated map in 2014 resulting from the SD yielded the highest accuracy. Therefore, this study applied the SD method to generate the land demand for simulating LULC in 2035. The outcome showed that urban occupied the land around a half of the BMR.

  11. One size does not fit all: On how Markov model order dictates performance of genomic sequence analyses

    Science.gov (United States)

    Narlikar, Leelavati; Mehta, Nidhi; Galande, Sanjeev; Arjunwadkar, Mihir

    2013-01-01

    The structural simplicity and ability to capture serial correlations make Markov models a popular modeling choice in several genomic analyses, such as identification of motifs, genes and regulatory elements. A critical, yet relatively unexplored, issue is the determination of the order of the Markov model. Most biological applications use a predetermined order for all data sets indiscriminately. Here, we show the vast variation in the performance of such applications with the order. To identify the ‘optimal’ order, we investigated two model selection criteria: Akaike information criterion and Bayesian information criterion (BIC). The BIC optimal order delivers the best performance for mammalian phylogeny reconstruction and motif discovery. Importantly, this order is different from orders typically used by many tools, suggesting that a simple additional step determining this order can significantly improve results. Further, we describe a novel classification approach based on BIC optimal Markov models to predict functionality of tissue-specific promoters. Our classifier discriminates between promoters active across 12 different tissues with remarkable accuracy, yielding 3 times the precision expected by chance. Application to the metagenomics problem of identifying the taxum from a short DNA fragment yields accuracies at least as high as the more complex mainstream methodologies, while retaining conceptual and computational simplicity. PMID:23267010

  12. Markov Chain: A Predictive Model for Manpower Planning ...

    African Journals Online (AJOL)

    ADOWIE PERE

    Keywords: Markov Chain, Transition Probability Matrix, Manpower Planning, Recruitment, Promotion, .... movement of the workforce in Jordan productivity .... Planning periods, with T being the horizon, the value of t represents a session.

  13. Sampling rare fluctuations of discrete-time Markov chains

    Science.gov (United States)

    Whitelam, Stephen

    2018-03-01

    We describe a simple method that can be used to sample the rare fluctuations of discrete-time Markov chains. We focus on the case of Markov chains with well-defined steady-state measures, and derive expressions for the large-deviation rate functions (and upper bounds on such functions) for dynamical quantities extensive in the length of the Markov chain. We illustrate the method using a series of simple examples, and use it to study the fluctuations of a lattice-based model of active matter that can undergo motility-induced phase separation.

  14. Prediction of inspection intervals using the Markov analysis

    International Nuclear Information System (INIS)

    Rea, R.; Arellano, J.

    2005-01-01

    To solve the unmanageable number of states of Markov of systems that have a great number of components, it is intends a modification to the method of Markov, denominated Markov truncated analysis, in which is assumed that it is worthless the dependence among faults of components. With it the number of states is increased in a lineal way (not exponential) with the number of components of the system, simplifying the analysis vastly. As example, the proposed method was applied to the system HPCS of the CLV considering its 18 main components. It thinks about that each component can take three states: operational, with hidden fault and with revealed fault. Additionally, it takes into account the configuration of the system HPCS by means of a block diagram of dependability to estimate their unavailability at level system. The results of the model here proposed are compared with other methods and approaches used to simplify the Markov analysis. It also intends the modification of the intervals of inspection of three components of the system HPCS. This finishes with base in the developed Markov model and in the maximum time allowed by the code ASME (NUREG-1482) to inspect components of systems that are in reservation in nuclear power plants. (Author)

  15. Modeling long correlation times using additive binary Markov chains: Applications to wind generation time series

    Science.gov (United States)

    Weber, Juliane; Zachow, Christopher; Witthaut, Dirk

    2018-03-01

    Wind power generation exhibits a strong temporal variability, which is crucial for system integration in highly renewable power systems. Different methods exist to simulate wind power generation but they often cannot represent the crucial temporal fluctuations properly. We apply the concept of additive binary Markov chains to model a wind generation time series consisting of two states: periods of high and low wind generation. The only input parameter for this model is the empirical autocorrelation function. The two-state model is readily extended to stochastically reproduce the actual generation per period. To evaluate the additive binary Markov chain method, we introduce a coarse model of the electric power system to derive backup and storage needs. We find that the temporal correlations of wind power generation, the backup need as a function of the storage capacity, and the resting time distribution of high and low wind events for different shares of wind generation can be reconstructed.

  16. Modeling long correlation times using additive binary Markov chains: Applications to wind generation time series.

    Science.gov (United States)

    Weber, Juliane; Zachow, Christopher; Witthaut, Dirk

    2018-03-01

    Wind power generation exhibits a strong temporal variability, which is crucial for system integration in highly renewable power systems. Different methods exist to simulate wind power generation but they often cannot represent the crucial temporal fluctuations properly. We apply the concept of additive binary Markov chains to model a wind generation time series consisting of two states: periods of high and low wind generation. The only input parameter for this model is the empirical autocorrelation function. The two-state model is readily extended to stochastically reproduce the actual generation per period. To evaluate the additive binary Markov chain method, we introduce a coarse model of the electric power system to derive backup and storage needs. We find that the temporal correlations of wind power generation, the backup need as a function of the storage capacity, and the resting time distribution of high and low wind events for different shares of wind generation can be reconstructed.

  17. Irreversible Markov chains in spin models: Topological excitations

    Science.gov (United States)

    Lei, Ze; Krauth, Werner

    2018-01-01

    We analyze the convergence of the irreversible event-chain Monte Carlo algorithm for continuous spin models in the presence of topological excitations. In the two-dimensional XY model, we show that the local nature of the Markov-chain dynamics leads to slow decay of vortex-antivortex correlations while spin waves decorrelate very quickly. Using a Fréchet description of the maximum vortex-antivortex distance, we quantify the contributions of topological excitations to the equilibrium correlations, and show that they vary from a dynamical critical exponent z∼ 2 at the critical temperature to z∼ 0 in the limit of zero temperature. We confirm the event-chain algorithm's fast relaxation (corresponding to z = 0) of spin waves in the harmonic approximation to the XY model. Mixing times (describing the approach towards equilibrium from the least favorable initial state) however remain much larger than equilibrium correlation times at low temperatures. We also describe the respective influence of topological monopole-antimonopole excitations and of spin waves on the event-chain dynamics in the three-dimensional Heisenberg model.

  18. Multilayer Markov Random Field models for change detection in optical remote sensing images

    Science.gov (United States)

    Benedek, Csaba; Shadaydeh, Maha; Kato, Zoltan; Szirányi, Tamás; Zerubia, Josiane

    2015-09-01

    In this paper, we give a comparative study on three Multilayer Markov Random Field (MRF) based solutions proposed for change detection in optical remote sensing images, called Multicue MRF, Conditional Mixed Markov model, and Fusion MRF. Our purposes are twofold. On one hand, we highlight the significance of the focused model family and we set them against various state-of-the-art approaches through a thematic analysis and quantitative tests. We discuss the advantages and drawbacks of class comparison vs. direct approaches, usage of training data, various targeted application fields and different ways of Ground Truth generation, meantime informing the Reader in which roles the Multilayer MRFs can be efficiently applied. On the other hand we also emphasize the differences between the three focused models at various levels, considering the model structures, feature extraction, layer interpretation, change concept definition, parameter tuning and performance. We provide qualitative and quantitative comparison results using principally a publicly available change detection database which contains aerial image pairs and Ground Truth change masks. We conclude that the discussed models are competitive against alternative state-of-the-art solutions, if one uses them as pre-processing filters in multitemporal optical image analysis. In addition, they cover together a large range of applications, considering the different usage options of the three approaches.

  19. Introduction to the numerical solutions of Markov chains

    CERN Document Server

    Stewart, Williams J

    1994-01-01

    A cornerstone of applied probability, Markov chains can be used to help model how plants grow, chemicals react, and atoms diffuse - and applications are increasingly being found in such areas as engineering, computer science, economics, and education. To apply the techniques to real problems, however, it is necessary to understand how Markov chains can be solved numerically. In this book, the first to offer a systematic and detailed treatment of the numerical solution of Markov chains, William Stewart provides scientists on many levels with the power to put this theory to use in the actual world, where it has applications in areas as diverse as engineering, economics, and education. His efforts make for essential reading in a rapidly growing field. Here, Stewart explores all aspects of numerically computing solutions of Markov chains, especially when the state is huge. He provides extensive background to both discrete-time and continuous-time Markov chains and examines many different numerical computing metho...

  20. Speech-To-Text Conversion STT System Using Hidden Markov Model HMM

    Directory of Open Access Journals (Sweden)

    Su Myat Mon

    2015-06-01

    Full Text Available Abstract Speech is an easiest way to communicate with each other. Speech processing is widely used in many applications like security devices household appliances cellular phones ATM machines and computers. The human computer interface has been developed to communicate or interact conveniently for one who is suffering from some kind of disabilities. Speech-to-Text Conversion STT systems have a lot of benefits for the deaf or dumb people and find their applications in our daily lives. In the same way the aim of the system is to convert the input speech signals into the text output for the deaf or dumb students in the educational fields. This paper presents an approach to extract features by using Mel Frequency Cepstral Coefficients MFCC from the speech signals of isolated spoken words. And Hidden Markov Model HMM method is applied to train and test the audio files to get the recognized spoken word. The speech database is created by using MATLAB.Then the original speech signals are preprocessed and these speech samples are extracted to the feature vectors which are used as the observation sequences of the Hidden Markov Model HMM recognizer. The feature vectors are analyzed in the HMM depending on the number of states.

  1. Markov Chain Ontology Analysis (MCOA).

    Science.gov (United States)

    Frost, H Robert; McCray, Alexa T

    2012-02-03

    Biomedical ontologies have become an increasingly critical lens through which researchers analyze the genomic, clinical and bibliographic data that fuels scientific research. Of particular relevance are methods, such as enrichment analysis, that quantify the importance of ontology classes relative to a collection of domain data. Current analytical techniques, however, remain limited in their ability to handle many important types of structural complexity encountered in real biological systems including class overlaps, continuously valued data, inter-instance relationships, non-hierarchical relationships between classes, semantic distance and sparse data. In this paper, we describe a methodology called Markov Chain Ontology Analysis (MCOA) and illustrate its use through a MCOA-based enrichment analysis application based on a generative model of gene activation. MCOA models the classes in an ontology, the instances from an associated dataset and all directional inter-class, class-to-instance and inter-instance relationships as a single finite ergodic Markov chain. The adjusted transition probability matrix for this Markov chain enables the calculation of eigenvector values that quantify the importance of each ontology class relative to other classes and the associated data set members. On both controlled Gene Ontology (GO) data sets created with Escherichia coli, Drosophila melanogaster and Homo sapiens annotations and real gene expression data extracted from the Gene Expression Omnibus (GEO), the MCOA enrichment analysis approach provides the best performance of comparable state-of-the-art methods. A methodology based on Markov chain models and network analytic metrics can help detect the relevant signal within large, highly interdependent and noisy data sets and, for applications such as enrichment analysis, has been shown to generate superior performance on both real and simulated data relative to existing state-of-the-art approaches.

  2. Rate estimation in partially observed Markov jump processes with measurement errors

    OpenAIRE

    Amrein, Michael; Kuensch, Hans R.

    2010-01-01

    We present a simulation methodology for Bayesian estimation of rate parameters in Markov jump processes arising for example in stochastic kinetic models. To handle the problem of missing components and measurement errors in observed data, we embed the Markov jump process into the framework of a general state space model. We do not use diffusion approximations. Markov chain Monte Carlo and particle filter type algorithms are introduced, which allow sampling from the posterior distribution of t...

  3. Statistical Shape Modelling and Markov Random Field Restoration (invited tutorial and exercise)

    DEFF Research Database (Denmark)

    Hilger, Klaus Baggesen

    This tutorial focuses on statistical shape analysis using point distribution models (PDM) which is widely used in modelling biological shape variability over a set of annotated training data. Furthermore, Active Shape Models (ASM) and Active Appearance Models (AAM) are based on PDMs and have proven...... deformation field between shapes. The tutorial demonstrates both generative active shape and appearance models, and MRF restoration on 3D polygonized surfaces. ''Exercise: Spectral-Spatial classification of multivariate images'' From annotated training data this exercise applies spatial image restoration...... using Markov random field relaxation of a spectral classifier. Keywords: the Ising model, the Potts model, stochastic sampling, discriminant analysis, expectation maximization....

  4. Optimization of hospital ward resources with patient relocation using Markov chain modeling

    DEFF Research Database (Denmark)

    Andersen, Anders Reenberg; Nielsen, Bo Friis; Reinhardt, Line Blander

    2017-01-01

    available to the hospital. Patient flow is modeled using a homogeneous continuous-time Markov chain and optimization is conducted using a local search heuristic. Our model accounts for patient relocation, which has not been done analytically in literature with similar scope. The study objective is to ensure...... are distributed. Furthermore, our heuristic is found to efficiently derive the optimal solution. Applying our model to the hospital case, we found that relocation of daily arrivals can be reduced by 11.7% by re-distributing beds that are already available to the hospital....

  5. Avian life history profiles for use in the Markov chain nest productivity model (MCnest)

    Science.gov (United States)

    The Markov Chain nest productivity model, or MCnest, quantitatively estimates the effects of pesticides or other toxic chemicals on annual reproductive success of avian species (Bennett and Etterson 2013, Etterson and Bennett 2013). The Basic Version of MCnest was developed as a...

  6. Dynamic neutron scattering from conformational dynamics. II. Application using molecular dynamics simulation and Markov modeling.

    Science.gov (United States)

    Yi, Zheng; Lindner, Benjamin; Prinz, Jan-Hendrik; Noé, Frank; Smith, Jeremy C

    2013-11-07

    Neutron scattering experiments directly probe the dynamics of complex molecules on the sub pico- to microsecond time scales. However, the assignment of the relaxations seen experimentally to specific structural rearrangements is difficult, since many of the underlying dynamical processes may exist on similar timescales. In an accompanying article, we present a theoretical approach to the analysis of molecular dynamics simulations with a Markov State Model (MSM) that permits the direct identification of structural transitions leading to each contributing relaxation process. Here, we demonstrate the use of the method by applying it to the configurational dynamics of the well-characterized alanine dipeptide. A practical procedure for deriving the MSM from an MD is introduced. The result is a 9-state MSM in the space of the backbone dihedral angles and the side-chain methyl group. The agreement between the quasielastic spectrum calculated directly from the atomic trajectories and that derived from the Markov state model is excellent. The dependence on the wavevector of the individual Markov processes is described. The procedure means that it is now practicable to interpret quasielastic scattering spectra in terms of well-defined intramolecular transitions with minimal a priori assumptions as to the nature of the dynamics taking place.

  7. Efficient Incorporation of Markov Random Fields in Change Detection

    DEFF Research Database (Denmark)

    Aanæs, Henrik; Nielsen, Allan Aasbjerg; Carstensen, Jens Michael

    2009-01-01

    of noise, implying that the pixel-wise classifier is also noisy. There is thus a need for incorporating local homogeneity constraints into such a change detection framework. For this modelling task Markov Random Fields are suitable. Markov Random Fields have, however, previously been plagued by lack...

  8. Robust filtering and prediction for systems with embedded finite-state Markov-Chain dynamics

    International Nuclear Information System (INIS)

    Pate, E.B.

    1986-01-01

    This research developed new methodologies for the design of robust near-optimal filters/predictors for a class of system models that exhibit embedded finite-state Markov-chain dynamics. These methodologies are developed through the concepts and methods of stochastic model building (including time-series analysis), game theory, decision theory, and filtering/prediction for linear dynamic systems. The methodology is based on the relationship between the robustness of a class of time-series models and quantization which is applied to the time series as part of the model identification process. This relationship is exploited by utilizing the concept of an equivalence, through invariance of spectra, between the class of Markov-chain models and the class of autoregressive moving average (ARMA) models. This spectral equivalence permits a straightforward implementation of the desirable robust properties of the Markov-chain approximation in a class of models which may be applied in linear-recursive form in a linear Kalman filter/predictor structure. The linear filter/predictor structure is shown to provide asymptotically optimal estimates of states which represent one or more integrations of the Markov-chain state. The development of a new saddle-point theorem for a game based on the Markov-chain model structure gives rise to a technique for determining a worst case Markov-chain process, upon which a robust filter/predictor design if based

  9. Markov decision processes in artificial intelligence

    CERN Document Server

    Sigaud, Olivier

    2013-01-01

    Markov Decision Processes (MDPs) are a mathematical framework for modeling sequential decision problems under uncertainty as well as Reinforcement Learning problems. Written by experts in the field, this book provides a global view of current research using MDPs in Artificial Intelligence. It starts with an introductory presentation of the fundamental aspects of MDPs (planning in MDPs, Reinforcement Learning, Partially Observable MDPs, Markov games and the use of non-classical criteria). Then it presents more advanced research trends in the domain and gives some concrete examples using illustr

  10. An integral equation approach to the interval reliability of systems modelled by finite semi-Markov processes

    International Nuclear Information System (INIS)

    Csenki, A.

    1995-01-01

    The interval reliability for a repairable system which alternates between working and repair periods is defined as the probability of the system being functional throughout a given time interval. In this paper, a set of integral equations is derived for this dependability measure, under the assumption that the system is modelled by an irreducible finite semi-Markov process. The result is applied to the semi-Markov model of a two-unit system with sequential preventive maintenance. The method used for the numerical solution of the resulting system of integral equations is a two-point trapezoidal rule. The system of implementation is the matrix computation package MATLAB on the Apple Macintosh SE/30. The numerical results are discussed and compared with those from simulation

  11. Hidden Markov Model-based Pedestrian Navigation System using MEMS Inertial Sensors

    Directory of Open Access Journals (Sweden)

    Zhang Yingjun

    2015-02-01

    Full Text Available In this paper, a foot-mounted pedestrian navigation system using MEMS inertial sensors is implemented, where the zero-velocity detection is abstracted into a hidden Markov model with 4 states and 15 observations. Moreover, an observations extraction algorithm has been developed to extract observations from sensor outputs; sample sets are used to train and optimize the model parameters by the Baum-Welch algorithm. Finally, a navigation system is developed, and the performance of the pedestrian navigation system is evaluated using indoor and outdoor field tests, and the results show that position error is less than 3% of total distance travelled.

  12. Belief Bisimulation for Hidden Markov Models Logical Characterisation and Decision Algorithm

    DEFF Research Database (Denmark)

    Jansen, David N.; Nielson, Flemming; Zhang, Lijun

    2012-01-01

    This paper establishes connections between logical equivalences and bisimulation relations for hidden Markov models (HMM). Both standard and belief state bisimulations are considered. We also present decision algorithms for the bisimilarities. For standard bisimilarity, an extension of the usual...... partition refinement algorithm is enough. Belief bisimilarity, being a relation on the continuous space of belief states, cannot be described directly. Instead, we show how to generate a linear equation system in time cubic in the number of states....

  13. Modeling and Computing of Stock Index Forecasting Based on Neural Network and Markov Chain

    Science.gov (United States)

    Dai, Yonghui; Han, Dongmei; Dai, Weihui

    2014-01-01

    The stock index reflects the fluctuation of the stock market. For a long time, there have been a lot of researches on the forecast of stock index. However, the traditional method is limited to achieving an ideal precision in the dynamic market due to the influences of many factors such as the economic situation, policy changes, and emergency events. Therefore, the approach based on adaptive modeling and conditional probability transfer causes the new attention of researchers. This paper presents a new forecast method by the combination of improved back-propagation (BP) neural network and Markov chain, as well as its modeling and computing technology. This method includes initial forecasting by improved BP neural network, division of Markov state region, computing of the state transition probability matrix, and the prediction adjustment. Results of the empirical study show that this method can achieve high accuracy in the stock index prediction, and it could provide a good reference for the investment in stock market. PMID:24782659

  14. Modeling and Computing of Stock Index Forecasting Based on Neural Network and Markov Chain

    Directory of Open Access Journals (Sweden)

    Yonghui Dai

    2014-01-01

    Full Text Available The stock index reflects the fluctuation of the stock market. For a long time, there have been a lot of researches on the forecast of stock index. However, the traditional method is limited to achieving an ideal precision in the dynamic market due to the influences of many factors such as the economic situation, policy changes, and emergency events. Therefore, the approach based on adaptive modeling and conditional probability transfer causes the new attention of researchers. This paper presents a new forecast method by the combination of improved back-propagation (BP neural network and Markov chain, as well as its modeling and computing technology. This method includes initial forecasting by improved BP neural network, division of Markov state region, computing of the state transition probability matrix, and the prediction adjustment. Results of the empirical study show that this method can achieve high accuracy in the stock index prediction, and it could provide a good reference for the investment in stock market.

