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arXiv · 1905.00854

Control Variates for Stochastic Simulation of Chemical Reaction Networks

Michael Backenköhler·Luca Bortolussi·Verena Wolf
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Abstract

Stochastic simulation is a widely used method for estimating quantities in models of chemical reaction networks where uncertainty plays a crucial role. However, reducing the statistical uncertainty of the corresponding estimators requires the generation of a large number of simulation runs, which is computationally expensive. To reduce the number of necessary runs, we propose a variance reduction technique based on control variates. We exploit constraints on the statistical moments of the stochastic process to reduce the estimators' variances. We develop an algorithm that selects appropriate control variates in an on-line fashion and demonstrate the efficiency of our approach on several case studies.

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Michael Backenköhler, Luca Bortolussi, Verena Wolf. 2019-05-02. Control Variates for Stochastic Simulation of Chemical Reaction Networks. https://arxiv.org/abs/1905.00854

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