Transition-rate matrix

In probability theory, a transition-rate matrix (also known as a Q-matrix, intensity matrix, or infinitesimal generator matrix) is an array of numbers describing the instantaneous rate at which a continuous-time Markov chain transitions between states.

In a transition-rate matrix $Q$ (sometimes written $A$), element $q_{ij}$ (for $i\neq j$) denotes the rate departing from $i$ and arriving in state $j$. The rates $q_{ij}\geq 0$, and the diagonal elements $q_{ii}$ are defined such that

$q_{ii}=-\sum _{j\neq i}q_{ij}$,

and therefore the rows of the matrix sum to zero.

Up to a global sign, a large class of examples of such matrices is provided by the Laplacian of a directed, weighted graph. The vertices of the graph correspond to the Markov chain's states.

Properties

The transition-rate matrix has following properties:

• There is at least one eigenvector with a vanishing eigenvalue, exactly one if the graph of $Q$ is strongly connected.
• All other eigenvalues $\lambda$ fulfill $0>\mathrm {Re} \{\lambda \}\geq 2\min _{i}q_{ii}$.
• All eigenvectors $v$ with a non-zero eigenvalue fulfill $\sum _{i}v_{i}=0$.
• The Transition-rate matrix satisfies the relation $Q=P'(0)$ where P(t) is the continuous stochastic matrix.

Example

An M/M/1 queue, a model which counts the number of jobs in a queueing system with arrivals at rate λ and services at rate μ, has transition-rate matrix

$Q={\begin{pmatrix}-\lambda &\lambda \\\mu &-(\mu +\lambda )&\lambda \\&\mu &-(\mu +\lambda )&\lambda \\&&\mu &-(\mu +\lambda )&\ddots &\\&&&\ddots &\ddots \end{pmatrix}}.$

See also

• Stochastic matrix

References

• Norris, J. R. (1997). Markov Chains. doi:10.1017/CBO9780511810633.005. ISBN 9780511810633.
• Suhov, Yuri; Kelbert, Mark (2008). Markov chains: a primer in random processes and their applications. Cambridge University Press.
• Syski, R. (1992). Passage Times for Markov Chains. IOS Press. ISBN 90-5199-060-X.