  15. Robust Transmission of Speech LSFs Using Hidden Markov Model-Based Multiple Description Index Assignments

    Directory of Open Access Journals (Sweden)

    Rondeau Paul

    2008-01-01

    Full Text Available Speech coding techniques capable of generating encoded representations which are robust against channel losses play an important role in enabling reliable voice communication over packet networks and mobile wireless systems. In this paper, we investigate the use of multiple description index assignments (MDIAs for loss-tolerant transmission of line spectral frequency (LSF coefficients, typically generated by state-of-the-art speech coders. We propose a simulated annealing-based approach for optimizing MDIAs for Markov-model-based decoders which exploit inter- and intraframe correlations in LSF coefficients to reconstruct the quantized LSFs from coded bit streams corrupted by channel losses. Experimental results are presented which compare the performance of a number of novel LSF transmission schemes. These results clearly demonstrate that Markov-model-based decoders, when used in conjunction with optimized MDIA, can yield average spectral distortion much lower than that produced by methods such as interleaving/interpolation, commonly used to combat the packet losses.

  16. Robust Transmission of Speech LSFs Using Hidden Markov Model-Based Multiple Description Index Assignments

    Directory of Open Access Journals (Sweden)

    Pradeepa Yahampath

    2008-03-01

    Full Text Available Speech coding techniques capable of generating encoded representations which are robust against channel losses play an important role in enabling reliable voice communication over packet networks and mobile wireless systems. In this paper, we investigate the use of multiple description index assignments (MDIAs for loss-tolerant transmission of line spectral frequency (LSF coefficients, typically generated by state-of-the-art speech coders. We propose a simulated annealing-based approach for optimizing MDIAs for Markov-model-based decoders which exploit inter- and intraframe correlations in LSF coefficients to reconstruct the quantized LSFs from coded bit streams corrupted by channel losses. Experimental results are presented which compare the performance of a number of novel LSF transmission schemes. These results clearly demonstrate that Markov-model-based decoders, when used in conjunction with optimized MDIA, can yield average spectral distortion much lower than that produced by methods such as interleaving/interpolation, commonly used to combat the packet losses.

  17. Monte Carlo simulation of Markov unreliability models

    International Nuclear Information System (INIS)

    Lewis, E.E.; Boehm, F.

    1984-01-01

    A Monte Carlo method is formulated for the evaluation of the unrealibility of complex systems with known component failure and repair rates. The formulation is in terms of a Markov process allowing dependences between components to be modeled and computational efficiencies to be achieved in the Monte Carlo simulation. Two variance reduction techniques, forced transition and failure biasing, are employed to increase computational efficiency of the random walk procedure. For an example problem these result in improved computational efficiency by more than three orders of magnitudes over analog Monte Carlo. The method is generalized to treat problems with distributed failure and repair rate data, and a batching technique is introduced and shown to result in substantial increases in computational efficiency for an example problem. A method for separating the variance due to the data uncertainty from that due to the finite number of random walks is presented. (orig.)

  18. Prediction and generation of binary Markov processes: Can a finite-state fox catch a Markov mouse?

    Science.gov (United States)

    Ruebeck, Joshua B.; James, Ryan G.; Mahoney, John R.; Crutchfield, James P.

    2018-01-01

    Understanding the generative mechanism of a natural system is a vital component of the scientific method. Here, we investigate one of the fundamental steps toward this goal by presenting the minimal generator of an arbitrary binary Markov process. This is a class of processes whose predictive model is well known. Surprisingly, the generative model requires three distinct topologies for different regions of parameter space. We show that a previously proposed generator for a particular set of binary Markov processes is, in fact, not minimal. Our results shed the first quantitative light on the relative (minimal) costs of prediction and generation. We find, for instance, that the difference between prediction and generation is maximized when the process is approximately independently, identically distributed.

  19. Markov modulated Poisson process models incorporating covariates for rainfall intensity.

    Science.gov (United States)

    Thayakaran, R; Ramesh, N I

    2013-01-01

    Time series of rainfall bucket tip times at the Beaufort Park station, Bracknell, in the UK are modelled by a class of Markov modulated Poisson processes (MMPP) which may be thought of as a generalization of the Poisson process. Our main focus in this paper is to investigate the effects of including covariate information into the MMPP model framework on statistical properties. In particular, we look at three types of time-varying covariates namely temperature, sea level pressure, and relative humidity that are thought to be affecting the rainfall arrival process. Maximum likelihood estimation is used to obtain the parameter estimates, and likelihood ratio tests are employed in model comparison. Simulated data from the fitted model are used to make statistical inferences about the accumulated rainfall in the discrete time interval. Variability of the daily Poisson arrival rates is studied.

  20. Pairwise Choice Markov Chains

    OpenAIRE

    Ragain, Stephen; Ugander, Johan

    2016-01-01

    As datasets capturing human choices grow in richness and scale---particularly in online domains---there is an increasing need for choice models that escape traditional choice-theoretic axioms such as regularity, stochastic transitivity, and Luce's choice axiom. In this work we introduce the Pairwise Choice Markov Chain (PCMC) model of discrete choice, an inferentially tractable model that does not assume any of the above axioms while still satisfying the foundational axiom of uniform expansio...

  1. Pemodelan Markov Switching Autoregressive

    OpenAIRE

    Ariyani, Fiqria Devi; Warsito, Budi; Yasin, Hasbi

    2014-01-01

    Transition from depreciation to appreciation of exchange rate is one of regime switching that ignored by classic time series model, such as ARIMA, ARCH, or GARCH. Therefore, economic variables are modeled by Markov Switching Autoregressive (MSAR) which consider the regime switching. MLE is not applicable to parameters estimation because regime is an unobservable variable. So that filtering and smoothing process are applied to see the regime probabilities of observation. Using this model, tran...

  2. Road maintenance optimization through a discrete-time semi-Markov decision process

    International Nuclear Information System (INIS)

    Zhang Xueqing; Gao Hui

    2012-01-01

    Optimization models are necessary for efficient and cost-effective maintenance of a road network. In this regard, road deterioration is commonly modeled as a discrete-time Markov process such that an optimal maintenance policy can be obtained based on the Markov decision process, or as a renewal process such that an optimal maintenance policy can be obtained based on the renewal theory. However, the discrete-time Markov process cannot capture the real time at which the state transits while the renewal process considers only one state and one maintenance action. In this paper, road deterioration is modeled as a semi-Markov process in which the state transition has the Markov property and the holding time in each state is assumed to follow a discrete Weibull distribution. Based on this semi-Markov process, linear programming models are formulated for both infinite and finite planning horizons in order to derive optimal maintenance policies to minimize the life-cycle cost of a road network. A hypothetical road network is used to illustrate the application of the proposed optimization models. The results indicate that these linear programming models are practical for the maintenance of a road network having a large number of road segments and that they are convenient to incorporate various constraints on the decision process, for example, performance requirements and available budgets. Although the optimal maintenance policies obtained for the road network are randomized stationary policies, the extent of this randomness in decision making is limited. The maintenance actions are deterministic for most states and the randomness in selecting actions occurs only for a few states.

  3. Markov bridges, bisection and variance reduction

    DEFF Research Database (Denmark)

    Asmussen, Søren; Hobolth, Asger

    . In this paper we firstly consider the problem of generating sample paths from a continuous-time Markov chain conditioned on the endpoints using a new algorithm based on the idea of bisection. Secondly we study the potential of the bisection algorithm for variance reduction. In particular, examples are presented......Time-continuous Markov jump processes is a popular modelling tool in disciplines ranging from computational finance and operations research to human genetics and genomics. The data is often sampled at discrete points in time, and it can be useful to simulate sample paths between the datapoints...

  4. A Hidden Markov Model for Analysis of Frontline Veterinary Data for Emerging Zoonotic Disease Surveillance

    Science.gov (United States)

    Robertson, Colin; Sawford, Kate; Gunawardana, Walimunige S. N.; Nelson, Trisalyn A.; Nathoo, Farouk; Stephen, Craig

    2011-01-01

    Surveillance systems tracking health patterns in animals have potential for early warning of infectious disease in humans, yet there are many challenges that remain before this can be realized. Specifically, there remains the challenge of detecting early warning signals for diseases that are not known or are not part of routine surveillance for named diseases. This paper reports on the development of a hidden Markov model for analysis of frontline veterinary sentinel surveillance data from Sri Lanka. Field veterinarians collected data on syndromes and diagnoses using mobile phones. A model for submission patterns accounts for both sentinel-related and disease-related variability. Models for commonly reported cattle diagnoses were estimated separately. Region-specific weekly average prevalence was estimated for each diagnoses and partitioned into normal and abnormal periods. Visualization of state probabilities was used to indicate areas and times of unusual disease prevalence. The analysis suggests that hidden Markov modelling is a useful approach for surveillance datasets from novel populations and/or having little historical baselines. PMID:21949763

  5. Chronic kidney disease Markov model comparing paricalcitol to calcitriol for secondary hyperparathyroidism: A US perspective

    NARCIS (Netherlands)

    M.J.C. Nuijten (Mark); D.L. Andress (Dennis); S.E. Marx (Steven); R. Sterz (Raimund)

    2009-01-01

    textabstractObjective: The objective of this study was to determine the cost effectiveness of paricalcitol versus calcitriol for the treatment of secondary hyperparathyroidism in patients with chronic kidney disease in the United States setting. Methods: A Markov process model was developed

  6. Asymptotic behavior of Bayes estimators for hidden Markov models with application to ion channels

    NARCIS (Netherlands)

    de Gunst, M.C.M.; Shcherbakova, O.V.

    2008-01-01

    In this paper we study the asymptotic behavior of Bayes estimators for hidden Markov models as the number of observations goes to infinity. The theorem that we prove is similar to the Bernstein-von Mises theorem on the asymptotic behavior of the posterior distribution for the case of independent

  7. Predicting Urban Medical Services Demand in China: An Improved Grey Markov Chain Model by Taylor Approximation.

    Science.gov (United States)

    Duan, Jinli; Jiao, Feng; Zhang, Qishan; Lin, Zhibin

    2017-08-06

    The sharp increase of the aging population has raised the pressure on the current limited medical resources in China. To better allocate resources, a more accurate prediction on medical service demand is very urgently needed. This study aims to improve the prediction on medical services demand in China. To achieve this aim, the study combines Taylor Approximation into the Grey Markov Chain model, and develops a new model named Taylor-Markov Chain GM (1,1) (T-MCGM (1,1)). The new model has been tested by adopting the historical data, which includes the medical service on treatment of diabetes, heart disease, and cerebrovascular disease from 1997 to 2015 in China. The model provides a predication on medical service demand of these three types of disease up to 2022. The results reveal an enormous growth of urban medical service demand in the future. The findings provide practical implications for the Health Administrative Department to allocate medical resources, and help hospitals to manage investments on medical facilities.

  8. Combining experimental and simulation data of molecular processes via augmented Markov models.

    Science.gov (United States)

    Olsson, Simon; Wu, Hao; Paul, Fabian; Clementi, Cecilia; Noé, Frank

    2017-08-01

    Accurate mechanistic description of structural changes in biomolecules is an increasingly important topic in structural and chemical biology. Markov models have emerged as a powerful way to approximate the molecular kinetics of large biomolecules while keeping full structural resolution in a divide-and-conquer fashion. However, the accuracy of these models is limited by that of the force fields used to generate the underlying molecular dynamics (MD) simulation data. Whereas the quality of classical MD force fields has improved significantly in recent years, remaining errors in the Boltzmann weights are still on the order of a few [Formula: see text], which may lead to significant discrepancies when comparing to experimentally measured rates or state populations. Here we take the view that simulations using a sufficiently good force-field sample conformations that are valid but have inaccurate weights, yet these weights may be made accurate by incorporating experimental data a posteriori. To do so, we propose augmented Markov models (AMMs), an approach that combines concepts from probability theory and information theory to consistently treat systematic force-field error and statistical errors in simulation and experiment. Our results demonstrate that AMMs can reconcile conflicting results for protein mechanisms obtained by different force fields and correct for a wide range of stationary and dynamical observables even when only equilibrium measurements are incorporated into the estimation process. This approach constitutes a unique avenue to combine experiment and computation into integrative models of biomolecular structure and dynamics.

  9. Post processing of optically recognized text via second order hidden Markov model

    Science.gov (United States)

    Poudel, Srijana

    In this thesis, we describe a postprocessing system on Optical Character Recognition(OCR) generated text. Second Order Hidden Markov Model (HMM) approach is used to detect and correct the OCR related errors. The reason for choosing the 2nd order HMM is to keep track of the bigrams so that the model can represent the system more accurately. Based on experiments with training data of 159,733 characters and testing of 5,688 characters, the model was able to correct 43.38 % of the errors with a precision of 75.34 %. However, the precision value indicates that the model introduced some new errors, decreasing the correction percentage to 26.4%.

  10. Bi-dimension decomposed hidden Markov models for multi-person activity recognition

    Institute of Scientific and Technical Information of China (English)

    Wei-dong ZHANG; Feng CHEN; Wen-li XU

    2009-01-01

    We present a novel model for recognizing long-term complex activities involving multiple persons. The proposed model, named 'decomposed hidden Markov model' (DHMM), combines spatial decomposition and hierarchical abstraction to capture multi-modal, long-term dependent and multi-scale characteristics of activities. Decomposition in space and time offers conceptual advantages of compaction and clarity, and greatly reduces the size of state space as well as the number of parameters.DHMMs are efficient even when the number of persons is variable. We also introduce an efficient approximation algorithm for inference and parameter estimation. Experiments on multi-person activities and multi-modal individual activities demonstrate that DHMMs are more efficient and reliable than familiar models, such as coupled HMMs, hierarchical HMMs, and multi-observation HMMs.

  11. Influence of credit scoring on the dynamics of Markov chain

    Science.gov (United States)

    Galina, Timofeeva

    2015-11-01

    Markov processes are widely used to model the dynamics of a credit portfolio and forecast the portfolio risk and profitability. In the Markov chain model the loan portfolio is divided into several groups with different quality, which determined by presence of indebtedness and its terms. It is proposed that dynamics of portfolio shares is described by a multistage controlled system. The article outlines mathematical formalization of controls which reflect the actions of the bank's management in order to improve the loan portfolio quality. The most important control is the organization of approval procedure of loan applications. The credit scoring is studied as a control affecting to the dynamic system. Different formalizations of "good" and "bad" consumers are proposed in connection with the Markov chain model.

  12. Convergence monitoring of Markov chains generated for inverse tracking of unknown model parameters in atmospheric dispersion

    International Nuclear Information System (INIS)

    Kim, Joo Yeon; Ryu, Hyung Joon; Jung, Gyu Hwan; Lee, Jai Ki

    2011-01-01

    The dependency within the sequential realizations in the generated Markov chains and their reliabilities are monitored by introducing the autocorrelation and the potential scale reduction factor (PSRF) by model parameters in the atmospheric dispersion. These two diagnostics have been applied for the posterior quantities of the release point and the release rate inferred through the inverse tracking of unknown model parameters for the Yonggwang atmospheric tracer experiment in Korea. The autocorrelations of model parameters are decreasing to low values approaching to zero with increase of lag, resulted in decrease of the dependencies within the two sequential realizations. Their PSRFs are reduced to within 1.2 and the adequate simulation number recognized from these results. From these two convergence diagnostics, the validation of Markov chains generated have been ensured and PSRF then is especially suggested as the efficient tool for convergence monitoring for the source reconstruction in atmospheric dispersion. (author)

  13. High-throughput detection of prostate cancer in histological sections using probabilistic pairwise Markov models.

    Science.gov (United States)

    Monaco, James P; Tomaszewski, John E; Feldman, Michael D; Hagemann, Ian; Moradi, Mehdi; Mousavi, Parvin; Boag, Alexander; Davidson, Chris; Abolmaesumi, Purang; Madabhushi, Anant

    2010-08-01

    In this paper we present a high-throughput system for detecting regions of carcinoma of the prostate (CaP) in HSs from radical prostatectomies (RPs) using probabilistic pairwise Markov models (PPMMs), a novel type of Markov random field (MRF). At diagnostic resolution a digitized HS can contain 80Kx70K pixels - far too many for current automated Gleason grading algorithms to process. However, grading can be separated into two distinct steps: (1) detecting cancerous regions and (2) then grading these regions. The detection step does not require diagnostic resolution and can be performed much more quickly. Thus, we introduce a CaP detection system capable of analyzing an entire digitized whole-mount HS (2x1.75cm(2)) in under three minutes (on a desktop computer) while achieving a CaP detection sensitivity and specificity of 0.87 and 0.90, respectively. We obtain this high-throughput by tailoring the system to analyze the HSs at low resolution (8microm per pixel). This motivates the following algorithm: (Step 1) glands are segmented, (Step 2) the segmented glands are classified as malignant or benign, and (Step 3) the malignant glands are consolidated into continuous regions. The classification of individual glands leverages two features: gland size and the tendency for proximate glands to share the same class. The latter feature describes a spatial dependency which we model using a Markov prior. Typically, Markov priors are expressed as the product of potential functions. Unfortunately, potential functions are mathematical abstractions, and constructing priors through their selection becomes an ad hoc procedure, resulting in simplistic models such as the Potts. Addressing this problem, we introduce PPMMs which formulate priors in terms of probability density functions, allowing the creation of more sophisticated models. To demonstrate the efficacy of our CaP detection system and assess the advantages of using a PPMM prior instead of the Potts, we alternately

  14. Markov Chain Estimation of Avian Seasonal Fecundity

    Science.gov (United States)

    To explore the consequences of modeling decisions on inference about avian seasonal fecundity we generalize previous Markov chain (MC) models of avian nest success to formulate two different MC models of avian seasonal fecundity that represent two different ways to model renestin...

  15. Cost effectiveness of ovarian reserve testing in in vitro fertilization : a Markov decision-analytic model

    NARCIS (Netherlands)

    Moolenaar, Lobke M.; Broekmans, Frank J. M.; van Disseldorp, Jeroen; Fauser, Bart C. J. M.; Eijkemans, Marinus J. C.; Hompes, Peter G. A.; van der Veen, Fulco; Mol, Ben Willem J.

    2011-01-01

    Objective: To compare the cost effectiveness of ovarian reserve testing in in vitro fertilization (IVF). Design: A Markov decision model based on data from the literature and original patient data. Setting: Decision analytic framework. Patient(s): Computer-simulated cohort of subfertile women aged

  16. An Efficient Algorithm for Modelling Duration in Hidden Markov Models, with a Dramatic Application

    DEFF Research Database (Denmark)

    Hauberg, Søren; Sloth, Jakob

    2008-01-01

    For many years, the hidden Markov model (HMM) has been one of the most popular tools for analysing sequential data. One frequently used special case is the left-right model, in which the order of the hidden states is known. If knowledge of the duration of a state is available it is not possible...... to represent it explicitly with an HMM. Methods for modelling duration with HMM's do exist (Rabiner in Proc. IEEE 77(2):257---286, [1989]), but they come at the price of increased computational complexity. Here we present an efficient and robust algorithm for modelling duration in HMM's, and this algorithm...

