Markov Chain
/ˈmɑːrkəv ˌtʃeɪn/mar·kov chainnoun
Definition
1.[in probability theory] a sequence of random variables where the probability of transitioning to the next state depends only on the current state, and not on the sequence of states that preceded it.
We modeled the weather transitions using a Markov Chain to predict the next day's conditions.
Formal statement
P(X_{t+1} | X_t, X_{t-1}, ...) = P(X_{t+1} | X_t)This property is known as the Markov property.
Etymology
Named after the Russian mathematician Andrey Markov, who introduced the concept in the early 20th century.
Synonyms
- stochastic processsense 1 · Near
References
- Nagaraja, K. (2018). Introduction to Stochastic Processes, 2nd ed., ch. 3.Academic Press.