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What is random walk? Algorithm that represents trajectory of random steps The direction of random walk cannot be predicted from the past actions.
Figure 2. Time-Series random walk with N (steps) = 1000 and equal probability 0.5
; 0 = 0
; =1
0 = 0
=
Expected Value:
2
=1 =1 ,=1
=1
=1
= +
,=1
2
3
0
Distance <|Sn|>
2.5
Value
-2
-4
-6
1.5
-8
1 1 trial
st
2 2
3
nd
4
rd
6 8 trial
th
7 9 trial
th
9 10 trial
th
10
trial
10
15
10
10
Distance <|Sn|>
Value
-5
4
-10
2
-15
10 1st trial
20
30 2nd trial
40
60 8th trial
70
80 9th trial
90 10th trial
100
0 0 10 20 30 40 50 60 Number of steps (N) 70 80 90 100
2
3
0
Distance <|Sn|>
2.5
-1
Value
-2
-3
-4
1.5
-5
-6
0
st
1 1 trial
2 2
nd
3 trial
4 3 trial
rd
5 Steps (N)
th
7
th
8 9999 trial
9
th
10
10
9998 trial
10000 trial
Distance <|Sn|>
-5
Value
-10
-15
-20
10 1 trial
st
20 2
nd
30 trial
40 3 trial
rd
50 Steps (N)
60
th
70
th
80 9999 trial
90
th
100
10
20
30
70
80
90
100
9998 trial
10000 trial
Figure 7. Value and distance for 100 steps with 10000 trials
0.5
0
Distance <|Sn|>
-0.5
2.5
-1
-1.5
1.5
-2 -4 1 trial
st
-3
-2 End 2
-1
nd
0 x End
1 9 trial
th
2 End
4 10 trial
th
5 End
10
trial
15
10
10
5
Distance <|Sn|>
-5
4
-10
2
-5 End 2
nd
0 x trial End
5 9 trial
th
10 End 10 trial
th
15 End
10
20
30
70
80
90
100
3
2
-1
Distance <|Sn|>
-1.5 End -1 -0.5 2nd trial 0 End 0.5 x 1 9999th trial 1.5 End 2 2.5 10000th trial 3 End
2.5
-2
-3
1.5
-4 -2 1st trial
10
Figure 10. Value and distance for 10 steps with 10000 trials
20
15
10
10
8
Distance <|Sn|>
0
4
-5
2
-4 End
0 x 9999th trial
2 End
4 10000th trial
6 End
0 0 10 20 30 40 50 60 Number of steps (N) 70 80 90 100
Figure 11. Value and distance for 100 steps with 10000 trials
R2 0.8919
Root-mean-square of random walk final position or the distance is equal with rootsquare of number of random walk steps. Valid for large number of random walks trials and equal probability.
Pearson, K. (1905). The problem of the Random Walk. Nature. 72, 294. Van Kampen N. G., Stochastic Processes in Physics and Chemistry, revised and enlarged edition (North-Holland, Amsterdam) 1992. McCrea, W. H. and Whipple, F. J. W. "Random Paths in Two and Three Dimensions." Proc. Roy. Soc. Edinburgh 60, 281298, 1940.
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