  17. Two-Stage Hidden Markov Model in Gesture Recognition for Human Robot Interaction

    Directory of Open Access Journals (Sweden)

    Nhan Nguyen-Duc-Thanh

    2012-07-01

    Full Text Available Hidden Markov Model (HMM is very rich in mathematical structure and hence can form the theoretical basis for use in a wide range of applications including gesture representation. Most research in this field, however, uses only HMM for recognizing simple gestures, while HMM can definitely be applied for whole gesture meaning recognition. This is very effectively applicable in Human-Robot Interaction (HRI. In this paper, we introduce an approach for HRI in which not only the human can naturally control the robot by hand gesture, but also the robot can recognize what kind of task it is executing. The main idea behind this method is the 2-stages Hidden Markov Model. The 1st HMM is to recognize the prime command-like gestures. Based on the sequence of prime gestures that are recognized from the 1st stage and which represent the whole action, the 2nd HMM plays a role in task recognition. Another contribution of this paper is that we use the output Mixed Gaussian distribution in HMM to improve the recognition rate. In the experiment, we also complete a comparison of the different number of hidden states and mixture components to obtain the optimal one, and compare to other methods to evaluate this performance.

  18. Phase Transitions for Quantum XY-Model on the Cayley Tree of Order Three in Quantum Markov Chain Scheme

    International Nuclear Information System (INIS)

    Mukhamedov, Farrukh; Saburov, Mansoor

    2010-06-01

    In the present paper we study forward Quantum Markov Chains (QMC) defined on a Cayley tree. Using the tree structure of graphs, we give a construction of quantum Markov chains on a Cayley tree. By means of such constructions we prove the existence of a phase transition for the XY-model on a Cayley tree of order three in QMC scheme. By the phase transition we mean the existence of two distinct QMC for the given family of interaction operators {K }. (author)

  19. Automated generation of partial Markov chain from high level descriptions

    International Nuclear Information System (INIS)

    Brameret, P.-A.; Rauzy, A.; Roussel, J.-M.

    2015-01-01

    We propose an algorithm to generate partial Markov chains from high level implicit descriptions, namely AltaRica models. This algorithm relies on two components. First, a variation on Dijkstra's algorithm to compute shortest paths in a graph. Second, the definition of a notion of distance to select which states must be kept and which can be safely discarded. The proposed method solves two problems at once. First, it avoids a manual construction of Markov chains, which is both tedious and error prone. Second, up the price of acceptable approximations, it makes it possible to push back dramatically the exponential blow-up of the size of the resulting chains. We report experimental results that show the efficiency of the proposed approach. - Highlights: • We generate Markov chains from a higher level safety modeling language (AltaRica). • We use a variation on Dijkstra's algorithm to generate partial Markov chains. • Hence we solve two problems: the first problem is the tedious manual construction of Markov chains. • The second problem is the blow-up of the size of the chains, at the cost of decent approximations. • The experimental results highlight the efficiency of the method

  20. Non-stationary Markov chains

    OpenAIRE

    Mallak, Saed

    1996-01-01

    Ankara : Department of Mathematics and Institute of Engineering and Sciences of Bilkent University, 1996. Thesis (Master's) -- Bilkent University, 1996. Includes bibliographical references leaves leaf 29 In thi.s work, we studierl the Ergodicilv of Non-Stationary .Markov chains. We gave several e.xainples with different cases. We proved that given a sec[uence of Markov chains such that the limit of this sec|uence is an Ergodic Markov chain, then the limit of the combination ...

  1. Subharmonic projections for a quantum Markov semigroup

    International Nuclear Information System (INIS)

    Fagnola, Franco; Rebolledo, Rolando

    2002-01-01

    This article introduces a concept of subharmonic projections for a quantum Markov semigroup, in view of characterizing the support projection of a stationary state in terms of the semigroup generator. These results, together with those of our previous article [J. Math. Phys. 42, 1296 (2001)], lead to a method for proving the existence of faithful stationary states. This is often crucial in the analysis of ergodic properties of quantum Markov semigroups. The method is illustrated by applications to physical models

  2. Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

    DEFF Research Database (Denmark)

    Nonejad, Nima

    This paper details Particle Markov chain Monte Carlo techniques for analysis of unobserved component time series models using several economic data sets. PMCMC combines the particle filter with the Metropolis-Hastings algorithm. Overall PMCMC provides a very compelling, computationally fast...... and efficient framework for estimation. These advantages are used to for instance estimate stochastic volatility models with leverage effect or with Student-t distributed errors. We also model changing time series characteristics of the US inflation rate by considering a heteroskedastic ARFIMA model where...

  3. Modeling Dyadic Processes Using Hidden Markov Models: A Time Series Approach to Mother-Infant Interactions during Infant Immunization

    Science.gov (United States)

    Stifter, Cynthia A.; Rovine, Michael

    2015-01-01

    The focus of the present longitudinal study, to examine mother-infant interaction during the administration of immunizations at 2 and 6?months of age, used hidden Markov modelling, a time series approach that produces latent states to describe how mothers and infants work together to bring the infant to a soothed state. Results revealed a…

  4. Markov chain: a predictive model for manpower planning | Ezugwu ...

    African Journals Online (AJOL)

    In respect of organizational management, numerous previous studies have ... and to forecast the academic staff structure of the university in the next five years. ... Keywords: Markov Chain, Transition Probability Matrix, Manpower Planning, ...

  5. On dynamic selection of households for direct marketing based on Markov chain models with memory

    NARCIS (Netherlands)

    Otter, Pieter W.

    A simple, dynamic selection procedure is proposed, based on conditional, expected profits using Markov chain models with memory. The method is easy to apply, only frequencies and mean values have to be calculated or estimated. The method is empirically illustrated using a data set from a charitable

  6. Cost effectiveness of ovarian reserve testing in in vitro fertilization: a Markov decision-analytic model

    NARCIS (Netherlands)

    Moolenaar, Lobke M.; Broekmans, Frank J. M.; van Disseldorp, Jeroen; Fauser, Bart C. J. M.; Eijkemans, Marinus J. C.; Hompes, Peter G. A.; van der Veen, Fulco; Mol, Ben Willem J.

    2011-01-01

    To compare the cost effectiveness of ovarian reserve testing in in vitro fertilization (IVF). A Markov decision model based on data from the literature and original patient data. Decision analytic framework. Computer-simulated cohort of subfertile women aged 20 to 45 years who are eligible for IVF.

  7. Non-homogeneous Markov process models with informative observations with an application to Alzheimer's disease.

    Science.gov (United States)

    Chen, Baojiang; Zhou, Xiao-Hua

    2011-05-01

    Identifying risk factors for transition rates among normal cognition, mildly cognitive impairment, dementia and death in an Alzheimer's disease study is very important. It is known that transition rates among these states are strongly time dependent. While Markov process models are often used to describe these disease progressions, the literature mainly focuses on time homogeneous processes, and limited tools are available for dealing with non-homogeneity. Further, patients may choose when they want to visit the clinics, which creates informative observations. In this paper, we develop methods to deal with non-homogeneous Markov processes through time scale transformation when observation times are pre-planned with some observations missing. Maximum likelihood estimation via the EM algorithm is derived for parameter estimation. Simulation studies demonstrate that the proposed method works well under a variety of situations. An application to the Alzheimer's disease study identifies that there is a significant increase in transition rates as a function of time. Furthermore, our models reveal that the non-ignorable missing mechanism is perhaps reasonable. Copyright © 2011 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

  8. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

    Full Text Available Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  9. An Expectation Maximization Algorithm to Model Failure Times by Continuous-Time Markov Chains

    Directory of Open Access Journals (Sweden)

    Qihong Duan

    2010-01-01

    Full Text Available In many applications, the failure rate function may present a bathtub shape curve. In this paper, an expectation maximization algorithm is proposed to construct a suitable continuous-time Markov chain which models the failure time data by the first time reaching the absorbing state. Assume that a system is described by methods of supplementary variables, the device of stage, and so on. Given a data set, the maximum likelihood estimators of the initial distribution and the infinitesimal transition rates of the Markov chain can be obtained by our novel algorithm. Suppose that there are m transient states in the system and that there are n failure time data. The devised algorithm only needs to compute the exponential of m×m upper triangular matrices for O(nm2 times in each iteration. Finally, the algorithm is applied to two real data sets, which indicates the practicality and efficiency of our algorithm.

  10. A comparison of non-homogeneous Markov regression models with application to Alzheimer’s disease progression

    Science.gov (United States)

    Hubbard, R. A.; Zhou, X.H.

    2011-01-01

    Markov regression models are useful tools for estimating the impact of risk factors on rates of transition between multiple disease states. Alzheimer’s disease (AD) is an example of a multi-state disease process in which great interest lies in identifying risk factors for transition. In this context, non-homogeneous models are required because transition rates change as subjects age. In this report we propose a non-homogeneous Markov regression model that allows for reversible and recurrent disease states, transitions among multiple states between observations, and unequally spaced observation times. We conducted simulation studies to demonstrate performance of estimators for covariate effects from this model and compare performance with alternative models when the underlying non-homogeneous process was correctly specified and under model misspecification. In simulation studies, we found that covariate effects were biased if non-homogeneity of the disease process was not accounted for. However, estimates from non-homogeneous models were robust to misspecification of the form of the non-homogeneity. We used our model to estimate risk factors for transition to mild cognitive impairment (MCI) and AD in a longitudinal study of subjects included in the National Alzheimer’s Coordinating Center’s Uniform Data Set. Using our model, we found that subjects with MCI affecting multiple cognitive domains were significantly less likely to revert to normal cognition. PMID:22419833

  11. Treatment of input uncertainty in hydrologic modeling: Doing hydrology backward with Markov chain Monte Carlo simulation

    NARCIS (Netherlands)

    Vrugt, J.A.; Braak, ter C.J.F.; Clark, M.P.; Hyman, J.M.; Robinson, B.A.

    2008-01-01

    There is increasing consensus in the hydrologic literature that an appropriate framework for streamflow forecasting and simulation should include explicit recognition of forcing and parameter and model structural error. This paper presents a novel Markov chain Monte Carlo (MCMC) sampler, entitled

  12. Continuous-Time Semi-Markov Models in Health Economic Decision Making : An Illustrative Example in Heart Failure Disease Management

    NARCIS (Netherlands)

    Cao, Qi; Buskens, Erik; Feenstra, Talitha; Jaarsma, Tiny; Hillege, Hans; Postmus, Douwe

    Continuous-time state transition models may end up having large unwieldy structures when trying to represent all relevant stages of clinical disease processes by means of a standard Markov model. In such situations, a more parsimonious, and therefore easier-to-grasp, model of a patient's disease

  13. Hidden Markov models in automatic speech recognition

    Science.gov (United States)

    Wrzoskowicz, Adam

    1993-11-01

    This article describes a method for constructing an automatic speech recognition system based on hidden Markov models (HMMs). The author discusses the basic concepts of HMM theory and the application of these models to the analysis and recognition of speech signals. The author provides algorithms which make it possible to train the ASR system and recognize signals on the basis of distinct stochastic models of selected speech sound classes. The author describes the specific components of the system and the procedures used to model and recognize speech. The author discusses problems associated with the choice of optimal signal detection and parameterization characteristics and their effect on the performance of the system. The author presents different options for the choice of speech signal segments and their consequences for the ASR process. The author gives special attention to the use of lexical, syntactic, and semantic information for the purpose of improving the quality and efficiency of the system. The author also describes an ASR system developed by the Speech Acoustics Laboratory of the IBPT PAS. The author discusses the results of experiments on the effect of noise on the performance of the ASR system and describes methods of constructing HMM's designed to operate in a noisy environment. The author also describes a language for human-robot communications which was defined as a complex multilevel network from an HMM model of speech sounds geared towards Polish inflections. The author also added mandatory lexical and syntactic rules to the system for its communications vocabulary.

  14. A study on the stochastic model for nuclide transport in the fractured porous rock using continuous time Markov process

    International Nuclear Information System (INIS)

    Lee, Youn Myoung

    1995-02-01

    As a newly approaching model, a stochastic model using continuous time Markov process for nuclide decay chain transport of arbitrary length in the fractured porous rock medium has been proposed, by which the need for solving a set of partial differential equations corresponding to various sets of side conditions can be avoided. Once the single planar fracture in the rock matrix is represented by a series of finite number of compartments having region wise constant parameter values in them, the medium is continuous in view of various processes associated with nuclide transport but discrete in medium space and such geologic system is assumed to have Markov property, since the Markov process requires that only the present value of the time dependent random variable be known to determine the future value of random variable, nuclide transport in the medium can then be modeled as a continuous time Markov process. Processes that are involved in nuclide transport are advective transport due to groundwater flow, diffusion into the rock matrix, adsorption onto the wall of the fracture and within the pores in the rock matrix, and radioactive decay chain. The transition probabilities for nuclide from the transition intensities between and out of the compartments are represented utilizing Chapman-Kolmogorov equation, through which the expectation and the variance of nuclide distribution for each compartment or the fractured rock medium can be obtained. Some comparisons between Markov process model developed in this work and available analytical solutions for one-dimensional layered porous medium, fractured medium with rock matrix diffusion, and porous medium considering three member nuclide decay chain without rock matrix diffusion have been made showing comparatively good agreement for all cases. To verify the model developed in this work another comparative study was also made by fitting the experimental data obtained with NaLS and uranine running in the artificial fractured

  15. Bayesian Mixed Hidden Markov Models: A Multi-Level Approach to Modeling Categorical Outcomes with Differential Misclassification

    Science.gov (United States)

    Zhang, Yue; Berhane, Kiros

    2014-01-01

    Questionnaire-based health status outcomes are often prone to misclassification. When studying the effect of risk factors on such outcomes, ignoring any potential misclassification may lead to biased effect estimates. Analytical challenges posed by these misclassified outcomes are further complicated when simultaneously exploring factors for both the misclassification and health processes in a multi-level setting. To address these challenges, we propose a fully Bayesian Mixed Hidden Markov Model (BMHMM) for handling differential misclassification in categorical outcomes in a multi-level setting. The BMHMM generalizes the traditional Hidden Markov Model (HMM) by introducing random effects into three sets of HMM parameters for joint estimation of the prevalence, transition and misclassification probabilities. This formulation not only allows joint estimation of all three sets of parameters, but also accounts for cluster level heterogeneity based on a multi-level model structure. Using this novel approach, both the true health status prevalence and the transition probabilities between the health states during follow-up are modeled as functions of covariates. The observed, possibly misclassified, health states are related to the true, but unobserved, health states and covariates. Results from simulation studies are presented to validate the estimation procedure, to show the computational efficiency due to the Bayesian approach and also to illustrate the gains from the proposed method compared to existing methods that ignore outcome misclassification and cluster level heterogeneity. We apply the proposed method to examine the risk factors for both asthma transition and misclassification in the Southern California Children's Health Study (CHS). PMID:24254432

  16. Persistence and ergodicity of plant disease model with markov conversion and impulsive toxicant input

    Science.gov (United States)

    Zhao, Wencai; Li, Juan; Zhang, Tongqian; Meng, Xinzhu; Zhang, Tonghua

    2017-07-01

    Taking into account of both white and colored noises, a stochastic mathematical model with impulsive toxicant input is formulated. Based on this model, we investigate dynamics, such as the persistence and ergodicity, of plant infectious disease model with Markov conversion in a polluted environment. The thresholds of extinction and persistence in mean are obtained. By using Lyapunov functions, we prove that the system is ergodic and has a stationary distribution under certain sufficient conditions. Finally, numerical simulations are employed to illustrate our theoretical analysis.

  17. Markov chain solution of photon multiple scattering through turbid slabs.

    Science.gov (United States)

    Lin, Ying; Northrop, William F; Li, Xuesong

    2016-11-14

    This work introduces a Markov Chain solution to model photon multiple scattering through turbid slabs via anisotropic scattering process, i.e., Mie scattering. Results show that the proposed Markov Chain model agree with commonly used Monte Carlo simulation for various mediums such as medium with non-uniform phase functions and absorbing medium. The proposed Markov Chain solution method successfully converts the complex multiple scattering problem with practical phase functions into a matrix form and solves transmitted/reflected photon angular distributions by matrix multiplications. Such characteristics would potentially allow practical inversions by matrix manipulation or stochastic algorithms where widely applied stochastic methods such as Monte Carlo simulations usually fail, and thus enable practical diagnostics reconstructions such as medical diagnosis, spray analysis, and atmosphere sciences.

  18. Nuclide transport of decay chain in the fractured rock medium: a model using continuous time Markov process

    International Nuclear Information System (INIS)

    Younmyoung Lee; Kunjai Lee

    1995-01-01

    A model using continuous time Markov process for nuclide transport of decay chain of arbitrary length in the fractured rock medium has been developed. Considering the fracture in the rock matrix as a finite number of compartments, the transition probability for nuclide from the transition intensity between and out of the compartments is represented utilizing Chapman-Kolmogorov equation, with which the expectation and the variance of nuclide distribution for the fractured rock medium could be obtained. A comparison between continuous time Markov process model and available analytical solutions for the nuclide transport of three decay chains without rock matrix diffusion has been made showing comparatively good agreement. Fittings with experimental breakthrough curves obtained with nonsorbing materials such as NaLS and uranine in the artificial fractured rock are also made. (author)

  19. FINITE MARKOV CHAINS IN THE MODEL REPRESENTATION OF THE HUMAN OPERATOR ACTIVITY IN QUASI-FUNCTIONAL ENVIRONMENT

    Directory of Open Access Journals (Sweden)

    M. V. Serzhantova

    2016-05-01

    Full Text Available Subject of Research. We analyze the problems of finite Markov chains apparatus application for simulating a human operator activity in the quasi-static functional environment. It is shown that the functional environment stochastic nature is generated by a factor of interval character of human operator properties. Method. The problem is solved in the class of regular (recurrent finite Markov chains with three states of the human operator: with a favorable, median and unfavorable combination of the values of mathematical model parameters of the human operator in a quasi-static functional environment. The finite Markov chain is designed taking into account the factors of human operator tiredness and interval character of parameters of the model representation of his properties. The device is based on the usage of mathematical approximation of the standard curve of the human operator activity performance during work shift. The standard curve of the human operator activity performance is based on the extensive research experience of functional activity of the human operator with the help of photos of the day, his action timing and ergonomic generalizations. Main Results. The apparatus of regular finite Markov chains gave the possibility to evaluate correctly the human operator activity performance in a quasi-static functional environment with the use of the main information component of these chains as a vector of final probabilities. In addition, we managed to build an algorithmic basis for estimating the stationary time (time study for transit of human operator from arbitrary initial functional state into a state corresponding to a vector of final probabilities for a used chain after it reaches the final state based on the analysis of the eigenvalues spectrum of the matrix of transition probabilities for a regular (recurrent finite Markov chain. Practical Relevance. Obtained theoretical results are confirmed by illustrative examples, which

  20. A descriptive model of resting-state networks using Markov chains.

    Science.gov (United States)

    Xie, H; Pal, R; Mitra, S

    2016-08-01

    Resting-state functional connectivity (RSFC) studies considering pairwise linear correlations have attracted great interests while the underlying functional network structure still remains poorly understood. To further our understanding of RSFC, this paper presents an analysis of the resting-state networks (RSNs) based on the steady-state distributions and provides a novel angle to investigate the RSFC of multiple functional nodes. This paper evaluates the consistency of two networks based on the Hellinger distance between the steady-state distributions of the inferred Markov chain models. The results show that generated steady-state distributions of default mode network have higher consistency across subjects than random nodes from various RSNs.

