Stationary Averaging for Multiscale Continuous Time Markov Chains Using Parallel Replica Dynamics

DOI10.1137/16M1108716zbMATH Open1386.60258arXiv1609.06363OpenAlexW2962880551MaRDI QIDQ4601616FDOQ4601616

Ting Wang, Petr Plecháč, David Aristoff

Publication date: 17 January 2018

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

Abstract: We propose two algorithms for simulating continuous time Markov chains in the presence of metastability. We show that the algorithms correctly estimate, under the ergodicity assumption, stationary averages of the process. Both algorithms, based on the idea of the parallel replica method, use parallel computing in order to explore metastable sets more efficiently. The algorithms require no assumptions on the Markov chains beyond ergodicity and the presence of identifiable metastability. In particular, there is no assumption on reversibility. For simpler illustration of the algorithms, we assume that a synchronous architecture is used throughout of the paper. We present error analyses, as well as numerical simulations on multi-scale stochastic reaction network models in order to demonstrate consistency of the method and its efficiency.

Full work available at URL: https://arxiv.org/abs/1609.06363

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zbMATH Keywords

Monte CarloreversibilityMarkov chainsmetastabilitystationary distributionmultiscale dynamicscoarse grainingstochastic reaction networksparallel replica

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Applications to the sciences (65Z05) Classical flows, reactions, etc. in chemistry (92E20) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited In (1)

• Generalizing Parallel Replica Dynamics: Trajectory Fragments, Asynchronous Computing, and PDMPs

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