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.
Control Variates for Stochastic Simulation of Chemical Reaction Networks
Bortolussi, Luca;
2019-01-01
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.File | Dimensione | Formato | |
---|---|---|---|
control variates.pdf
Accesso chiuso
Tipologia:
Documento in Versione Editoriale
Licenza:
Copyright Editore
Dimensione
1.08 MB
Formato
Adobe PDF
|
1.08 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
cover, preface, commite index.pdf
Accesso chiuso
Tipologia:
Altro materiale allegato
Licenza:
Copyright Editore
Dimensione
131.5 kB
Formato
Adobe PDF
|
131.5 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.