  1. Hidden Markov Model for Stock Selection

    Directory of Open Access Journals (Sweden)

    Nguyet Nguyen

    2015-10-01

    Full Text Available The hidden Markov model (HMM is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for stock selection. We first use HMM to make monthly regime predictions for the four macroeconomic variables: inflation (consumer price index (CPI, industrial production index (INDPRO, stock market index (S&P 500 and market volatility (VIX. At the end of each month, we calibrate HMM’s parameters for each of these economic variables and predict its regimes for the next month. We then look back into historical data to find the time periods for which the four variables had similar regimes with the forecasted regimes. Within those similar periods, we analyze all of the S&P 500 stocks to identify which stock characteristics have been well rewarded during the time periods and assign scores and corresponding weights for each of the stock characteristics. A composite score of each stock is calculated based on the scores and weights of its features. Based on this algorithm, we choose the 50 top ranking stocks to buy. We compare the performances of the portfolio with the benchmark index, S&P 500. With an initial investment of $100 in December 1999, over 15 years, in December 2014, our portfolio had an average gain per annum of 14.9% versus 2.3% for the S&P 500.

  2. Confluence reduction for Markov automata (extended version)

    NARCIS (Netherlands)

    Timmer, Mark; van de Pol, Jan Cornelis; Stoelinga, Mariëlle Ida Antoinette

    Markov automata are a novel formalism for specifying systems exhibiting nondeterminism, probabilistic choices and Markovian rates. Recently, the process algebra MAPA was introduced to efficiently model such systems. As always, the state space explosion threatens the analysability of the models

  3. The Effects of Crude Oil on Stock Markets with use of Markov Switching Models

    OpenAIRE

    Wiese, Thor August Mediaas

    2016-01-01

    In this thesis, a two regime Markov switching (MS) model is implemented to examine the relationship between crude oil, both brent oil and WTI, and stock markets. In particular, the model is applied to stock markets in both oil importing and exporting countries which include Canada, China, Japan, Germany, Netherlands, Norway, the United Kingdom and the United States. This paper first evaluates the significance of oil parameters in the detected regimes, where the two regimes respond to low mean...

  4. Poisson-Gaussian Noise Reduction Using the Hidden Markov Model in Contourlet Domain for Fluorescence Microscopy Images

    Science.gov (United States)

    Yang, Sejung; Lee, Byung-Uk

    2015-01-01

    In certain image acquisitions processes, like in fluorescence microscopy or astronomy, only a limited number of photons can be collected due to various physical constraints. The resulting images suffer from signal dependent noise, which can be modeled as a Poisson distribution, and a low signal-to-noise ratio. However, the majority of research on noise reduction algorithms focuses on signal independent Gaussian noise. In this paper, we model noise as a combination of Poisson and Gaussian probability distributions to construct a more accurate model and adopt the contourlet transform which provides a sparse representation of the directional components in images. We also apply hidden Markov models with a framework that neatly describes the spatial and interscale dependencies which are the properties of transformation coefficients of natural images. In this paper, an effective denoising algorithm for Poisson-Gaussian noise is proposed using the contourlet transform, hidden Markov models and noise estimation in the transform domain. We supplement the algorithm by cycle spinning and Wiener filtering for further improvements. We finally show experimental results with simulations and fluorescence microscopy images which demonstrate the improved performance of the proposed approach. PMID:26352138

  5. A semi-Markov model for the duration of stay in a non-homogenous ...

    African Journals Online (AJOL)

    The semi-Markov approach to a non-homogenous manpower system is considered. The mean duration of stay in a grade and the total duration of stay in the system are obtained. A renewal type equation is developed and used in deriving the limiting distribution of the semi – Markov process. Empirical estimators of the ...

  6. Assessing Mediational Models: Testing and Interval Estimation for Indirect Effects.

    Science.gov (United States)

    Biesanz, Jeremy C; Falk, Carl F; Savalei, Victoria

    2010-08-06

    Theoretical models specifying indirect or mediated effects are common in the social sciences. An indirect effect exists when an independent variable's influence on the dependent variable is mediated through an intervening variable. Classic approaches to assessing such mediational hypotheses ( Baron & Kenny, 1986 ; Sobel, 1982 ) have in recent years been supplemented by computationally intensive methods such as bootstrapping, the distribution of the product methods, and hierarchical Bayesian Markov chain Monte Carlo (MCMC) methods. These different approaches for assessing mediation are illustrated using data from Dunn, Biesanz, Human, and Finn (2007). However, little is known about how these methods perform relative to each other, particularly in more challenging situations, such as with data that are incomplete and/or nonnormal. This article presents an extensive Monte Carlo simulation evaluating a host of approaches for assessing mediation. We examine Type I error rates, power, and coverage. We study normal and nonnormal data as well as complete and incomplete data. In addition, we adapt a method, recently proposed in statistical literature, that does not rely on confidence intervals (CIs) to test the null hypothesis of no indirect effect. The results suggest that the new inferential method-the partial posterior p value-slightly outperforms existing ones in terms of maintaining Type I error rates while maximizing power, especially with incomplete data. Among confidence interval approaches, the bias-corrected accelerated (BC a ) bootstrapping approach often has inflated Type I error rates and inconsistent coverage and is not recommended; In contrast, the bootstrapped percentile confidence interval and the hierarchical Bayesian MCMC method perform best overall, maintaining Type I error rates, exhibiting reasonable power, and producing stable and accurate coverage rates.

  7. A Bayesian Approach for Structural Learning with Hidden Markov Models

    Directory of Open Access Journals (Sweden)

    Cen Li

    2002-01-01

    Full Text Available Hidden Markov Models(HMM have proved to be a successful modeling paradigm for dynamic and spatial processes in many domains, such as speech recognition, genomics, and general sequence alignment. Typically, in these applications, the model structures are predefined by domain experts. Therefore, the HMM learning problem focuses on the learning of the parameter values of the model to fit the given data sequences. However, when one considers other domains, such as, economics and physiology, model structure capturing the system dynamic behavior is not available. In order to successfully apply the HMM methodology in these domains, it is important that a mechanism is available for automatically deriving the model structure from the data. This paper presents a HMM learning procedure that simultaneously learns the model structure and the maximum likelihood parameter values of a HMM from data. The HMM model structures are derived based on the Bayesian model selection methodology. In addition, we introduce a new initialization procedure for HMM parameter value estimation based on the K-means clustering method. Experimental results with artificially generated data show the effectiveness of the approach.

  8. Detection of bursts in extracellular spike trains using hidden semi-Markov point process models.

    Science.gov (United States)

    Tokdar, Surya; Xi, Peiyi; Kelly, Ryan C; Kass, Robert E

    2010-08-01

    Neurons in vitro and in vivo have epochs of bursting or "up state" activity during which firing rates are dramatically elevated. Various methods of detecting bursts in extracellular spike trains have appeared in the literature, the most widely used apparently being Poisson Surprise (PS). A natural description of the phenomenon assumes (1) there are two hidden states, which we label "burst" and "non-burst," (2) the neuron evolves stochastically, switching at random between these two states, and (3) within each state the spike train follows a time-homogeneous point process. If in (2) the transitions from non-burst to burst and burst to non-burst states are memoryless, this becomes a hidden Markov model (HMM). For HMMs, the state transitions follow exponential distributions, and are highly irregular. Because observed bursting may in some cases be fairly regular-exhibiting inter-burst intervals with small variation-we relaxed this assumption. When more general probability distributions are used to describe the state transitions the two-state point process model becomes a hidden semi-Markov model (HSMM). We developed an efficient Bayesian computational scheme to fit HSMMs to spike train data. Numerical simulations indicate the method can perform well, sometimes yielding very different results than those based on PS.

  9. THE DEVELOPMENT OF A MODEL INITIATION OF PROJECT IN A FORM OF MARKOV CHAIN

    Directory of Open Access Journals (Sweden)

    Катерина Вікторівна КОЛЕСНІКОВА

    2017-03-01

    Full Text Available The model of the initiation of projects which reproduces a fragment of the general scheme of interaction between the main entities in the project initiation phase is created. Determined that the project initiation through communication links between the four main entities: projects team, environment, the project itself and the customer. The result of the initiation of projects in the emerging communications referred to objects in the design phase through consistency requirements of stakeholders and the adoption of the basic concepts of projects, goal-projects, project planning, evaluation requirements of specialization and competence required for the formation of the project team. This Markov chain is part of the control circuit that includes elements such as the temporary organizational structure of the project design, project team, customer, and environment project. It is shown that the Markov model of interaction between project participants in their initiation phase, taking into account the role of a key player in the project ‑ the customer can determine changes of state and generate recommendations for initiating projects. Results of the study can serve as a basis for creating models of control objects that contain its organizational structure and reflect the parametric properties of the system to obtain information needed for decision making to initiate projects

  10. A stochastic Markov chain model to describe lung cancer growth and metastasis.

    Directory of Open Access Journals (Sweden)

    Paul K Newton

    Full Text Available A stochastic Markov chain model for metastatic progression is developed for primary lung cancer based on a network construction of metastatic sites with dynamics modeled as an ensemble of random walkers on the network. We calculate a transition matrix, with entries (transition probabilities interpreted as random variables, and use it to construct a circular bi-directional network of primary and metastatic locations based on postmortem tissue analysis of 3827 autopsies on untreated patients documenting all primary tumor locations and metastatic sites from this population. The resulting 50 potential metastatic sites are connected by directed edges with distributed weightings, where the site connections and weightings are obtained by calculating the entries of an ensemble of transition matrices so that the steady-state distribution obtained from the long-time limit of the Markov chain dynamical system corresponds to the ensemble metastatic distribution obtained from the autopsy data set. We condition our search for a transition matrix on an initial distribution of metastatic tumors obtained from the data set. Through an iterative numerical search procedure, we adjust the entries of a sequence of approximations until a transition matrix with the correct steady-state is found (up to a numerical threshold. Since this constrained linear optimization problem is underdetermined, we characterize the statistical variance of the ensemble of transition matrices calculated using the means and variances of their singular value distributions as a diagnostic tool. We interpret the ensemble averaged transition probabilities as (approximately normally distributed random variables. The model allows us to simulate and quantify disease progression pathways and timescales of progression from the lung position to other sites and we highlight several key findings based on the model.

  11. A stochastic Markov chain model to describe lung cancer growth and metastasis.

    Science.gov (United States)

    Newton, Paul K; Mason, Jeremy; Bethel, Kelly; Bazhenova, Lyudmila A; Nieva, Jorge; Kuhn, Peter

    2012-01-01

    A stochastic Markov chain model for metastatic progression is developed for primary lung cancer based on a network construction of metastatic sites with dynamics modeled as an ensemble of random walkers on the network. We calculate a transition matrix, with entries (transition probabilities) interpreted as random variables, and use it to construct a circular bi-directional network of primary and metastatic locations based on postmortem tissue analysis of 3827 autopsies on untreated patients documenting all primary tumor locations and metastatic sites from this population. The resulting 50 potential metastatic sites are connected by directed edges with distributed weightings, where the site connections and weightings are obtained by calculating the entries of an ensemble of transition matrices so that the steady-state distribution obtained from the long-time limit of the Markov chain dynamical system corresponds to the ensemble metastatic distribution obtained from the autopsy data set. We condition our search for a transition matrix on an initial distribution of metastatic tumors obtained from the data set. Through an iterative numerical search procedure, we adjust the entries of a sequence of approximations until a transition matrix with the correct steady-state is found (up to a numerical threshold). Since this constrained linear optimization problem is underdetermined, we characterize the statistical variance of the ensemble of transition matrices calculated using the means and variances of their singular value distributions as a diagnostic tool. We interpret the ensemble averaged transition probabilities as (approximately) normally distributed random variables. The model allows us to simulate and quantify disease progression pathways and timescales of progression from the lung position to other sites and we highlight several key findings based on the model.

  12. Thermodynamically accurate modeling of the catalytic cycle of photosynthetic oxygen evolution: a mathematical solution to asymmetric Markov chains.

    Science.gov (United States)

    Vinyard, David J; Zachary, Chase E; Ananyev, Gennady; Dismukes, G Charles

    2013-07-01

    Forty-three years ago, Kok and coworkers introduced a phenomenological model describing period-four oscillations in O2 flash yields during photosynthetic water oxidation (WOC), which had been first reported by Joliot and coworkers. The original two-parameter Kok model was subsequently extended in its level of complexity to better simulate diverse data sets, including intact cells and isolated PSII-WOCs, but at the expense of introducing physically unrealistic assumptions necessary to enable numerical solutions. To date, analytical solutions have been found only for symmetric Kok models (inefficiencies are equally probable for all intermediates, called "S-states"). However, it is widely accepted that S-state reaction steps are not identical and some are not reversible (by thermodynamic restraints) thereby causing asymmetric cycles. We have developed a mathematically more rigorous foundation that eliminates unphysical assumptions known to be in conflict with experiments and adopts a new experimental constraint on solutions. This new algorithm termed STEAMM for S-state Transition Eigenvalues of Asymmetric Markov Models enables solutions to models having fewer adjustable parameters and uses automated fitting to experimental data sets, yielding higher accuracy and precision than the classic Kok or extended Kok models. This new tool provides a general mathematical framework for analyzing damped oscillations arising from any cycle period using any appropriate Markov model, regardless of symmetry. We illustrate applications of STEAMM that better describe the intrinsic inefficiencies for photon-to-charge conversion within PSII-WOCs that are responsible for damped period-four and period-two oscillations of flash O2 yields across diverse species, while using simpler Markov models free from unrealistic assumptions. Copyright © 2013 Elsevier B.V. All rights reserved.

  13. A versatile infinite-state Markov reward model to study bottlenecks in 2-hop ad hoc networks

    NARCIS (Netherlands)

    Remke, Anne Katharina Ingrid; Haverkort, Boudewijn R.H.M.; Cloth, L.

    2006-01-01

    In a 2-hop IEEE 801.11-based wireless LAN, the distributed coordination function (DCF) tends to equally share the available capacity among the contending stations. Recently alternative capacity sharing strategies have been made possible. We propose a versatile infinite-state Markov reward model to

  14. A Test of the Need Hierarchy Concept by a Markov Model of Change in Need Strength.

    Science.gov (United States)

    Rauschenberger, John; And Others

    1980-01-01

    In this study of 547 high school graduates, Alderfer's and Maslow's need hierarchy theories were expressed in Markov chain form and were subjected to empirical test. Both models were disconfirmed. Corroborative multiwave correlational analysis also failed to support the need hierarchy concept. (Author/IRT)

  15. Ensemble bayesian model averaging using markov chain Monte Carlo sampling

    Energy Technology Data Exchange (ETDEWEB)

    Vrugt, Jasper A [Los Alamos National Laboratory; Diks, Cees G H [NON LANL; Clark, Martyn P [NON LANL

    2008-01-01

    Bayesian model averaging (BMA) has recently been proposed as a statistical method to calibrate forecast ensembles from numerical weather models. Successful implementation of BMA however, requires accurate estimates of the weights and variances of the individual competing models in the ensemble. In their seminal paper (Raftery etal. Mon Weather Rev 133: 1155-1174, 2(05)) has recommended the Expectation-Maximization (EM) algorithm for BMA model training, even though global convergence of this algorithm cannot be guaranteed. In this paper, we compare the performance of the EM algorithm and the recently developed Differential Evolution Adaptive Metropolis (DREAM) Markov Chain Monte Carlo (MCMC) algorithm for estimating the BMA weights and variances. Simulation experiments using 48-hour ensemble data of surface temperature and multi-model stream-flow forecasts show that both methods produce similar results, and that their performance is unaffected by the length of the training data set. However, MCMC simulation with DREAM is capable of efficiently handling a wide variety of BMA predictive distributions, and provides useful information about the uncertainty associated with the estimated BMA weights and variances.

  16. A Hybrid Generalized Hidden Markov Model-Based Condition Monitoring Approach for Rolling Bearings.

    Science.gov (United States)

    Liu, Jie; Hu, Youmin; Wu, Bo; Wang, Yan; Xie, Fengyun

    2017-05-18

    The operating condition of rolling bearings affects productivity and quality in the rotating machine process. Developing an effective rolling bearing condition monitoring approach is critical to accurately identify the operating condition. In this paper, a hybrid generalized hidden Markov model-based condition monitoring approach for rolling bearings is proposed, where interval valued features are used to efficiently recognize and classify machine states in the machine process. In the proposed method, vibration signals are decomposed into multiple modes with variational mode decomposition (VMD). Parameters of the VMD, in the form of generalized intervals, provide a concise representation for aleatory and epistemic uncertainty and improve the robustness of identification. The multi-scale permutation entropy method is applied to extract state features from the decomposed signals in different operating conditions. Traditional principal component analysis is adopted to reduce feature size and computational cost. With the extracted features' information, the generalized hidden Markov model, based on generalized interval probability, is used to recognize and classify the fault types and fault severity levels. Finally, the experiment results show that the proposed method is effective at recognizing and classifying the fault types and fault severity levels of rolling bearings. This monitoring method is also efficient enough to quantify the two uncertainty components.

  17. A Hybrid Generalized Hidden Markov Model-Based Condition Monitoring Approach for Rolling Bearings

    Directory of Open Access Journals (Sweden)

    Jie Liu

    2017-05-01

    Full Text Available The operating condition of rolling bearings affects productivity and quality in the rotating machine process. Developing an effective rolling bearing condition monitoring approach is critical to accurately identify the operating condition. In this paper, a hybrid generalized hidden Markov model-based condition monitoring approach for rolling bearings is proposed, where interval valued features are used to efficiently recognize and classify machine states in the machine process. In the proposed method, vibration signals are decomposed into multiple modes with variational mode decomposition (VMD. Parameters of the VMD, in the form of generalized intervals, provide a concise representation for aleatory and epistemic uncertainty and improve the robustness of identification. The multi-scale permutation entropy method is applied to extract state features from the decomposed signals in different operating conditions. Traditional principal component analysis is adopted to reduce feature size and computational cost. With the extracted features’ information, the generalized hidden Markov model, based on generalized interval probability, is used to recognize and classify the fault types and fault severity levels. Finally, the experiment results show that the proposed method is effective at recognizing and classifying the fault types and fault severity levels of rolling bearings. This monitoring method is also efficient enough to quantify the two uncertainty components.

  18. An interlacing theorem for reversible Markov chains

    International Nuclear Information System (INIS)

    Grone, Robert; Salamon, Peter; Hoffmann, Karl Heinz

    2008-01-01

    Reversible Markov chains are an indispensable tool in the modeling of a vast class of physical, chemical, biological and statistical problems. Examples include the master equation descriptions of relaxing physical systems, stochastic optimization algorithms such as simulated annealing, chemical dynamics of protein folding and Markov chain Monte Carlo statistical estimation. Very often the large size of the state spaces requires the coarse graining or lumping of microstates into fewer mesoscopic states, and a question of utmost importance for the validity of the physical model is how the eigenvalues of the corresponding stochastic matrix change under this operation. In this paper we prove an interlacing theorem which gives explicit bounds on the eigenvalues of the lumped stochastic matrix. (fast track communication)

  19. An interlacing theorem for reversible Markov chains

    Energy Technology Data Exchange (ETDEWEB)

    Grone, Robert; Salamon, Peter [Department of Mathematics and Statistics, San Diego State University, San Diego, CA 92182-7720 (United States); Hoffmann, Karl Heinz [Institut fuer Physik, Technische Universitaet Chemnitz, D-09107 Chemnitz (Germany)

    2008-05-30

    Reversible Markov chains are an indispensable tool in the modeling of a vast class of physical, chemical, biological and statistical problems. Examples include the master equation descriptions of relaxing physical systems, stochastic optimization algorithms such as simulated annealing, chemical dynamics of protein folding and Markov chain Monte Carlo statistical estimation. Very often the large size of the state spaces requires the coarse graining or lumping of microstates into fewer mesoscopic states, and a question of utmost importance for the validity of the physical model is how the eigenvalues of the corresponding stochastic matrix change under this operation. In this paper we prove an interlacing theorem which gives explicit bounds on the eigenvalues of the lumped stochastic matrix. (fast track communication)

  20. An open Markov chain scheme model for a credit consumption portfolio fed by ARIMA and SARMA processes

    Science.gov (United States)

    Esquível, Manuel L.; Fernandes, José Moniz; Guerreiro, Gracinda R.

