Markov Chains Explained

[hellodevnull]

I liked this visual explanation

http://setosa.io/blog/2014/07/26/markov-chains/

[floatrock]

Stuff like this is where the power of "visualization" really shines.

[pavel_lishin]

Visual and interactive - this is pretty great!

[learnstats2]

I know what Markov Chains are (the probabilities for the next state of the chain is dependent only on the current state)

What I would prefer to know is why are they more useful than a more nuanced model with non-fixed probabilities, or memory of previous states? - given that these are not really harder to simulate.

It seems to me that Markov Chains are very often used as an inappropriate simplification.

Is there some mathematical advantage to using them?

[thomaspaine]

Markov chains have a lot of nice features you can derive from them, like convergence to a stationary distribution. It's hard to say that it's an inappropriate simplification if it happens to be pragmatic (like most simplifications).

For example PageRank can be modeled using markov chains. You can surely develop more complicated models but markov chains provide a good starting point.

[dangerlibrary]

The formal definition of a single Markov Chain is one with a fixed transition matrix.

In practice, many software implementations of Markov models update/modify the transition matrix as new information becomes available. Formally, you're no longer working with the same Markov chain, but that doesn't mean that the model isn't useful.

[coherentpony]

What you are referring to are non-Markov processes. That is, process with a memory. These can be useful too, but the reason Markovian processes are preferred is because of the independence (lack of memory). Independence is a sufficient condition for many theorems that use Markov processes to prove things about average behaviour.

[IndianAstronaut]

Markov chains easily allow you to attach cost functions to them. Not particularly data mining oriented, but good for running simulations and cost-benefit.

[DonPellegrino]

Markov chains are fun and relatively simple. I wrote one that generates Reddit comments from other Reddit comments, you can try it here: http://simongrondin.name/files/reddit.html and the code (really dirty, sorry, I wrote the whole thing in 30-45 minutes iirc) is here: https://github.com/SGrondin/reddit-markov-chains/blob/master...

[mbenjaminsmith]

Didn't really look at it but the spirit of it I love. Thanks for sharing.

[IndianAstronaut]

Another useful thing to study along with Markov chains is stochastic matrices. They are useful and come up in many situations such as NLP, combinatorics, etc.

[ramblerman]

Whats the difference between a 'first order' markov chain and a simple conditional probability?

I mean, what's the big mathematical revelation that grants this it's own name.

[zerooneinfinity]

Very nice, thanks!