Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems

DOI10.1007/S11538-018-0442-2MaRDI QIDQ2325567zbMATH OpenOpenAlexWikidataFDO

Authors Casper H. L. Beentjes, Ruth E. Baker

Publication date 26 September 2019

Published in Bulletin of Mathematical Biology (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1802.01211

zbMATH Keywords

chemical reaction networksMonte Carlo methodsquasi-Monte Carlostochastic simulationtau-leapingvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Systems biology, networks (92C42) Kinetics in biochemical problems (pharmacokinetics, enzyme kinetics, etc.) (92C45)

Abstract: Quasi-Monte Carlo methods have proven to be effective extensions of traditional Monte Carlo methods in, amongst others, problems of quadrature and the sample path simulation of stochastic differential equations. By replacing the random number input stream in a simulation procedure by a low-discrepancy number input stream, variance reductions of several orders have been observed in financial applications. Analysis of stochastic effects in well-mixed chemical reaction networks often relies on sample path simulation using Monte Carlo methods, even though these methods suffer from typical slow $mathcalO(N^{-1/2})$ convergence rates as a function of the number of sample paths $N$. This paper investigates the combination of (randomised) quasi-Monte Carlo methods with an efficient sample path simulation procedure, namely $au$-leaping. We show that this combination is often more effective than traditional Monte Carlo simulation in terms of the decay of statistical errors. The observed convergence rate behaviour is, however, non-trivial due to the discrete nature of the models of chemical reactions. We explain how this affects the performance of quasi-Monte Carlo methods by looking at a test problem in standard quadrature.

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Cited in

(5)

• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
• Stochastic simulation of biochemical systems: in memory of Dan T. Gillespie's contributions
• Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
• Variance reduction in stochastic reaction networks using control variates
• Conditional quasi-Monte Carlo with constrained active subspaces

Describes a project that uses

Uses Software

• Algorithm 955
• Lattice Builder

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