Multilevel hybrid Chernoff tau-leap

DOI10.1007/s10543-015-0556-yzbMath1348.60112arXiv1403.2943OpenAlexW2093122667WikidataQ61773061 ScholiaQ61773061MaRDI QIDQ285281

Alvaro Moraes, Pedro Vilanova, Raúl Tempone

Publication date: 19 May 2016

Published in: BIT, Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.2943

zbMATH Keywords

computational complexitynumerical exampleerror estimatesweak approximationerror controljump processeshybrid algorithmscontinuous-time Markov chainsChernoff tau-leap methoddual-weighted estimationglobal error controlhybrid simulation methodsmultilevel Monte Carlo methodstochastic reaction networksstrong error estimationexit probabilitystochastic simulation algorithmtau-leapmodified next reaction method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Biochemistry, molecular biology (92C40) Numerical analysis or methods applied to Markov chains (65C40) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27) Algorithms with automatic result verification (65G20)

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