    2016-06-01

    We introduce a schematic formalism for the time evolution of a random population entering some set of classes and such that each member of the population evolves among these classes according to a scheme based on a Markov chain model. We consider that the flow of incoming members is modeled by a time series and we detail the time series structure of the elements in each of the classes. We present a practical application to data from a credit portfolio of a Cape Verdian bank; after modeling the entering population in two different ways - namely as an ARIMA process and as a deterministic sigmoid type trend plus a SARMA process for the residues - we simulate the behavior of the population and compare the results. We get that the second method is more accurate in describing the behavior of the populations when compared to the observed values in a direct simulation of the Markov chain.

  1. Understanding eye movements in face recognition using hidden Markov models.

    Science.gov (United States)

    Chuk, Tim; Chan, Antoni B; Hsiao, Janet H

    2014-09-16

    We use a hidden Markov model (HMM) based approach to analyze eye movement data in face recognition. HMMs are statistical models that are specialized in handling time-series data. We conducted a face recognition task with Asian participants, and model each participant's eye movement pattern with an HMM, which summarized the participant's scan paths in face recognition with both regions of interest and the transition probabilities among them. By clustering these HMMs, we showed that participants' eye movements could be categorized into holistic or analytic patterns, demonstrating significant individual differences even within the same culture. Participants with the analytic pattern had longer response times, but did not differ significantly in recognition accuracy from those with the holistic pattern. We also found that correct and wrong recognitions were associated with distinctive eye movement patterns; the difference between the two patterns lies in the transitions rather than locations of the fixations alone. © 2014 ARVO.

  2. A multiple shock model for common cause failures using discrete Markov chain

    International Nuclear Information System (INIS)

    Chung, Dae Wook; Kang, Chang Soon

    1992-01-01

    The most widely used models in common cause analysis are (single) shock models such as the BFR, and the MFR. But, single shock model can not treat the individual common cause separately and has some irrational assumptions. Multiple shock model for common cause failures is developed using Markov chain theory. This model treats each common cause shock as separately and sequently occuring event to implicate the change in failure probability distribution due to each common cause shock. The final failure probability distribution is evaluated and compared with that from the BFR model. The results show that multiple shock model which minimizes the assumptions in the BFR model is more realistic and conservative than the BFR model. The further work for application is the estimations of parameters such as common cause shock rate and component failure probability given a shock,p, through the data analysis

  3. Transportation and concentration inequalities for bifurcating Markov chains

    DEFF Research Database (Denmark)

    Penda, S. Valère Bitseki; Escobar-Bach, Mikael; Guillin, Arnaud

    2017-01-01

    We investigate the transportation inequality for bifurcating Markov chains which are a class of processes indexed by a regular binary tree. Fitting well models like cell growth when each individual gives birth to exactly two offsprings, we use transportation inequalities to provide useful...... concentration inequalities.We also study deviation inequalities for the empirical means under relaxed assumptions on the Wasserstein contraction for the Markov kernels. Applications to bifurcating nonlinear autoregressive processes are considered for point-wise estimates of the non-linear autoregressive...

  4. Reciprocal Markov Modeling of Feedback Mechanisms Between Emotion and Dietary Choice Using Experience-Sampling Data.

    Science.gov (United States)

    Lu, Ji; Pan, Junhao; Zhang, Qiang; Dubé, Laurette; Ip, Edward H

    2015-01-01

    With intensively collected longitudinal data, recent advances in the experience-sampling method (ESM) benefit social science empirical research, but also pose important methodological challenges. As traditional statistical models are not generally well equipped to analyze a system of variables that contain feedback loops, this paper proposes the utility of an extended hidden Markov model to model reciprocal the relationship between momentary emotion and eating behavior. This paper revisited an ESM data set (Lu, Huet, & Dube, 2011) that observed 160 participants' food consumption and momentary emotions 6 times per day in 10 days. Focusing on the analyses on feedback loop between mood and meal-healthiness decision, the proposed reciprocal Markov model (RMM) can accommodate both hidden ("general" emotional states: positive vs. negative state) and observed states (meal: healthier, same or less healthy than usual) without presuming independence between observations and smooth trajectories of mood or behavior changes. The results of RMM analyses illustrated the reciprocal chains of meal consumption and mood as well as the effect of contextual factors that moderate the interrelationship between eating and emotion. A simulation experiment that generated data consistent with the empirical study further demonstrated that the procedure is promising in terms of recovering the parameters.

  5. Comparison of the kinetics of different Markov models for ligand binding under varying conditions

    International Nuclear Information System (INIS)

    Martini, Johannes W. R.; Habeck, Michael

    2015-01-01

    We recently derived a Markov model for macromolecular ligand binding dynamics from few physical assumptions and showed that its stationary distribution is the grand canonical ensemble [J. W. R. Martini, M. Habeck, and M. Schlather, J. Math. Chem. 52, 665 (2014)]. The transition probabilities of the proposed Markov process define a particular Glauber dynamics and have some similarity to the Metropolis-Hastings algorithm. Here, we illustrate that this model is the stochastic analog of (pseudo) rate equations and the corresponding system of differential equations. Moreover, it can be viewed as a limiting case of general stochastic simulations of chemical kinetics. Thus, the model links stochastic and deterministic approaches as well as kinetics and equilibrium described by the grand canonical ensemble. We demonstrate that the family of transition matrices of our model, parameterized by temperature and ligand activity, generates ligand binding kinetics that respond to changes in these parameters in a qualitatively similar way as experimentally observed kinetics. In contrast, neither the Metropolis-Hastings algorithm nor the Glauber heat bath reflects changes in the external conditions correctly. Both converge rapidly to the stationary distribution, which is advantageous when the major interest is in the equilibrium state, but fail to describe the kinetics of ligand binding realistically. To simulate cellular processes that involve the reversible stochastic binding of multiple factors, our pseudo rate equation model should therefore be preferred to the Metropolis-Hastings algorithm and the Glauber heat bath, if the stationary distribution is not of only interest

  6. Comparison of the kinetics of different Markov models for ligand binding under varying conditions

    Energy Technology Data Exchange (ETDEWEB)

    Martini, Johannes W. R., E-mail: jmartin2@gwdg.de [Max Planck Institute for Developmental Biology, Tübingen (Germany); Felix Bernstein Institute for Mathematical Statistics in the Biosciences, University of Göttingen, Göttingen (Germany); Habeck, Michael, E-mail: mhabeck@gwdg.de [Felix Bernstein Institute for Mathematical Statistics in the Biosciences, University of Göttingen, Göttingen (Germany); Max Planck Institute for Biophysical Chemistry, Göttingen (Germany)

    2015-03-07

    We recently derived a Markov model for macromolecular ligand binding dynamics from few physical assumptions and showed that its stationary distribution is the grand canonical ensemble [J. W. R. Martini, M. Habeck, and M. Schlather, J. Math. Chem. 52, 665 (2014)]. The transition probabilities of the proposed Markov process define a particular Glauber dynamics and have some similarity to the Metropolis-Hastings algorithm. Here, we illustrate that this model is the stochastic analog of (pseudo) rate equations and the corresponding system of differential equations. Moreover, it can be viewed as a limiting case of general stochastic simulations of chemical kinetics. Thus, the model links stochastic and deterministic approaches as well as kinetics and equilibrium described by the grand canonical ensemble. We demonstrate that the family of transition matrices of our model, parameterized by temperature and ligand activity, generates ligand binding kinetics that respond to changes in these parameters in a qualitatively similar way as experimentally observed kinetics. In contrast, neither the Metropolis-Hastings algorithm nor the Glauber heat bath reflects changes in the external conditions correctly. Both converge rapidly to the stationary distribution, which is advantageous when the major interest is in the equilibrium state, but fail to describe the kinetics of ligand binding realistically. To simulate cellular processes that involve the reversible stochastic binding of multiple factors, our pseudo rate equation model should therefore be preferred to the Metropolis-Hastings algorithm and the Glauber heat bath, if the stationary distribution is not of only interest.

  7. Hidden Markov models for sequence analysis: extension and analysis of the basic method

    DEFF Research Database (Denmark)

    Hughey, Richard; Krogh, Anders Stærmose

    1996-01-01

    -maximization training procedure is relatively straight-forward. In this paper,we review the mathematical extensions and heuristics that move the method from the theoreticalto the practical. Then, we experimentally analyze the effectiveness of model regularization,dynamic model modification, and optimization strategies......Hidden Markov models (HMMs) are a highly effective means of modeling a family of unalignedsequences or a common motif within a set of unaligned sequences. The trained HMM can then beused for discrimination or multiple alignment. The basic mathematical description of an HMMand its expectation....... Finally it is demonstrated on the SH2domain how a domain can be found from unaligned sequences using a special model type. Theexperimental work was completed with the aid of the Sequence Alignment and Modeling softwaresuite....

  8. Combination of Markov state models and kinetic networks for the analysis of molecular dynamics simulations of peptide folding.

    Science.gov (United States)

    Radford, Isolde H; Fersht, Alan R; Settanni, Giovanni

    2011-06-09

    Atomistic molecular dynamics simulations of the TZ1 beta-hairpin peptide have been carried out using an implicit model for the solvent. The trajectories have been analyzed using a Markov state model defined on the projections along two significant observables and a kinetic network approach. The Markov state model allowed for an unbiased identification of the metastable states of the system, and provided the basis for commitment probability calculations performed on the kinetic network. The kinetic network analysis served to extract the main transition state for folding of the peptide and to validate the results from the Markov state analysis. The combination of the two techniques allowed for a consistent and concise characterization of the dynamics of the peptide. The slowest relaxation process identified is the exchange between variably folded and denatured species, and the second slowest process is the exchange between two different subsets of the denatured state which could not be otherwise identified by simple inspection of the projected trajectory. The third slowest process is the exchange between a fully native and a partially folded intermediate state characterized by a native turn with a proximal backbone H-bond, and frayed side-chain packing and termini. The transition state for the main folding reaction is similar to the intermediate state, although a more native like side-chain packing is observed.

  9. Clinical Management and Burden of Prostate Cancer: A Markov Monte Carlo Model

    Science.gov (United States)

    Sanyal, Chiranjeev; Aprikian, Armen; Cury, Fabio; Chevalier, Simone; Dragomir, Alice

    2014-01-01

    Background Prostate cancer (PCa) is the most common non-skin cancer among men in developed countries. Several novel treatments have been adopted by healthcare systems to manage PCa. Most of the observational studies and randomized trials on PCa have concurrently evaluated fewer treatments over short follow-up. Further, preceding decision analytic models on PCa management have not evaluated various contemporary management options. Therefore, a contemporary decision analytic model was necessary to address limitations to the literature by synthesizing the evidence on novel treatments thereby forecasting short and long-term clinical outcomes. Objectives To develop and validate a Markov Monte Carlo model for the contemporary clinical management of PCa, and to assess the clinical burden of the disease from diagnosis to end-of-life. Methods A Markov Monte Carlo model was developed to simulate the management of PCa in men 65 years and older from diagnosis to end-of-life. Health states modeled were: risk at diagnosis, active surveillance, active treatment, PCa recurrence, PCa recurrence free, metastatic castrate resistant prostate cancer, overall and PCa death. Treatment trajectories were based on state transition probabilities derived from the literature. Validation and sensitivity analyses assessed the accuracy and robustness of model predicted outcomes. Results Validation indicated model predicted rates were comparable to observed rates in the published literature. The simulated distribution of clinical outcomes for the base case was consistent with sensitivity analyses. Predicted rate of clinical outcomes and mortality varied across risk groups. Life expectancy and health adjusted life expectancy predicted for the simulated cohort was 20.9 years (95%CI 20.5–21.3) and 18.2 years (95% CI 17.9–18.5), respectively. Conclusion Study findings indicated contemporary management strategies improved survival and quality of life in patients with PCa. This model could be used

  10. Semi-Markov models for interval censored transient cognitive states with back transitions and a competing risk.

    Science.gov (United States)

    Wei, Shaoceng; Kryscio, Richard J

    2016-12-01

    Continuous-time multi-state stochastic processes are useful for modeling the flow of subjects from intact cognition to dementia with mild cognitive impairment and global impairment as intervening transient cognitive states and death as a competing risk. Each subject's cognition is assessed periodically resulting in interval censoring for the cognitive states while death without dementia is not interval censored. Since back transitions among the transient states are possible, Markov chains are often applied to this type of panel data. In this manuscript, we apply a semi-Markov process in which we assume that the waiting times are Weibull distributed except for transitions from the baseline state, which are exponentially distributed and in which we assume no additional changes in cognition occur between two assessments. We implement a quasi-Monte Carlo (QMC) method to calculate the higher order integration needed for likelihood estimation. We apply our model to a real dataset, the Nun Study, a cohort of 461 participants. © The Author(s) 2014.

  11. On the entropy of a hidden Markov process.

    Science.gov (United States)

    Jacquet, Philippe; Seroussi, Gadiel; Szpankowski, Wojciech

    2008-05-01

    We study the entropy rate of a hidden Markov process (HMP) defined by observing the output of a binary symmetric channel whose input is a first-order binary Markov process. Despite the simplicity of the models involved, the characterization of this entropy is a long standing open problem. By presenting the probability of a sequence under the model as a product of random matrices, one can see that the entropy rate sought is equal to a top Lyapunov exponent of the product. This offers an explanation for the elusiveness of explicit expressions for the HMP entropy rate, as Lyapunov exponents are notoriously difficult to compute. Consequently, we focus on asymptotic estimates, and apply the same product of random matrices to derive an explicit expression for a Taylor approximation of the entropy rate with respect to the parameter of the binary symmetric channel. The accuracy of the approximation is validated against empirical simulation results. We also extend our results to higher-order Markov processes and to Rényi entropies of any order.

  12. Hidden Markov Item Response Theory Models for Responses and Response Times.

    Science.gov (United States)

    Molenaar, Dylan; Oberski, Daniel; Vermunt, Jeroen; De Boeck, Paul

    2016-01-01

    Current approaches to model responses and response times to psychometric tests solely focus on between-subject differences in speed and ability. Within subjects, speed and ability are assumed to be constants. Violations of this assumption are generally absorbed in the residual of the model. As a result, within-subject departures from the between-subject speed and ability level remain undetected. These departures may be of interest to the researcher as they reflect differences in the response processes adopted on the items of a test. In this article, we propose a dynamic approach for responses and response times based on hidden Markov modeling to account for within-subject differences in responses and response times. A simulation study is conducted to demonstrate acceptable parameter recovery and acceptable performance of various fit indices in distinguishing between different models. In addition, both a confirmatory and an exploratory application are presented to demonstrate the practical value of the modeling approach.

  13. Markov Chain Monte Carlo

    Indian Academy of Sciences (India)

    be obtained as a limiting value of a sample path of a suitable ... makes a mathematical model of chance and deals with the problem by .... Is the Markov chain aperiodic? It is! Here is how you can see it. Suppose that after you do the cut, you hold the top half in your right hand, and the bottom half in your left. Then there.

  14. On a Markov chain roulette-type game

    International Nuclear Information System (INIS)

    El-Shehawey, M A; El-Shreef, Gh A

    2009-01-01

    A Markov chain on non-negative integers which arises in a roulette-type game is discussed. The transition probabilities are p 01 = ρ, p Nj = δ Nj , p i,i+W = q, p i,i-1 = p = 1 - q, 1 ≤ W < N, 0 ≤ ρ ≤ 1, N - W < j ≤ N and i = 1, 2, ..., N - W. Using formulae for the determinant of a partitioned matrix, a closed form expression for the solution of the Markov chain roulette-type game is deduced. The present analysis is supported by two mathematical models from tumor growth and war with bargaining

  15. Probabilistic sensitivity analysis on Markov models with uncertain transition probabilities: an application in evaluating treatment decisions for type 2 diabetes.

    Science.gov (United States)

    Zhang, Yuanhui; Wu, Haipeng; Denton, Brian T; Wilson, James R; Lobo, Jennifer M

    2017-10-27

    Markov models are commonly used for decision-making studies in many application domains; however, there are no widely adopted methods for performing sensitivity analysis on such models with uncertain transition probability matrices (TPMs). This article describes two simulation-based approaches for conducting probabilistic sensitivity analysis on a given discrete-time, finite-horizon, finite-state Markov model using TPMs that are sampled over a specified uncertainty set according to a relevant probability distribution. The first approach assumes no prior knowledge of the probability distribution, and each row of a TPM is independently sampled from the uniform distribution on the row's uncertainty set. The second approach involves random sampling from the (truncated) multivariate normal distribution of the TPM's maximum likelihood estimators for its rows subject to the condition that each row has nonnegative elements and sums to one. The two sampling methods are easily implemented and have reasonable computation times. A case study illustrates the application of these methods to a medical decision-making problem involving the evaluation of treatment guidelines for glycemic control of patients with type 2 diabetes, where natural variation in a patient's glycated hemoglobin (HbA1c) is modeled as a Markov chain, and the associated TPMs are subject to uncertainty.

  16. Mobile Application Identification based on Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Yang Xinyan

    2018-01-01

    Full Text Available With the increasing number of mobile applications, there has more challenging network management tasks to resolve. Users also face security issues of the mobile Internet application when enjoying the mobile network resources. Identifying applications that correspond to network traffic can help network operators effectively perform network management. The existing mobile application recognition technology presents new challenges in extensibility and applications with encryption protocols. For the existing mobile application recognition technology, there are two problems, they can not recognize the application which using the encryption protocol and their scalability is poor. In this paper, a mobile application identification method based on Hidden Markov Model(HMM is proposed to extract the defined statistical characteristics from different network flows generated when each application starting. According to the time information of different network flows to get the corresponding time series, and then for each application to be identified separately to establish the corresponding HMM model. Then, we use 10 common applications to test the method proposed in this paper. The test results show that the mobile application recognition method proposed in this paper has a high accuracy and good generalization ability.

  17. Vague Sets Security Measure for Steganographic System Based on High-Order Markov Model

    Directory of Open Access Journals (Sweden)

    Chun-Juan Ouyang

    2017-01-01

    Full Text Available Security measure is of great importance in both steganography and steganalysis. Considering that statistical feature perturbations caused by steganography in an image are always nondeterministic and that an image is considered nonstationary, in this paper, the steganography is regarded as a fuzzy process. Here a steganographic security measure is proposed. This security measure evaluates the similarity between two vague sets of cover images and stego images in terms of n-order Markov chain to capture the interpixel correlation. The new security measure has proven to have the properties of boundedness, commutativity, and unity. Furthermore, the security measures of zero order, first order, second order, third order, and so forth are obtained by adjusting the order value of n-order Markov chain. Experimental results indicate that the larger n is, the better the measuring ability of the proposed security measure will be. The proposed security measure is more sensitive than other security measures defined under a deterministic distribution model, when the embedding is low. It is expected to provide a helpful guidance for designing secure steganographic algorithms or reliable steganalytic methods.

  18. Modeling treatment of ischemic heart disease with partially observable Markov decision processes.

    Science.gov (United States)

    Hauskrecht, M; Fraser, H

    1998-01-01

    Diagnosis of a disease and its treatment are not separate, one-shot activities. Instead they are very often dependent and interleaved over time, mostly due to uncertainty about the underlying disease, uncertainty associated with the response of a patient to the treatment and varying cost of different diagnostic (investigative) and treatment procedures. The framework of Partially observable Markov decision processes (POMDPs) developed and used in operations research, control theory and artificial intelligence communities is particularly suitable for modeling such a complex decision process. In the paper, we show how the POMDP framework could be used to model and solve the problem of the management of patients with ischemic heart disease, and point out modeling advantages of the framework over standard decision formalisms.

