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Definition

Markov Process

A Markov process is defined as a tuple (S, P), where:

  • SS is a finite set of states.
  • PP is a state transition probability matrix, where Pss=P[St+1=sSt=s]P_{ss'} = P[S_{t+1}=s'|S_t = s].

A sequence of states possesses the Markov property if and only if the probability of moving to the next state St+1S_{t+1} depends only on the present state StS_t and not on the previous states S1,S2,,St1S_1, S_2, \dots, S_{t-1}. That is, for all tt, P[S_{t+1}|S_t] = P[S_{t+1}|S_1, S_2, dots, S_t].

In reinforcement learning, a Markov process is typically time-homogeneous. This means the transition probability is independent of the time step tt: P[St+1=sSt=s]=P[St=sSt1=s]P[S_{t+1} = s'|S_t = s] = P[S_t = s'|S_{t-1} = s].

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Updated 2026-06-14

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Data Science

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