inst/resources/scripts/MCSimulation.r

In spuRs: Functions and Datasets for "Introduction to Scientific Programming and Simulation Using R"

# program spuRs/resources/scripts/MCSimulation.r
# loadable spuRs function

# Discrete time Markov Chain Simulation
# This function simulates a discrete MC with transition matrix P,
# state space {0,1,..,n}, and initial state i for nsteps transitions

MCSimulation <- function(P, i, nsteps){
  n <- nrow(P) - 1
  statehist <- c(i, rep(0, nsteps))
  for (step in 2:(nsteps+1)){
    statehist[step] <- sample(0:n, 1, prob=P[1+statehist[step-1],])
  }
  return(statehist)
}