MarkovChain.fs

/// Markov chain that learns by observing data.
/// Let it observe a sequence of states.
/// Then you can ask it, given a state,
/// what are the probabilities of the next states occuring?
type MarkovChain (numStates : int) =

    let mutable numObservations = 0
    let mutable lastState = 0
    let mutable matrix = Array2D.create numStates numStates (0, 0)

    let approx (n : int, d : int) =
        if d > 0 then float n / float d
        else 0.0

    member this.TransitionProbabilities =
        if numObservations = 0 then Array2D.create numStates numStates (0.0)
        else
            let r = 1
            matrix |> Array2D.map approx

    member this.PredictNextState (state : int) =
        let r = Array.create numStates 0.0
        for i = 0 to (numStates - 1) do
            r.[i] <- matrix.[state, i] |> approx
        r

    member this.Observe (state : int) =

        if numObservations > 0 then
            for i = 0 to (numStates - 1) do                
                let s, c = matrix.[lastState, i]
                let a = if i = state then 1 else 0
                matrix.[lastState, i] <- (s + a, c + 1)

        lastState <- state
        numObservations <- numObservations + 1