An Information-Theoretic Approach for Automatically Determining the Number of States when Aggregating Markov Chains
A fundamental problem when aggregating Markov chains is the specification of the number of state groups. Too few state groups may fail to sufficiently capture the pertinent dynamics of the original, high-order Markov chain. Too many state groups may lead to a non-parsimonious, reduced-order Markov chain whose complexity rivals that of the original. In this paper, we show that an augmented value-of-information-based approach to aggregating Markov chains facilitates the determination of the number of state groups. The optimal state-group count coincides with the case where the complexity of the reduced-order chain is balanced against the mutual dependence between the original- and reduced-order chain dynamics.
PDF AbstractTasks
Datasets
Add Datasets
introduced or used in this paper
Results from the Paper
Submit
results from this paper
to get state-of-the-art GitHub badges and help the
community compare results to other papers.
Methods
No methods listed for this paper. Add
relevant methods here