  19. A Markov chain model for N-linked protein glycosylation – towards a low-parameter tool for model-driven glycoengineering

    DEFF Research Database (Denmark)

    Spahn, Philipp N.; Hansen, Anders Holmgaard; Hansen, Henning Gram

    2016-01-01

    Glycosylation is a critical quality attribute of most recombinant biotherapeutics. Consequently, drug development requires careful control of glycoforms to meet bioactivity and biosafety requirements. However, glycoengineering can be extraordinarily difficult given the complex reaction networks...... present a novel low-parameter approach to describe glycosylation using flux-balance and Markov chain modeling. The model recapitulates the biological complexity of glycosylation, but does not require user-provided kinetic information. We use this method to predict and experimentally validate glycoprofiles...

  20. Spectral analysis and markov switching model of Indonesia business cycle

    Science.gov (United States)

    Fajar, Muhammad; Darwis, Sutawanir; Darmawan, Gumgum

    2017-03-01

    This study aims to investigate the Indonesia business cycle encompassing the determination of smoothing parameter (λ) on Hodrick-Prescott filter. Subsequently, the components of the filter output cycles were analyzed using a spectral method useful to know its characteristics, and Markov switching regime modeling is made to forecast the probability recession and expansion regimes. The data used in the study is real GDP (1983Q1 - 2016Q2). The results of the study are: a) Hodrick-Prescott filter on real GDP of Indonesia to be optimal when the value of the smoothing parameter is 988.474, b) Indonesia business cycle has amplitude varies between±0.0071 to±0.01024, and the duration is between 4 to 22 quarters, c) the business cycle can be modelled by MSIV-AR (2) but regime periodization is generated this model not perfect exactly with real regime periodzation, and d) Based on the model MSIV-AR (2) obtained long-term probabilities in the expansion regime: 0.4858 and in the recession regime: 0.5142.

  1. A sow replacement model using Bayesian updating in a three-level hierarchic Markov process. II. Optimization model

    DEFF Research Database (Denmark)

    Kristensen, Anders Ringgaard; Søllested, Thomas Algot

    2004-01-01

    improvements. The biological model of the replacement model is described in a previous paper and in this paper the optimization model is described. The model is developed as a prototype for use under practical conditions. The application of the model is demonstrated using data from two commercial Danish sow......Recent methodological improvements in replacement models comprising multi-level hierarchical Markov processes and Bayesian updating have hardly been implemented in any replacement model and the aim of this study is to present a sow replacement model that really uses these methodological...... herds. It is concluded that the Bayesian updating technique and the hierarchical structure decrease the size of the state space dramatically. Since parameter estimates vary considerably among herds it is concluded that decision support concerning sow replacement only makes sense with parameters...

  2. Recovery of Graded Response Model Parameters: A Comparison of Marginal Maximum Likelihood and Markov Chain Monte Carlo Estimation

    Science.gov (United States)

    Kieftenbeld, Vincent; Natesan, Prathiba

    2012-01-01

    Markov chain Monte Carlo (MCMC) methods enable a fully Bayesian approach to parameter estimation of item response models. In this simulation study, the authors compared the recovery of graded response model parameters using marginal maximum likelihood (MML) and Gibbs sampling (MCMC) under various latent trait distributions, test lengths, and…

  3. A Novel Analytical Model for Network-on-Chip using Semi-Markov Process

    Directory of Open Access Journals (Sweden)

    WANG, J.

    2011-02-01

    Full Text Available Network-on-Chip (NoC communication architecture is proposed to resolve the bottleneck of Multi-processor communication in a single chip. In this paper, a performance analytical model using Semi-Markov Process (SMP is presented to obtain the NoC performance. More precisely, given the related parameters, SMP is used to describe the behavior of each channel and the header flit routing time on each channel can be calculated by analyzing the SMP. Then, the average packet latency in NoC can be calculated. The accuracy of our model is illustrated through simulation. Indeed, the experimental results show that the proposed model can be used to obtain NoC performance and it performs better than the state-of-art models. Therefore, our model can be used as a useful tool to guide the NoC design process.

  4. Sequential Markov chain Monte Carlo filter with simultaneous model selection for electrocardiogram signal modeling.

    Science.gov (United States)

    Edla, Shwetha; Kovvali, Narayan; Papandreou-Suppappola, Antonia

    2012-01-01

    Constructing statistical models of electrocardiogram (ECG) signals, whose parameters can be used for automated disease classification, is of great importance in precluding manual annotation and providing prompt diagnosis of cardiac diseases. ECG signals consist of several segments with different morphologies (namely the P wave, QRS complex and the T wave) in a single heart beat, which can vary across individuals and diseases. Also, existing statistical ECG models exhibit a reliance upon obtaining a priori information from the ECG data by using preprocessing algorithms to initialize the filter parameters, or to define the user-specified model parameters. In this paper, we propose an ECG modeling technique using the sequential Markov chain Monte Carlo (SMCMC) filter that can perform simultaneous model selection, by adaptively choosing from different representations depending upon the nature of the data. Our results demonstrate the ability of the algorithm to track various types of ECG morphologies, including intermittently occurring ECG beats. In addition, we use the estimated model parameters as the feature set to classify between ECG signals with normal sinus rhythm and four different types of arrhythmia.

  5. Reliability estimation of semi-Markov systems: a case study

    International Nuclear Information System (INIS)

    Ouhbi, Brahim; Limnios, Nikolaos

    1997-01-01

    In this article, we are concerned with the estimation of the reliability and the availability of a turbo-generator rotor using a set of data observed in a real engineering situation provided by Electricite De France (EDF). The rotor is modeled by a semi-Markov process, which is used to estimate the rotor's reliability and availability. To do this, we present a method for estimating the semi-Markov kernel from a censored data

  6. Abstract behaviour modelling and prognosis on the basis of spatially distributed sensor networks with Kohonen cards and Markov chains; Abstrakte Verhaltensmodellierung und -prognose auf der Basis raeumlich verteilter Sensornetze mit Kohonen-Karten und Markov-Ketten

    Energy Technology Data Exchange (ETDEWEB)

    Matthes, J.; Keller, H.B.; Mikut, R. [Forschungszentrum Karlsruhe GmbH Technik und Umwelt (Germany). Inst. fuer Angewandte Informatik

    2000-10-01

    Evironmental processes, e.g. local air quality changes in urban agglomerations, buildings and production halls are dynamic processes with regionally distributed physical variables. They can be monitored by networks of distributed measuring probes. Processes of this type form the basis of complex systems with many degrees of freedom and stochastic effects that are difficult to measure. The contribution presents an introduction to Markov chains, proposes a method of generating Markov chains as a prognostic model, and demonstrates the method using the example of an air quality monitoring process. [German] Fuer die Ueberwachung dynamischer Prozesse, deren physikalische Groessen raeumlich verteilt auftreten, werden oft Netze raeumlich verteilter Sensoren eingesetzt. Umweltprozesse, wie z.B. die oertliche Luftqualitaetsaenderung in Ballungsraeumen, Gebaeuden und Produktionsanlagen, aber auch verschiedene verfahrenstechnische Prozesse sind Vertreter dieser Prozessklasse. Solchen Prozessen hinterliegen komplexe Systeme, die durch eine hohe Anzahl an Freiheitsgraden und durch stochastische schwer messbare Einfluesse gekennzeichnet sind. Ziel dieses Vortrages ist es, - eine kurze Einfuehrung zu Markov-Ketten zu gegeben (Abschnitt 2); - ein datengestuetztes Verfahren vorzuschlagen, das nach einer Schaetzung abstrakter Prozesszustaende mit Hilfe von Kohonen-Karten Markov-Ketten als Prognosemodell generiert (Abschnitt 3), und - dieses Verfahren anhand eines Simulationsbeispiels zur Luftqualitaetsueberwachung zu demonstrieren (Abschnitt 4). (orig.)

  7. Markov Tail Chains

    OpenAIRE

    janssen, Anja; Segers, Johan

    2013-01-01

    The extremes of a univariate Markov chain with regularly varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random walk structure called the tail chain. In this paper we extend this fact to Markov chains with multivariate regularly varying marginal distributions in Rd. We analyze both the forward and the backward tail process and show that they mutually determine each other through a kind of adjoint relation. In ...

  8. Reviving Markov processes and applications

    International Nuclear Information System (INIS)

    Cai, H.

    1988-01-01

    In this dissertation we study a procedure which restarts a Markov process when the process is killed by some arbitrary multiplicative functional. The regenerative nature of this revival procedure is characterized through a Markov renewal equation. An interesting duality between the revival procedure and the classical killing operation is found. Under the condition that the multiplicative functional possesses an intensity, the generators of the revival process can be written down explicitly. An intimate connection is also found between the perturbation of the sample path of a Markov process and the perturbation of a generator (in Kato's sense). The applications of the theory include the study of the processes like piecewise-deterministic Markov process, virtual waiting time process and the first entrance decomposition (taboo probability)

  9. Computing rates of Markov models of voltage-gated ion channels by inverting partial differential equations governing the probability density functions of the conducting and non-conducting states.

    Science.gov (United States)

    Tveito, Aslak; Lines, Glenn T; Edwards, Andrew G; McCulloch, Andrew

    2016-07-01

    Markov models are ubiquitously used to represent the function of single ion channels. However, solving the inverse problem to construct a Markov model of single channel dynamics from bilayer or patch-clamp recordings remains challenging, particularly for channels involving complex gating processes. Methods for solving the inverse problem are generally based on data from voltage clamp measurements. Here, we describe an alternative approach to this problem based on measurements of voltage traces. The voltage traces define probability density functions of the functional states of an ion channel. These probability density functions can also be computed by solving a deterministic system of partial differential equations. The inversion is based on tuning the rates of the Markov models used in the deterministic system of partial differential equations such that the solution mimics the properties of the probability density function gathered from (pseudo) experimental data as well as possible. The optimization is done by defining a cost function to measure the difference between the deterministic solution and the solution based on experimental data. By evoking the properties of this function, it is possible to infer whether the rates of the Markov model are identifiable by our method. We present applications to Markov model well-known from the literature. Copyright © 2016 The Authors. Published by Elsevier Inc. All rights reserved.

  10. Markov Trends in Macroeconomic Time Series

    NARCIS (Netherlands)

    R. Paap (Richard)

    1997-01-01

    textabstractMany macroeconomic time series are characterised by long periods of positive growth, expansion periods, and short periods of negative growth, recessions. A popular model to describe this phenomenon is the Markov trend, which is a stochastic segmented trend where the slope depends on the

  11. Monitoring and Modeling of Spatiotemporal Urban Expansion and Land-Use/Land-Cover Change Using Integrated Markov Chain Cellular Automata Model

    Directory of Open Access Journals (Sweden)

    Bhagawat Rimal

    2017-09-01

    Full Text Available Spatial–temporal analysis of land-use/land-cover (LULC change as well as the monitoring and modeling of urban expansion are essential for the planning and management of urban environments. Such environments reflect the economic conditions and quality of life of the individual country. Urbanization is generally influenced by national laws, plans and policies and by power, politics and poor governance in many less-developed countries. Remote sensing tools play a vital role in monitoring LULC change and measuring the rate of urbanization at both the local and global levels. The current study evaluated the LULC changes and urban expansion of Jhapa district of Nepal. The spatial–temporal dynamics of LULC were identified using six time-series atmospherically-corrected surface reflectance Landsat images from 1989 to 2016. A hybrid cellular automata Markov chain (CA–Markov model was used to simulate future urbanization by 2026 and 2036. The analysis shows that the urban area has increased markedly and is expected to continue to grow rapidly in the future, whereas the area for agriculture has decreased. Meanwhile, forest and shrub areas have remained almost constant. Seasonal rainfall and flooding routinely cause predictable transformation of sand, water bodies and cultivated land from one type to another. The results suggest that the use of Landsat time-series archive images and the CA–Markov model are the best options for long-term spatiotemporal analysis and achieving an acceptable level of prediction accuracy. Furthermore, understanding the relationship between the spatiotemporal dynamics of urbanization and LULC change and simulating future landscape change is essential, as they are closely interlinked. These scientific findings of past, present and future land-cover scenarios of the study area will assist planners/decision-makers to formulate sustainable urban development and environmental protection plans and will remain a scientific asset

  12. Geolocating fish using Hidden Markov Models and Data Storage Tags

    DEFF Research Database (Denmark)

    Thygesen, Uffe Høgsbro; Pedersen, Martin Wæver; Madsen, Henrik

    2009-01-01

    Geolocation of fish based on data from archival tags typically requires a statistical analysis to reduce the effect of measurement errors. In this paper we present a novel technique for this analysis, one based on Hidden Markov Models (HMM's). We assume that the actual path of the fish is generated...... by a biased random walk. The HMM methodology produces, for each time step, the probability that the fish resides in each grid cell. Because there is no Monte Carlo step in our technique, we are able to estimate parameters within the likelihood framework. The method does not require the distribution...... of inference in state-space models of animals. The technique can be applied to geolocation based on light, on tidal patterns, or measurement of other variables that vary with space. We illustrate the method through application to a simulated data set where geolocation relies on depth data exclusively....

  13. A hybrid degradation tendency measurement method for mechanical equipment based on moving window and Grey–Markov model

    International Nuclear Information System (INIS)

    Jiang, Wei; Zhou, Jianzhong; Zheng, Yang; Liu, Han

    2017-01-01

    Accurate degradation tendency measurement is vital for the secure operation of mechanical equipment. However, the existing techniques and methodologies for degradation measurement still face challenges, such as lack of appropriate degradation indicator, insufficient accuracy, and poor capability to track the data fluctuation. To solve these problems, a hybrid degradation tendency measurement method for mechanical equipment based on a moving window and Grey–Markov model is proposed in this paper. In the proposed method, a 1D normalized degradation index based on multi-feature fusion is designed to assess the extent of degradation. Subsequently, the moving window algorithm is integrated with the Grey–Markov model for the dynamic update of the model. Two key parameters, namely the step size and the number of states, contribute to the adaptive modeling and multi-step prediction. Finally, three types of combination prediction models are established to measure the degradation trend of equipment. The effectiveness of the proposed method is validated with a case study on the health monitoring of turbine engines. Experimental results show that the proposed method has better performance, in terms of both measuring accuracy and data fluctuation tracing, in comparison with other conventional methods. (paper)

  14. A hybrid degradation tendency measurement method for mechanical equipment based on moving window and Grey-Markov model

    Science.gov (United States)

    Jiang, Wei; Zhou, Jianzhong; Zheng, Yang; Liu, Han

    2017-11-01

    Accurate degradation tendency measurement is vital for the secure operation of mechanical equipment. However, the existing techniques and methodologies for degradation measurement still face challenges, such as lack of appropriate degradation indicator, insufficient accuracy, and poor capability to track the data fluctuation. To solve these problems, a hybrid degradation tendency measurement method for mechanical equipment based on a moving window and Grey-Markov model is proposed in this paper. In the proposed method, a 1D normalized degradation index based on multi-feature fusion is designed to assess the extent of degradation. Subsequently, the moving window algorithm is integrated with the Grey-Markov model for the dynamic update of the model. Two key parameters, namely the step size and the number of states, contribute to the adaptive modeling and multi-step prediction. Finally, three types of combination prediction models are established to measure the degradation trend of equipment. The effectiveness of the proposed method is validated with a case study on the health monitoring of turbine engines. Experimental results show that the proposed method has better performance, in terms of both measuring accuracy and data fluctuation tracing, in comparison with other conventional methods.

  15. Multi-chain Markov chain Monte Carlo methods for computationally expensive models

    Science.gov (United States)

    Huang, M.; Ray, J.; Ren, H.; Hou, Z.; Bao, J.

    2017-12-01

    Markov chain Monte Carlo (MCMC) methods are used to infer model parameters from observational data. The parameters are inferred as probability densities, thus capturing estimation error due to sparsity of the data, and the shortcomings of the model. Multiple communicating chains executing the MCMC method have the potential to explore the parameter space better, and conceivably accelerate the convergence to the final distribution. We present results from tests conducted with the multi-chain method to show how the acceleration occurs i.e., for loose convergence tolerances, the multiple chains do not make much of a difference. The ensemble of chains also seems to have the ability to accelerate the convergence of a few chains that might start from suboptimal starting points. Finally, we show the performance of the chains in the estimation of O(10) parameters using computationally expensive forward models such as the Community Land Model, where the sampling burden is distributed over multiple chains.

  16. Wind Farm Reliability Modelling Using Bayesian Networks and Semi-Markov Processes

    Directory of Open Access Journals (Sweden)

    Robert Adam Sobolewski

    2015-09-01

    Full Text Available Technical reliability plays an important role among factors affecting the power output of a wind farm. The reliability is determined by an internal collection grid topology and reliability of its electrical components, e.g. generators, transformers, cables, switch breakers, protective relays, and busbars. A wind farm reliability’s quantitative measure can be the probability distribution of combinations of operating and failed states of the farm’s wind turbines. The operating state of a wind turbine is its ability to generate power and to transfer it to an external power grid, which means the availability of the wind turbine and other equipment necessary for the power transfer to the external grid. This measure can be used for quantitative analysis of the impact of various wind farm topologies and the reliability of individual farm components on the farm reliability, and for determining the expected farm output power with consideration of the reliability. This knowledge may be useful in an analysis of power generation reliability in power systems. The paper presents probabilistic models that quantify the wind farm reliability taking into account the above-mentioned technical factors. To formulate the reliability models Bayesian networks and semi-Markov processes were used. Using Bayesian networks the wind farm structural reliability was mapped, as well as quantitative characteristics describing equipment reliability. To determine the characteristics semi-Markov processes were used. The paper presents an example calculation of: (i probability distribution of the combination of both operating and failed states of four wind turbines included in the wind farm, and (ii expected wind farm output power with consideration of its reliability.

  17. A Method for Driving Route Predictions Based on Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Ning Ye

    2015-01-01

    Full Text Available We present a driving route prediction method that is based on Hidden Markov Model (HMM. This method can accurately predict a vehicle’s entire route as early in a trip’s lifetime as possible without inputting origins and destinations beforehand. Firstly, we propose the route recommendation system architecture, where route predictions play important role in the system. Secondly, we define a road network model, normalize each of driving routes in the rectangular coordinate system, and build the HMM to make preparation for route predictions using a method of training set extension based on K-means++ and the add-one (Laplace smoothing technique. Thirdly, we present the route prediction algorithm. Finally, the experimental results of the effectiveness of the route predictions that is based on HMM are shown.

  18. Motion Imitation and Recognition using Parametric Hidden Markov Models

    DEFF Research Database (Denmark)

    Herzog, Dennis; Ude, Ales; Krüger, Volker

    2008-01-01

    ) are important. Only together they convey the whole meaning of an action. Similarly, to imitate a movement, the robot needs to select the proper action and parameterize it, e.g., by the relative position of the object that needs to be grasped. We propose to utilize parametric hidden Markov models (PHMMs), which...... extend the classical HMMs by introducing a joint parameterization of the observation densities, to simultaneously solve the problems of action recognition, parameterization of the observed actions, and action synthesis. The proposed approach was fully implemented on a humanoid robot HOAP-3. To evaluate...... the approach, we focused on reaching and pointing actions. Even though the movements are very similar in appearance, our approach is able to distinguish the two movement types and discover the parameterization, and is thus enabling both, action recognition and action synthesis. Through parameterization we...

  19. Fields From Markov Chains

    DEFF Research Database (Denmark)

    Justesen, Jørn

    2005-01-01

    A simple construction of two-dimensional (2-D) fields is presented. Rows and columns are outcomes of the same Markov chain. The entropy can be calculated explicitly.......A simple construction of two-dimensional (2-D) fields is presented. Rows and columns are outcomes of the same Markov chain. The entropy can be calculated explicitly....

  20. Sub-seasonal-to-seasonal Reservoir Inflow Forecast using Bayesian Hierarchical Hidden Markov Model

    Science.gov (United States)

    Mukhopadhyay, S.; Arumugam, S.

