diff private/mc_fixpt.m @ 0:be936975f254

Initial check in.

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/private/mc_fixpt.m	Wed Feb 01 14:06:37 2012 +0000
@@ -0,0 +1,34 @@
+function p=mc_fixpt(Pt)
+% mc_fixpt - fixed point of Markov chain (stationary state distribution)
+%
+% mc_fixpt :: [[K,K]]~'transition matrix'-> [[K]].
+
+
+% for ergodic HMM we want to get stationary distribution 
+% use eigenvalues of transition matrix.
+[V,D]=eig(Pt);
+
+% one of the eigenvalues should be 1
+[dummy,k]=max(-abs(diag(D)-1));
+
+% check that it is really close
+if abs(D(k,k)-1)>0.001
+	disp('mc_fixpt: failed to find eigenvalue of 1 in ');
+	disp(Pt)
+	error('mc_fixpt:noeig','failed to find eigenvalue of 1');
+end
+
+% get eigenvector and flip it over if all negative
+v=V(:,k); if sum(v)<0, v=-v; end
+
+if ~isreal(v)
+	disp('mc_fixpt: discarding complex parts of eigenvector'); 
+	v=real(v);
+end
+if any(v<0)
+	%fprintf('mc_fixpt: discarding negative parts of eigenvector: %s\n',mat2str(v(v<0))); 
+	v=max(0,v);
+end
+
+% final normalisation
+p=v/sum(v);