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Simulating random process (poisson process)

  1. Feb 11, 2014 #1
    1. The problem statement, all variables and given/known data
    I have a physical system, which I know the time average statistics. Its probability of being in state 1 is P1, state 2:P2 and state 3:P3. I want to simulate the time behavior of the system.


    2. Relevant equations
    N/A


    3. The attempt at a solution
    I assume the rate of transition event to state i to be the probability Pi. So I can generate the time for the next transition event by using the fact that the time needed for next transition event is exponential distributed, F(t)=1-exp(-kt), k is the rate of event. I start the simulation at time 0 and at a random state. In each iteration, I generate 3 uniform random numbers, and calculate the time needed for the next transition for all three states (t=-ln(U)/k, U is an uniform random number), take the smallest time and update the time and state of the system to the state corresponding to the smallest time.

    Is this a correct way of simulating such a system, coz I find that if I start at any of the state(let say state 1), the time that the system staying in that state seems to be longer than what I expect.
    FYI, I am using matlab for numerical simulation.
     
    Last edited: Feb 11, 2014
  2. jcsd
  3. Feb 11, 2014 #2

    maajdl

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    Gold Member

    The simplest way, although not very efficient is to use very small time steps dt.
    The a probability of transition is p.dt, assuming p is the probability rate per unit time.
    Since dt is very small, p.dt << 1 and it will be enough to get a random number x uniformly distributed between 0 and 1.
    Whenever x<p.dt , you execute the transition.
    If you want a more efficient method, then you have to device something coherent with this small time step model.
    For example, you can find out the probability distribution of the time before transition, and proceed in a similar way.
    Personally, I like start simple and stupid, since I can compare my improved method with the simple stupid first attempt.
     
  4. Feb 11, 2014 #3

    Ray Vickson

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    Homework Helper

    You need to describe the system more completely. In general, the time spent in state i is exponentially distributed with rate ##r_i## (mean ##1/r_i##), but you seem to be assuming a common value ##r_i = k## for all i. Is that what you intended? Also in general, when the system jumps out of state i it goes to a different state ##j \neq i## with probability ##p_{ij}##. As far as I can see, you have not said what are the ##p_{ij}##. Did you mean that ##p_{ij} = P_j## for all i? Or, did you mean that the transition rate from i to j is ##P_j##?

    Of course, you also need to start the system in some state at time t = 0.

    During your simulation you say you want to take the smallest time; that makes no sense at all, and is not how these things work. Instead, here is what you need to do:

    (1) When you are in state i at time t, generate a 'holding time' ##T_i##, which is how long you will remain in state i. In other words, you jump out of state i at time ##t+T_i##.

    (2) For a (stationary) Markov process, whenever you jump out of state i you go next to state j with probability ##p_{ij}##. Here,
    [tex] \sum_{j: j \neq i} p_{ij} = 1 \; \forall \, i [/tex]

    Sometimes you are given, instead, the "rate" matrix ##A = (a_{ij}),## where ##a_{ij} \geq 0 ## for all ##j \neq i## and (by definition)
    [tex] a_{ii} = -\sum_{j: j \neq i} a_{ij}[/tex]
    The quantity ##r_i = -a_{ii} \geq 0## is the rate parameter ##r_i## I referred to before, and for all ##j \neq i## the jump probability is
    [tex] p_{ij} = \frac{a_{ij}}{r_i} = \frac{a_{ij}}{\sum_{k: k\neq i} a_{ik}}[/tex]

    Generate the next state jumped to, then repeat all the above, starting from the new time.
     
  5. Feb 13, 2014 #4
    Thanks for all the reply. What I mean for Pi in my problem is that if one measure the state of the system at a particular time, there is probability P1 for it being in state 1, and so on. This is the only information I have for the system. I would say Pi is the time average probability of state i. I have no idea how can I get the transition probability Pij and the rate ri that you mentioned from that... I am a bit confused about that.
    In this case, do I have, for example, the transition probability from state 1 to state 2 P12=P2/(P2+P3) ?
     
    Last edited: Feb 13, 2014
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