    2017-12-01

    Sub-seasonal-to-seasonal (S2S) (15-90 days) streamflow forecasting is an emerging area of research that provides seamless information for reservoir operation from weather time scales to seasonal time scales. From an operational perspective, sub-seasonal inflow forecasts are highly valuable as these enable water managers to decide short-term releases (15-30 days), while holding water for seasonal needs (e.g., irrigation and municipal supply) and to meet end-of-the-season target storage at a desired level. We propose a Bayesian Hierarchical Hidden Markov Model (BHHMM) to develop S2S inflow forecasts for the Tennessee Valley Area (TVA) reservoir system. Here, the hidden states are predicted by relevant indices that influence the inflows at S2S time scale. The hidden Markov model also captures the both spatial and temporal hierarchy in predictors that operate at S2S time scale with model parameters being estimated as a posterior distribution using a Bayesian framework. We present our work in two steps, namely single site model and multi-site model. For proof of concept, we consider inflows to Douglas Dam, Tennessee, in the single site model. For multisite model we consider reservoirs in the upper Tennessee valley. Streamflow forecasts are issued and updated continuously every day at S2S time scale. We considered precipitation forecasts obtained from NOAA Climate Forecast System (CFSv2) GCM as predictors for developing S2S streamflow forecasts along with relevant indices for predicting hidden states. Spatial dependence of the inflow series of reservoirs are also preserved in the multi-site model. To circumvent the non-normality of the data, we consider the HMM in a Generalized Linear Model setting. Skill of the proposed approach is tested using split sample validation against a traditional multi-site canonical correlation model developed using the same set of predictors. From the posterior distribution of the inflow forecasts, we also highlight different system behavior

  1. Prediction on Human Resource Supply/Demand in Nuclear Industry Using Markov Chains Model and Job Coefficient

    International Nuclear Information System (INIS)

    Kwon, Hyuk; Min, Byung Joo; Lee, Eui Jin; You, Byung Hoon

    2006-01-01

    According to the recent report by the OECD/NEA, there is a large imbalance between supply and demand of human resource in nuclear field. In the U.S., according to survey of Nuclear Engineering Department Heads Organization (NEDHO), 174 graduates in B.S or M.S degree were fed to nuclear industry in year 2004. Meanwhile, the total amount of demand in nuclear industry was about 642 engineers, which was approximately three times of the supply. In case of other developed western nations, the OECD/NEA report stated that the level of imbalance is similar to that of the U.S. However, nations having nuclear power development programs such as Korea, Japan and France seem to be in a different environment of supply and demand from that of the U.S. In this study, the difference of manpower status between the U.S and Korea has been investigated and the nuclear manpower required for the future in Korea is predicted. To investigate the factors making difference between the U.S. and NPP developing countries including Korea, a quantitative manpower planning model, Markov chains model, is applied. Since the Markov chains model has the strength of analyzing an inflow or push structure, the model fits the system governed by the inflow of manpower. A macroscopic status of manpower demand on nuclear industry is calculated up to 2015 using the Job coefficient (JC) and GDP, which are derived from the Survey for Roadmap of Electric Power Industry Manpower Planning. Furthermore, the total numbers of required manpower and supplied manpower up to 2030 were predicted by JC and Markov Chains model, respectively. Whereas the employee status of nuclear industries has been annually investigated by KAIF since 1995, the following data from the 10 th survey and nuclear energy yearbooks from 1998 to 2005 are applied; (a) the status of the manpower demand of industry, (b) number of students entering, graduating and getting job in nuclear engineering

  2. Prediction on Human Resource Supply/Demand in Nuclear Industry Using Markov Chains Model and Job Coefficient

    Energy Technology Data Exchange (ETDEWEB)

    Kwon, Hyuk; Min, Byung Joo; Lee, Eui Jin; You, Byung Hoon [Korea Atomic Energy Research Institute, Taejon (Korea, Republic of)

    2006-07-01

    According to the recent report by the OECD/NEA, there is a large imbalance between supply and demand of human resource in nuclear field. In the U.S., according to survey of Nuclear Engineering Department Heads Organization (NEDHO), 174 graduates in B.S or M.S degree were fed to nuclear industry in year 2004. Meanwhile, the total amount of demand in nuclear industry was about 642 engineers, which was approximately three times of the supply. In case of other developed western nations, the OECD/NEA report stated that the level of imbalance is similar to that of the U.S. However, nations having nuclear power development programs such as Korea, Japan and France seem to be in a different environment of supply and demand from that of the U.S. In this study, the difference of manpower status between the U.S and Korea has been investigated and the nuclear manpower required for the future in Korea is predicted. To investigate the factors making difference between the U.S. and NPP developing countries including Korea, a quantitative manpower planning model, Markov chains model, is applied. Since the Markov chains model has the strength of analyzing an inflow or push structure, the model fits the system governed by the inflow of manpower. A macroscopic status of manpower demand on nuclear industry is calculated up to 2015 using the Job coefficient (JC) and GDP, which are derived from the Survey for Roadmap of Electric Power Industry Manpower Planning. Furthermore, the total numbers of required manpower and supplied manpower up to 2030 were predicted by JC and Markov Chains model, respectively. Whereas the employee status of nuclear industries has been annually investigated by KAIF since 1995, the following data from the 10{sup th} survey and nuclear energy yearbooks from 1998 to 2005 are applied; (a) the status of the manpower demand of industry, (b) number of students entering, graduating and getting job in nuclear engineering.

  3. Regeneration and general Markov chains

    Directory of Open Access Journals (Sweden)

    Vladimir V. Kalashnikov

    1994-01-01

    Full Text Available Ergodicity, continuity, finite approximations and rare visits of general Markov chains are investigated. The obtained results permit further quantitative analysis of characteristics, such as, rates of convergence, continuity (measured as a distance between perturbed and non-perturbed characteristics, deviations between Markov chains, accuracy of approximations and bounds on the distribution function of the first visit time to a chosen subset, etc. The underlying techniques use the embedding of the general Markov chain into a wide sense regenerative process with the help of splitting construction.

  4. Markov set-chains

    CERN Document Server

    Hartfiel, Darald J

    1998-01-01

    In this study extending classical Markov chain theory to handle fluctuating transition matrices, the author develops a theory of Markov set-chains and provides numerous examples showing how that theory can be applied. Chapters are concluded with a discussion of related research. Readers who can benefit from this monograph are those interested in, or involved with, systems whose data is imprecise or that fluctuate with time. A background equivalent to a course in linear algebra and one in probability theory should be sufficient.

  5. A Framework for Bioacoustic Vocalization Analysis Using Hidden Markov Models

    Directory of Open Access Journals (Sweden)

    Ebenezer Out-Nyarko

    2009-11-01

    Full Text Available Using Hidden Markov Models (HMMs as a recognition framework for automatic classification of animal vocalizations has a number of benefits, including the ability to handle duration variability through nonlinear time alignment, the ability to incorporate complex language or recognition constraints, and easy extendibility to continuous recognition and detection domains. In this work, we apply HMMs to several different species and bioacoustic tasks using generalized spectral features that can be easily adjusted across species and HMM network topologies suited to each task. This experimental work includes a simple call type classification task using one HMM per vocalization for repertoire analysis of Asian elephants, a language-constrained song recognition task using syllable models as base units for ortolan bunting vocalizations, and a stress stimulus differentiation task in poultry vocalizations using a non-sequential model via a one-state HMM with Gaussian mixtures. Results show strong performance across all tasks and illustrate the flexibility of the HMM framework for a variety of species, vocalization types, and analysis tasks.

  6. Distinguishing Hidden Markov Chains

    OpenAIRE

    Kiefer, Stefan; Sistla, A. Prasad

    2015-01-01

    Hidden Markov Chains (HMCs) are commonly used mathematical models of probabilistic systems. They are employed in various fields such as speech recognition, signal processing, and biological sequence analysis. We consider the problem of distinguishing two given HMCs based on an observation sequence that one of the HMCs generates. More precisely, given two HMCs and an observation sequence, a distinguishing algorithm is expected to identify the HMC that generates the observation sequence. Two HM...

  7. Markov chains theory and applications

    CERN Document Server

    Sericola, Bruno

    2013-01-01

    Markov chains are a fundamental class of stochastic processes. They are widely used to solve problems in a large number of domains such as operational research, computer science, communication networks and manufacturing systems. The success of Markov chains is mainly due to their simplicity of use, the large number of available theoretical results and the quality of algorithms developed for the numerical evaluation of many metrics of interest.The author presents the theory of both discrete-time and continuous-time homogeneous Markov chains. He carefully examines the explosion phenomenon, the

  8. Active Learning of Markov Decision Processes for System Verification

    DEFF Research Database (Denmark)

    Chen, Yingke; Nielsen, Thomas Dyhre

    2012-01-01

    deterministic Markov decision processes from data by actively guiding the selection of input actions. The algorithm is empirically analyzed by learning system models of slot machines, and it is demonstrated that the proposed active learning procedure can significantly reduce the amount of data required...... demanding process, and this shortcoming has motivated the development of algorithms for automatically learning system models from observed system behaviors. Recently, algorithms have been proposed for learning Markov decision process representations of reactive systems based on alternating sequences...... of input/output observations. While alleviating the problem of manually constructing a system model, the collection/generation of observed system behaviors can also prove demanding. Consequently we seek to minimize the amount of data required. In this paper we propose an algorithm for learning...

  9. Forecasting oil price trends using wavelets and hidden Markov models

    International Nuclear Information System (INIS)

    Souza e Silva, Edmundo G. de; Souza e Silva, Edmundo A. de; Legey, Luiz F.L.

    2010-01-01

    The crude oil price is influenced by a great number of factors, most of which interact in very complex ways. For this reason, forecasting it through a fundamentalist approach is a difficult task. An alternative is to use time series methodologies, with which the price's past behavior is conveniently analyzed, and used to predict future movements. In this paper, we investigate the usefulness of a nonlinear time series model, known as hidden Markov model (HMM), to predict future crude oil price movements. Using an HMM, we develop a forecasting methodology that consists of, basically, three steps. First, we employ wavelet analysis to remove high frequency price movements, which can be assumed as noise. Then, the HMM is used to forecast the probability distribution of the price return accumulated over the next F days. Finally, from this distribution, we infer future price trends. Our results indicate that the proposed methodology might be a useful decision support tool for agents participating in the crude oil market. (author)

  10. Anomalous transport in disordered fracture networks: Spatial Markov model for dispersion with variable injection modes

    Science.gov (United States)

    Kang, Peter K.; Dentz, Marco; Le Borgne, Tanguy; Lee, Seunghak; Juanes, Ruben

    2017-08-01

    We investigate tracer transport on random discrete fracture networks that are characterized by the statistics of the fracture geometry and hydraulic conductivity. While it is well known that tracer transport through fractured media can be anomalous and particle injection modes can have major impact on dispersion, the incorporation of injection modes into effective transport modeling has remained an open issue. The fundamental reason behind this challenge is that-even if the Eulerian fluid velocity is steady-the Lagrangian velocity distribution experienced by tracer particles evolves with time from its initial distribution, which is dictated by the injection mode, to a stationary velocity distribution. We quantify this evolution by a Markov model for particle velocities that are equidistantly sampled along trajectories. This stochastic approach allows for the systematic incorporation of the initial velocity distribution and quantifies the interplay between velocity distribution and spatial and temporal correlation. The proposed spatial Markov model is characterized by the initial velocity distribution, which is determined by the particle injection mode, the stationary Lagrangian velocity distribution, which is derived from the Eulerian velocity distribution, and the spatial velocity correlation length, which is related to the characteristic fracture length. This effective model leads to a time-domain random walk for the evolution of particle positions and velocities, whose joint distribution follows a Boltzmann equation. Finally, we demonstrate that the proposed model can successfully predict anomalous transport through discrete fracture networks with different levels of heterogeneity and arbitrary tracer injection modes.

  11. Adaptive hidden Markov model with anomaly States for price manipulation detection.

    Science.gov (United States)

    Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, Thomas Martin

    2015-02-01

    Price manipulation refers to the activities of those traders who use carefully designed trading behaviors to manually push up or down the underlying equity prices for making profits. With increasing volumes and frequency of trading, price manipulation can be extremely damaging to the proper functioning and integrity of capital markets. The existing literature focuses on either empirical studies of market abuse cases or analysis of particular manipulation types based on certain assumptions. Effective approaches for analyzing and detecting price manipulation in real time are yet to be developed. This paper proposes a novel approach, called adaptive hidden Markov model with anomaly states (AHMMAS) for modeling and detecting price manipulation activities. Together with wavelet transformations and gradients as the feature extraction methods, the AHMMAS model caters to price manipulation detection and basic manipulation type recognition. The evaluation experiments conducted on seven stock tick data from NASDAQ and the London Stock Exchange and 10 simulated stock prices by stochastic differential equation show that the proposed AHMMAS model can effectively detect price manipulation patterns and outperforms the selected benchmark models.

  12. Incorporating teleconnection information into reservoir operating policies using Stochastic Dynamic Programming and a Hidden Markov Model

    Science.gov (United States)

    Turner, Sean; Galelli, Stefano; Wilcox, Karen

    2015-04-01

    Water reservoir systems are often affected by recurring large-scale ocean-atmospheric anomalies, known as teleconnections, that cause prolonged periods of climatological drought. Accurate forecasts of these events -- at lead times in the order of weeks and months -- may enable reservoir operators to take more effective release decisions to improve the performance of their systems. In practice this might mean a more reliable water supply system, a more profitable hydropower plant or a more sustainable environmental release policy. To this end, climate indices, which represent the oscillation of the ocean-atmospheric system, might be gainfully employed within reservoir operating models that adapt the reservoir operation as a function of the climate condition. This study develops a Stochastic Dynamic Programming (SDP) approach that can incorporate climate indices using a Hidden Markov Model. The model simulates the climatic regime as a hidden state following a Markov chain, with the state transitions driven by variation in climatic indices, such as the Southern Oscillation Index. Time series analysis of recorded streamflow data reveals the parameters of separate autoregressive models that describe the inflow to the reservoir under three representative climate states ("normal", "wet", "dry"). These models then define inflow transition probabilities for use in a classic SDP approach. The key advantage of the Hidden Markov Model is that it allows conditioning the operating policy not only on the reservoir storage and the antecedent inflow, but also on the climate condition, thus potentially allowing adaptability to a broader range of climate conditions. In practice, the reservoir operator would effect a water release tailored to a specific climate state based on available teleconnection data and forecasts. The approach is demonstrated on the operation of a realistic, stylised water reservoir with carry-over capacity in South-East Australia. Here teleconnections relating

  13. A GM (1, 1 Markov Chain-Based Aeroengine Performance Degradation Forecast Approach Using Exhaust Gas Temperature

    Directory of Open Access Journals (Sweden)

    Ning-bo Zhao

    2014-01-01

    Full Text Available Performance degradation forecast technology for quantitatively assessing degradation states of aeroengine using exhaust gas temperature is an important technology in the aeroengine health management. In this paper, a GM (1, 1 Markov chain-based approach is introduced to forecast exhaust gas temperature by taking the advantages of GM (1, 1 model in time series and the advantages of Markov chain model in dealing with highly nonlinear and stochastic data caused by uncertain factors. In this approach, firstly, the GM (1, 1 model is used to forecast the trend by using limited data samples. Then, Markov chain model is integrated into GM (1, 1 model in order to enhance the forecast performance, which can solve the influence of random fluctuation data on forecasting accuracy and achieving an accurate estimate of the nonlinear forecast. As an example, the historical monitoring data of exhaust gas temperature from CFM56 aeroengine of China Southern is used to verify the forecast performance of the GM (1, 1 Markov chain model. The results show that the GM (1, 1 Markov chain model is able to forecast exhaust gas temperature accurately, which can effectively reflect the random fluctuation characteristics of exhaust gas temperature changes over time.

  14. Markov models for fMRI correlation structure: Is brain functional connectivity small world, or decomposable into networks?

    Science.gov (United States)

    Varoquaux, G; Gramfort, A; Poline, J B; Thirion, B

    2012-01-01

    Correlations in the signal observed via functional Magnetic Resonance Imaging (fMRI), are expected to reveal the interactions in the underlying neural populations through hemodynamic response. In particular, they highlight distributed set of mutually correlated regions that correspond to brain networks related to different cognitive functions. Yet graph-theoretical studies of neural connections give a different picture: that of a highly integrated system with small-world properties: local clustering but with short pathways across the complete structure. We examine the conditional independence properties of the fMRI signal, i.e. its Markov structure, to find realistic assumptions on the connectivity structure that are required to explain the observed functional connectivity. In particular we seek a decomposition of the Markov structure into segregated functional networks using decomposable graphs: a set of strongly-connected and partially overlapping cliques. We introduce a new method to efficiently extract such cliques on a large, strongly-connected graph. We compare methods learning different graph structures from functional connectivity by testing the goodness of fit of the model they learn on new data. We find that summarizing the structure as strongly-connected networks can give a good description only for very large and overlapping networks. These results highlight that Markov models are good tools to identify the structure of brain connectivity from fMRI signals, but for this purpose they must reflect the small-world properties of the underlying neural systems. Copyright © 2012 Elsevier Ltd. All rights reserved.

  15. Bisimulation and Simulation Relations for Markov Chains

    NARCIS (Netherlands)

    Baier, Christel; Hermanns, H.; Katoen, Joost P.; Wolf, Verena; Aceto, L.; Gordon, A.

    2006-01-01

    Formal notions of bisimulation and simulation relation play a central role for any kind of process algebra. This short paper sketches the main concepts for bisimulation and simulation relations for probabilistic systems, modelled by discrete- or continuous-time Markov chains.

  16. Damage evaluation by a guided wave-hidden Markov model based method

    Science.gov (United States)

    Mei, Hanfei; Yuan, Shenfang; Qiu, Lei; Zhang, Jinjin

    2016-02-01

    Guided wave based structural health monitoring has shown great potential in aerospace applications. However, one of the key challenges of practical engineering applications is the accurate interpretation of the guided wave signals under time-varying environmental and operational conditions. This paper presents a guided wave-hidden Markov model based method to improve the damage evaluation reliability of real aircraft structures under time-varying conditions. In the proposed approach, an HMM based unweighted moving average trend estimation method, which can capture the trend of damage propagation from the posterior probability obtained by HMM modeling is used to achieve a probabilistic evaluation of the structural damage. To validate the developed method, experiments are performed on a hole-edge crack specimen under fatigue loading condition and a real aircraft wing spar under changing structural boundary conditions. Experimental results show the advantage of the proposed method.

  17. Classification Using Markov Blanket for Feature Selection

    DEFF Research Database (Denmark)

    Zeng, Yifeng; Luo, Jian

    2009-01-01

    Selecting relevant features is in demand when a large data set is of interest in a classification task. It produces a tractable number of features that are sufficient and possibly improve the classification performance. This paper studies a statistical method of Markov blanket induction algorithm...... for filtering features and then applies a classifier using the Markov blanket predictors. The Markov blanket contains a minimal subset of relevant features that yields optimal classification performance. We experimentally demonstrate the improved performance of several classifiers using a Markov blanket...... induction as a feature selection method. In addition, we point out an important assumption behind the Markov blanket induction algorithm and show its effect on the classification performance....

  18. Consistency and refinement for Interval Markov Chains

    DEFF Research Database (Denmark)

    Delahaye, Benoit; Larsen, Kim Guldstrand; Legay, Axel

    2012-01-01

    Interval Markov Chains (IMC), or Markov Chains with probability intervals in the transition matrix, are the base of a classic specification theory for probabilistic systems [18]. The standard semantics of IMCs assigns to a specification the set of all Markov Chains that satisfy its interval...

  19. Deciphering the regulation of P2X4 receptor channel gating by ivermectin using Markov models

    Czech Academy of Sciences Publication Activity Database

    Mackay, L.; Zemková, Hana; Stojilkovic, S. S.; Sherman, A.; Khadra, A.

