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Casestudie Breakdown prediction Contell PILOT - Transumo

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pictured in Formula 5-12. Beside a change in state it is also possible that the state<br />

remains the same for another time interval. This probability is given by<br />

each column. ([Beichelt97], p. 146)<br />

p<br />

ii<br />

within<br />

⎛ p<br />

⎜<br />

⎜ p<br />

P = ⎜<br />

⎜ M<br />

⎜<br />

⎝ p<br />

00<br />

10<br />

i0<br />

p<br />

p<br />

M<br />

p<br />

01<br />

11<br />

i1<br />

L p<br />

L p<br />

L M<br />

L p<br />

0 j<br />

1 j<br />

ij<br />

⎞<br />

⎟<br />

⎟<br />

⎟<br />

⎟<br />

⎟<br />

⎠<br />

Formula 5-12: Transition Probability Matrix<br />

As every<br />

p represents a probability, they all have to comply with 0 ≤ p ≤1.<br />

ij<br />

Moreover, every state must have a succeeding state. Hence, the probability to take<br />

one of the available countable states as the next one has to be one hundred percent.<br />

This leads to the conditions pictured in Formula 5-13 for the transition probability<br />

matrix. ([Jondral02], p. 186-187)<br />

ij<br />

0 ≤<br />

p<br />

ij<br />

≤1<br />

∀i,<br />

j<br />

and<br />

N<br />

∑<br />

j=<br />

1<br />

p<br />

ij<br />

= 1<br />

∀i<br />

Formula 5-13: Conditions for the Transition Probability Matrix<br />

As the sum of every row within that Matrix has to be 1, p = 0 entries can be left out<br />

to offer a better overview. To achieve an even better overview, Markov chains are<br />

often visualized as a graph. Every node of that graph represents a possible state and<br />

every arrow a possible transition with a positive probability. ([Waldmann04], p. 17)<br />

ij<br />

A Markov chain can be used, for instance, to describe the following gamble between<br />

two people: A coin is thrown. Depending on which side is faced up, one of the two<br />

players wins the coin. Player one starts with four coins, player two with two coins.<br />

The game ends as soon as one of the players owns all six coins. This leads to seven<br />

possible states because a player can own every number of coins between zero and<br />

six. Provided that every coin has the same winning probability p the transition<br />

probability matrix would look like the one pictured in Formula 5-14. As described<br />

above, this Markov chain can be visualized as a graph to allow a better overview of<br />

the described process. A comparison of Formula 5-14 and the corresponding Figure<br />

5-5 shows this improvement. 53<br />

53 Example taken from ([Waldmann04], Chapter 2)<br />

69

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