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Problem: Lets say we have an irreducible Markov chain. Given a failure state or non desirable state F and a current state S Is it possible to find how far we are from the failure state F.

Example: if we try to model an engine failure using Markov process and using historic data we have a state transition matrix P, one of which is a state where the engine was failed . Now , in a dynamic system, if the current state S and a state transition matrix are given, can we calculate how far we are from failure state F.

Mathematically:

x(n+1) = (x)P^n

Right hand side of the equation gives us a vector v which consists of probabilities of transitioning to different states at stage n. With different value of n, the values in this vector v will change one of the values in v will be the probability of going to state F. I want to find for what n , transitioning probability to F is maximum.

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  • $\begingroup$ (This question belongs to math.stackexchange..) You can get an approximate solution by simply computing your probability for all n for which L1 distance between x P^n and the stationary distribution x* is more than epsilon. This assumes your chain is also aperiodic. $\endgroup$
    – Valentas
    May 29, 2015 at 8:43

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