I want to create this Markov Chain in C#. I need to know if there is any other structure other than adjacency list which can work better in this situation. Also how can I use the existing .Net collection type to implement this.
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If you're interested in doing this yourself in C#, you should take a look at https://www.informit.com/guides/content.aspx?g=dotnet&seqNum=745 and the two articles that follow it. They show how to build Markov models in C#. – Jim Mischel Aug 25 '15 at 12:55
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QuickGraph is really good general purpose graph library. It has some implementations for walking Markov Chains. I recommend checking out the source code.

Eric Hauser
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