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I would say it depends on how the item is discussed in the body of the book. If a Markov chain is something referred to as a single entity, then index it as a single item. If you discuss several ...
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#2: Initial revision
I would say it depends on how the item is discussed in the body of the book. If a Markov chain is something referred to as a single entity, then index it as a single item. If you discuss several of them at once, or generalize (like saying "black holes have thus-and-such properties"), I'd use the plural.