    2017-01-01

    Roč. 13, č. 7 (2017), č. článku e1005643. ISSN 1553-734X R&D Projects: GA ČR(CZ) GBP304/12/G069 Institutional support: RVO:67985823 Keywords : Markov models * ion channel gating * sensory receptors * cation s Subject RIV: ED - Physiology OBOR OECD: Physiology (including cytology) Impact factor: 4.542, year: 2016

  20. The Bacterial Sequential Markov Coalescent.

    Science.gov (United States)

    De Maio, Nicola; Wilson, Daniel J

    2017-05-01

    Bacteria can exchange and acquire new genetic material from other organisms directly and via the environment. This process, known as bacterial recombination, has a strong impact on the evolution of bacteria, for example, leading to the spread of antibiotic resistance across clades and species, and to the avoidance of clonal interference. Recombination hinders phylogenetic and transmission inference because it creates patterns of substitutions (homoplasies) inconsistent with the hypothesis of a single evolutionary tree. Bacterial recombination is typically modeled as statistically akin to gene conversion in eukaryotes, i.e. , using the coalescent with gene conversion (CGC). However, this model can be very computationally demanding as it needs to account for the correlations of evolutionary histories of even distant loci. So, with the increasing popularity of whole genome sequencing, the need has emerged for a faster approach to model and simulate bacterial genome evolution. We present a new model that approximates the coalescent with gene conversion: the bacterial sequential Markov coalescent (BSMC). Our approach is based on a similar idea to the sequential Markov coalescent (SMC)-an approximation of the coalescent with crossover recombination. However, bacterial recombination poses hurdles to a sequential Markov approximation, as it leads to strong correlations and linkage disequilibrium across very distant sites in the genome. Our BSMC overcomes these difficulties, and shows a considerable reduction in computational demand compared to the exact CGC, and very similar patterns in simulated data. We implemented our BSMC model within new simulation software FastSimBac. In addition to the decreased computational demand compared to previous bacterial genome evolution simulators, FastSimBac provides more general options for evolutionary scenarios, allowing population structure with migration, speciation, population size changes, and recombination hotspots. FastSimBac is

  1. Engineering of Algorithms for Hidden Markov models and Tree Distances

    DEFF Research Database (Denmark)

    Sand, Andreas

    Bioinformatics is an interdisciplinary scientific field that combines biology with mathematics, statistics and computer science in an effort to develop computational methods for handling, analyzing and learning from biological data. In the recent decades, the amount of available biological data has...... speed up all the classical algorithms for analyses and training of hidden Markov models. And I show how two particularly important algorithms, the forward algorithm and the Viterbi algorithm, can be accelerated through a reformulation of the algorithms and a somewhat more complicated parallelization...... contribution to the theoretically fastest set of algorithms presently available to compute two closely related measures of tree distance, the triplet distance and the quartet distance. And I further demonstrate that they are also the fastest algorithms in almost all cases when tested in practice....

  2. Bacterial genomes lacking long-range correlations may not be modeled by low-order Markov chains: the role of mixing statistics and frame shift of neighboring genes.

    Science.gov (United States)

    Cocho, Germinal; Miramontes, Pedro; Mansilla, Ricardo; Li, Wentian

    2014-12-01

    We examine the relationship between exponential correlation functions and Markov models in a bacterial genome in detail. Despite the well known fact that Markov models generate sequences with correlation function that decays exponentially, simply constructed Markov models based on nearest-neighbor dimer (first-order), trimer (second-order), up to hexamer (fifth-order), and treating the DNA sequence as being homogeneous all fail to predict the value of exponential decay rate. Even reading-frame-specific Markov models (both first- and fifth-order) could not explain the fact that the exponential decay is very slow. Starting with the in-phase coding-DNA-sequence (CDS), we investigated correlation within a fixed-codon-position subsequence, and in artificially constructed sequences by packing CDSs with out-of-phase spacers, as well as altering CDS length distribution by imposing an upper limit. From these targeted analyses, we conclude that the correlation in the bacterial genomic sequence is mainly due to a mixing of heterogeneous statistics at different codon positions, and the decay of correlation is due to the possible out-of-phase between neighboring CDSs. There are also small contributions to the correlation from bases at the same codon position, as well as by non-coding sequences. These show that the seemingly simple exponential correlation functions in bacterial genome hide a complexity in correlation structure which is not suitable for a modeling by Markov chain in a homogeneous sequence. Other results include: use of the (absolute value) second largest eigenvalue to represent the 16 correlation functions and the prediction of a 10-11 base periodicity from the hexamer frequencies. Copyright © 2014 Elsevier Ltd. All rights reserved.

  3. Social security as Markov equilibrium in OLG models: A note

    DEFF Research Database (Denmark)

    Gonzalez Eiras, Martin

    2011-01-01

    I refine and extend the Markov perfect equilibrium of the social security policy game in Forni (2005) for the special case of logarithmic utility. Under the restriction that the policy function be continuous, instead of differentiable, the equilibrium is globally well defined and its dynamics...

  4. Markov Model Predicts Changes in STH Prevalence during Control Activities Even with a Reduced Amount of Baseline Information.

    Directory of Open Access Journals (Sweden)

    Antonio Montresor

    2016-04-01

    Full Text Available Estimating the reduction in levels of infection during implementation of soil-transmitted helminth (STH control programmes is important to measure their performance and to plan interventions. Markov modelling techniques have been used with some success to predict changes in STH prevalence following treatment in Viet Nam. The model is stationary and to date, the prediction has been obtained by calculating the transition probabilities between the different classes of intensity following the first year of drug distribution and assuming that these remain constant in subsequent years. However, to run this model longitudinal parasitological data (including intensity of infection are required for two consecutive years from at least 200 individuals. Since this amount of data is not often available from STH control programmes, the possible application of the model in control programme is limited. The present study aimed to address this issue by adapting the existing Markov model to allow its application when a more limited amount of data is available and to test the predictive capacities of these simplified models.We analysed data from field studies conducted with different combination of three parameters: (i the frequency of drug administration; (ii the drug distributed; and (iii the target treatment population (entire population or school-aged children only. This analysis allowed us to define 10 sets of standard transition probabilities to be used to predict prevalence changes when only baseline data are available (simplified model 1. We also formulated three equations (one for each STH parasite to calculate the predicted prevalence of the different classes of intensity from the total prevalence. These equations allowed us to design a simplified model (SM2 to obtain predictions when the classes of intensity at baseline were not known. To evaluate the performance of the simplified models, we collected data from the scientific literature on changes in

  5. Sentiment classification technology based on Markov logic networks

    Science.gov (United States)

    He, Hui; Li, Zhigang; Yao, Chongchong; Zhang, Weizhe

    2016-07-01

    With diverse online media emerging, there is a growing concern of sentiment classification problem. At present, text sentiment classification mainly utilizes supervised machine learning methods, which feature certain domain dependency. On the basis of Markov logic networks (MLNs), this study proposed a cross-domain multi-task text sentiment classification method rooted in transfer learning. Through many-to-one knowledge transfer, labeled text sentiment classification, knowledge was successfully transferred into other domains, and the precision of the sentiment classification analysis in the text tendency domain was improved. The experimental results revealed the following: (1) the model based on a MLN demonstrated higher precision than the single individual learning plan model. (2) Multi-task transfer learning based on Markov logical networks could acquire more knowledge than self-domain learning. The cross-domain text sentiment classification model could significantly improve the precision and efficiency of text sentiment classification.

  6. Nonlinearly perturbed semi-Markov processes

    CERN Document Server

    Silvestrov, Dmitrii

    2017-01-01

    The book presents new methods of asymptotic analysis for nonlinearly perturbed semi-Markov processes with a finite phase space. These methods are based on special time-space screening procedures for sequential phase space reduction of semi-Markov processes combined with the systematical use of operational calculus for Laurent asymptotic expansions. Effective recurrent algorithms are composed for getting asymptotic expansions, without and with explicit upper bounds for remainders, for power moments of hitting times, stationary and conditional quasi-stationary distributions for nonlinearly perturbed semi-Markov processes. These results are illustrated by asymptotic expansions for birth-death-type semi-Markov processes, which play an important role in various applications. The book will be a useful contribution to the continuing intensive studies in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications that will cont...

  7. Neyman, Markov processes and survival analysis.

    Science.gov (United States)

    Yang, Grace

    2013-07-01

    J. Neyman used stochastic processes extensively in his applied work. One example is the Fix and Neyman (F-N) competing risks model (1951) that uses finite homogeneous Markov processes to analyse clinical trials with breast cancer patients. We revisit the F-N model, and compare it with the Kaplan-Meier (K-M) formulation for right censored data. The comparison offers a way to generalize the K-M formulation to include risks of recovery and relapses in the calculation of a patient's survival probability. The generalization is to extend the F-N model to a nonhomogeneous Markov process. Closed-form solutions of the survival probability are available in special cases of the nonhomogeneous processes, like the popular multiple decrement model (including the K-M model) and Chiang's staging model, but these models do not consider recovery and relapses while the F-N model does. An analysis of sero-epidemiology current status data with recurrent events is illustrated. Fix and Neyman used Neyman's RBAN (regular best asymptotic normal) estimates for the risks, and provided a numerical example showing the importance of considering both the survival probability and the length of time of a patient living a normal life in the evaluation of clinical trials. The said extension would result in a complicated model and it is unlikely to find analytical closed-form solutions for survival analysis. With ever increasing computing power, numerical methods offer a viable way of investigating the problem.

  8. Information Entropy Production of Maximum Entropy Markov Chains from Spike Trains

    Science.gov (United States)

    Cofré, Rodrigo; Maldonado, Cesar

    2018-01-01

    We consider the maximum entropy Markov chain inference approach to characterize the collective statistics of neuronal spike trains, focusing on the statistical properties of the inferred model. We review large deviations techniques useful in this context to describe properties of accuracy and convergence in terms of sampling size. We use these results to study the statistical fluctuation of correlations, distinguishability and irreversibility of maximum entropy Markov chains. We illustrate these applications using simple examples where the large deviation rate function is explicitly obtained for maximum entropy models of relevance in this field.

  9. Zero velocity interval detection based on a continuous hidden Markov model in micro inertial pedestrian navigation

    Science.gov (United States)

    Sun, Wei; Ding, Wei; Yan, Huifang; Duan, Shunli

    2018-06-01

    Shoe-mounted pedestrian navigation systems based on micro inertial sensors rely on zero velocity updates to correct their positioning errors in time, which effectively makes determining the zero velocity interval play a key role during normal walking. However, as walking gaits are complicated, and vary from person to person, it is difficult to detect walking gaits with a fixed threshold method. This paper proposes a pedestrian gait classification method based on a hidden Markov model. Pedestrian gait data are collected with a micro inertial measurement unit installed at the instep. On the basis of analyzing the characteristics of the pedestrian walk, a single direction angular rate gyro output is used to classify gait features. The angular rate data are modeled into a univariate Gaussian mixture model with three components, and a four-state left–right continuous hidden Markov model (CHMM) is designed to classify the normal walking gait. The model parameters are trained and optimized using the Baum–Welch algorithm and then the sliding window Viterbi algorithm is used to decode the gait. Walking data are collected through eight subjects walking along the same route at three different speeds; the leave-one-subject-out cross validation method is conducted to test the model. Experimental results show that the proposed algorithm can accurately detect different walking gaits of zero velocity interval. The location experiment shows that the precision of CHMM-based pedestrian navigation improved by 40% when compared to the angular rate threshold method.

  10. Multi-state Markov model for disability: A case of Malaysia Social Security (SOCSO)

    Science.gov (United States)

    Samsuddin, Shamshimah; Ismail, Noriszura

    2016-06-01

    Studies of SOCSO's contributor outcomes like disability are usually restricted to a single outcome. In this respect, the study has focused on the approach of multi-state Markov model for estimating the transition probabilities among SOCSO's contributor in Malaysia between states: work, temporary disability, permanent disability and death at yearly intervals on age, gender, year and disability category; ignoring duration and past disability experience which is not consider of how or when someone arrived in that category. These outcomes represent different states which depend on health status among the workers.

  11. Markov Transition Model to Dementia with Death as a Competing Event.

    Science.gov (United States)

    Wei, Shaoceng; Xu, Liou; Kryscio, Richard J

    2014-12-01

    This study evaluates the effect of death as a competing event to the development of dementia in a longitudinal study of the cognitive status of elderly subjects. A multi-state Markov model with three transient states: intact cognition, mild cognitive impairment (M.C.I.) and global impairment (G.I.) and one absorbing state: dementia is used to model the cognitive panel data; transitions among states depend on four covariates age, education, prior state (intact cognition, or M.C.I., or G.I.) and the presence/absence of an apolipoprotein E-4 allele (APOE4). A Weibull model and a Cox proportional hazards (Cox PH) model are used to fit the survival from death based on age at entry and the APOE4 status. A shared random effect correlates this survival time with the transition model. Simulation studies determine the sensitivity of the maximum likelihood estimates to the violations of the Weibull and Cox PH model assumptions. Results are illustrated with an application to the Nun Study, a longitudinal cohort of 672 participants 75+ years of age at baseline and followed longitudinally with up to ten cognitive assessments per nun.

  12. Nonlinear Markov processes: Deterministic case

    International Nuclear Information System (INIS)

    Frank, T.D.

    2008-01-01

    Deterministic Markov processes that exhibit nonlinear transition mechanisms for probability densities are studied. In this context, the following issues are addressed: Markov property, conditional probability densities, propagation of probability densities, multistability in terms of multiple stationary distributions, stability analysis of stationary distributions, and basin of attraction of stationary distribution

  13. Markov chain analysis of single spin flip Ising simulations

    International Nuclear Information System (INIS)

    Hennecke, M.

    1997-01-01

    The Markov processes defined by random and loop-based schemes for single spin flip attempts in Monte Carlo simulations of the 2D Ising model are investigated, by explicitly constructing their transition matrices. Their analysis reveals that loops over all lattice sites using a Metropolis-type single spin flip probability often do not define ergodic Markov chains, and have distorted dynamical properties even if they are ergodic. The transition matrices also enable a comparison of the dynamics of random versus loop spin selection and Glauber versus Metropolis probabilities

  14. Spectral methods for quantum Markov chains

    Energy Technology Data Exchange (ETDEWEB)

    Szehr, Oleg

    2014-05-08

    The aim of this project is to contribute to our understanding of quantum time evolutions, whereby we focus on quantum Markov chains. The latter constitute a natural generalization of the ubiquitous concept of a classical Markov chain to describe evolutions of quantum mechanical systems. We contribute to the theory of such processes by introducing novel methods that allow us to relate the eigenvalue spectrum of the transition map to convergence as well as stability properties of the Markov chain.

  15. Spectral methods for quantum Markov chains

    International Nuclear Information System (INIS)

    Szehr, Oleg

    2014-01-01

    The aim of this project is to contribute to our understanding of quantum time evolutions, whereby we focus on quantum Markov chains. The latter constitute a natural generalization of the ubiquitous concept of a classical Markov chain to describe evolutions of quantum mechanical systems. We contribute to the theory of such processes by introducing novel methods that allow us to relate the eigenvalue spectrum of the transition map to convergence as well as stability properties of the Markov chain.

  16. Theoretical restrictions on longest implicit time scales in Markov state models of biomolecular dynamics

    Science.gov (United States)

    Sinitskiy, Anton V.; Pande, Vijay S.

    2018-01-01

    Markov state models (MSMs) have been widely used to analyze computer simulations of various biomolecular systems. They can capture conformational transitions much slower than an average or maximal length of a single molecular dynamics (MD) trajectory from the set of trajectories used to build the MSM. A rule of thumb claiming that the slowest implicit time scale captured by an MSM should be comparable by the order of magnitude to the aggregate duration of all MD trajectories used to build this MSM has been known in the field. However, this rule has never been formally proved. In this work, we present analytical results for the slowest time scale in several types of MSMs, supporting the above rule. We conclude that the slowest implicit time scale equals the product of the aggregate sampling and four factors that quantify: (1) how much statistics on the conformational transitions corresponding to the longest implicit time scale is available, (2) how good the sampling of the destination Markov state is, (3) the gain in statistics from using a sliding window for counting transitions between Markov states, and (4) a bias in the estimate of the implicit time scale arising from finite sampling of the conformational transitions. We demonstrate that in many practically important cases all these four factors are on the order of unity, and we analyze possible scenarios that could lead to their significant deviation from unity. Overall, we provide for the first time analytical results on the slowest time scales captured by MSMs. These results can guide further practical applications of MSMs to biomolecular dynamics and allow for higher computational efficiency of simulations.

  17. Study of behavior and determination of customer lifetime value(CLV) using Markov chain model

    Science.gov (United States)

    Permana, Dony; Indratno, Sapto Wahyu; Pasaribu, Udjianna S.

    2014-03-01

    Customer Lifetime Value or CLV is a restriction on interactive marketing to help a company in arranging financial for the marketing of new customer acquisition and customer retention. Additionally CLV can be able to segment customers for financial arrangements. Stochastic models for the fairly new CLV used a Markov chain. In this model customer retention probability and new customer acquisition probability play an important role. This model is originally introduced by Pfeifer and Carraway in 2000 [1]. They introduced several CLV models, one of them only involves customer and former customer. In this paper we expand the model by adding the assumption of the transition from former customer to customer. In the proposed model, the CLV value is higher than the CLV value obtained by Pfeifer and Caraway model. But our model still requires a longer convergence time.

  18. Study of behavior and determination of customer lifetime value(CLV) using Markov chain model

    Energy Technology Data Exchange (ETDEWEB)

    Permana, Dony, E-mail: donypermana@students.itb.ac.id [Statistics Research Division, Faculty of Mathematics and Natural Science, Bandung Institute of Technology, Indonesia and Statistics Study Program, Faculty of Mathematics and Natural Sciences, Padang State University (Indonesia); Indratno, Sapto Wahyu; Pasaribu, Udjianna S. [Statistics Research Division, Faculty of Mathematics and Natural Science, Bandung Institute of Technology (Indonesia)

    2014-03-24

    Customer Lifetime Value or CLV is a restriction on interactive marketing to help a company in arranging financial for the marketing of new customer acquisition and customer retention. Additionally CLV can be able to segment customers for financial arrangements. Stochastic models for the fairly new CLV used a Markov chain. In this model customer retention probability and new customer acquisition probability play an important role. This model is originally introduced by Pfeifer and Carraway in 2000 [1]. They introduced several CLV models, one of them only involves customer and former customer. In this paper we expand the model by adding the assumption of the transition from former customer to customer. In the proposed model, the CLV value is higher than the CLV value obtained by Pfeifer and Caraway model. But our model still requires a longer convergence time.

  19. Study of behavior and determination of customer lifetime value(CLV) using Markov chain model

    International Nuclear Information System (INIS)

    Permana, Dony; Indratno, Sapto Wahyu; Pasaribu, Udjianna S.

    2014-01-01

    Customer Lifetime Value or CLV is a restriction on interactive marketing to help a company in arranging financial for the marketing of new customer acquisition and customer retention. Additionally CLV can be able to segment customers for financial arrangements. Stochastic models for the fairly new CLV used a Markov chain. In this model customer retention probability and new customer acquisition probability play an important role. This model is originally introduced by Pfeifer and Carraway in 2000 [1]. They introduced several CLV models, one of them only involves customer and former customer. In this paper we expand the model by adding the assumption of the transition from former customer to customer. In the proposed model, the CLV value is higher than the CLV value obtained by Pfeifer and Caraway model. But our model still requires a longer convergence time

  20. Musical Markov Chains

    Science.gov (United States)

    Volchenkov, Dima; Dawin, Jean René

    A system for using dice to compose music randomly is known as the musical dice game. The discrete time MIDI models of 804 pieces of classical music written by 29 composers have been encoded into the transition matrices and studied by Markov chains. Contrary to human languages, entropy dominates over redundancy, in the musical dice games based on the compositions of classical music. The maximum complexity is achieved on the blocks consisting of just a few notes (8 notes, for the musical dice games generated over Bach's compositions). First passage times to notes can be used to resolve tonality and feature a composer.