Constructing data-driven Markov Chains
with Matlab

Jesse Dorrestijn
8 July 2016

This webpage can be used as an extra source for understanding the stochastic parameterization schemes in the Ph.D. thesis "Stochastic Convection Parameterization" of Jesse Dorrestijn, of which the defence is set at 8 September 2016 at Delft University of Technology in The Netherlands. In the thesis, Markov chains are used to construct stochastic convection parameterizations from data of convection and clouds. In the thesis and published articles, the method has been described as clearly as possible, however, codes have not been published. Therefore, the focus of this page is on Matlab codes, written for researchers and students that like to use or to learn about data-driven Markov chains. The web page gives examples, of increasing complexity, and presents Matlab codes in each example.

Contents of this web page:
Example 1: Markov chains with 2 small-scale states
Example 2: Markov chains with N small-scale states
Example 3: Markov chains conditioned on a large-scale variable
Example 4: Markov chains conditioned on a large-scale variable on two time instances
Example 5: Clustering of observations
Example 6: Simultaneous clustering of 2 observations
Example 7: Extra simple example of 2D clustering
Example 8: Cross-correlation analysis


A Finite State Markov chain has a finite number of states and it switches between these states with certain probabilities. These probabilities can be put into a matrix P. If the Markov chain has 2 states, this transition probability matrix is of size 2 x 2. On the diagonal are the probabilities that the state does not change in one time-step from t to t+1. The other probabilities are off the diagonal. For example, the probability that it switches from state 1 to state 2 is at the entry (1,2) in the matrix. Together with an initial value, the Markov chain can produce sequences.

A Markov chain can be used to mimic a certain process. If a process has for example only two states, and a long sequence is available, transition probabilities of the Markov chain can be estimated from this sequence.

Example 1: Markov chains with 2 small-scale states
In the following example, we first construct a sequence with only two states. This sequence, which we call the observations y_obs, will be used to estimate transition probabilities of a Markov chain and put into a matrix P_MC. Finally, we will use the Markov chain to construct a sequence y_MC which is similar to the original y_obs sequence. We will plot the two sequences. The length of the original sequence L can be adjusted. Then, the probability matrix P_MC can be compared to P_obs. Also the transition probabilities can be adjusted.

-->Click here to get the example 1 Matlab file.<--



Example 2: Markov chains with N small-scale states
Let us do almost the same as in Example 1. However, now we will consider Markov chains with more than 2 states. Now, let N>2 be the number of states. You can adjust this number.

-->Click here to get the example 2 Matlab file.<--



Example 3: Markov chains conditioned on a large-scale variable
Let us now introduce conditioning. Imagine that the transition probabilities depend on a certain variable X. Then, the Markov chain becomes a Conditional Markov Chain, because it is conditioned on X. The observational data now consists of a sequence y_obs (as was the case in example 1 and 2) and an additional sequence X_obs. After construction of the Conditional Markov Chain, an additional sequence X should be available, e.g. X=X_obs. In the context of climate or weather models, the large-scale variable X can for example be the average surface temperature in an area: a variable that is known to the model. The small-scale variable y, for example the convective area fraction, is not known to the model and can be represented by a Markov chain.

-->Click here to get the example 3 Matlab file.<--



Example 4: Markov chains conditioned on a large-scale variable on two time instances.
Let us now additionally condition on X(t+1). In the previous example, the transition probabilities were conditioned only on X(t). The transition probability of the Conditional Markov chain to switch from state k to state l will now be: P(Y_CMC(t+1)=l | Y_CMC(t) = k & X(t)=m & X(t+1)=n). For each combination of X(t) and X(t+1) there will be a transition matrix for Y_CMC.

-->Click here to get the example 4 Matlab file.<--



Example 5: Clustering of observations.
To use a finite state Markov chain, the observational sequence needs to be classified in a finite number of states. Also the variable X needs to be classified in a finite number of states. We use k-means.

-->Click here to get the example 5 Matlab file.<--







Example 6: Simultaneous clustering of 2 observations
Same as previous example, but with two variables to condition on: X and Z. We use k-means for 2D clustering of (X,Z).

-->Click here to get the example 6 Matlab file.<--





Example 7: Extra simple example of 2D clustering
Using k-means for 2D clustering of two normally distributed variables.

-->Click here to get the example 7 Matlab file.<--



Example 8: Cross-correlation analysis
Using cross-correlation analysis to determine which variable can best be used to condition on. In the example figure, X_ori displays much stronger correlation than Z_ori: therefore, X_ori can be chosen to condition on instead of Z_ori.

-->Click here to get the example 8 Matlab file.<--