The Entropy of Conditional Markov Trajectories
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Abstract: To quantify the randomness of Markov trajectories with fixed initial and final states, Ekroot and Cover proposed a closed-form expression for the entropy of trajectories of an irreducible finite state Markov chain. Numerous applications, including the study of random walks on graphs, require the computation of the entropy of Markov trajectories conditioned on a set of intermediate states. However, the expression of Ekroot and Cover does not allow for computing this quantity. In this paper, we propose a method to compute the entropy of conditional Markov trajectories through a transformation of the original Markov chain into a Markov chain that exhibits the desired conditional distribution of trajectories. Moreover, we express the entropy of Markov trajectories - a global quantity - as a linear combination of local entropies associated with the Markov chain states.
Cited in
(8)- A Monte Carlo estimation of the entropy for Markov chains
- Design of biased random walks on a graph with application to collaborative recommendation
- scientific article; zbMATH DE number 7218973 (Why is no real title available?)
- scientific article; zbMATH DE number 569363 (Why is no real title available?)
- The entropy of Markov trajectories
- Entropy of killed-resurrected stationary Markov chains
- Minimum entropy production, detailed balance and Wasserstein distance for continuous-time Markov processes
- Velocity formulae between entropy and hitting time for Markov chains
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