diff toolboxes/FullBNT-1.0.7/KPMstats/mc_stat_distrib.m @ 0:e9a9cd732c1e tip

first hg version after svn

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/KPMstats/mc_stat_distrib.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,26 @@
+function pi = mc_stat_distrib(P)
+% MC_STAT_DISTRIB Compute stationary distribution of a Markov chain
+% function pi = mc_stat_distrib(P)
+% 
+% Each row of P should sum to one; pi is a column vector
+
+% Kevin Murphy, 16 Feb 2003
+
+% The stationary distribution pi satisfies pi P = pi
+% subject to sum_i pi(i) = 1,  0 <= pi(i) <= 1
+% Hence
+% (P'  0n   (pi  = (pi 
+%  1n  0)    1)     1)
+% or P2 pi2 = pi2.
+% Naively we can solve this using (P2 - I(n+1)) pi2 = 0(n+1)
+% or P3 pi2 = 0(n+1), i.e., pi2 = P3 \ zeros(n+1,1)
+% but this is singular (because of the sum-to-one constraint).
+% Hence we replace the last row of P' with 1s instead of appending ones to create P2, 
+% and similarly for pi.
+
+n = length(P);
+P4 = P'-eye(n);
+P4(end,:) = 1;
+pi = P4 \ [zeros(n-1,1);1];
+
+