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

DOI10.1137/16M1108716MaRDI QIDQ4601616zbMATH OpenOpenAlexFDO

Authors Ting Wang, Petr Plecháč, David Aristoff

Publication date 17 January 2018

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

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

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)

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.

Recommendations

• The parallel replica method for computing equilibrium averages of Markov chains
• The parallel replica method for simulating long trajectories of Markov chains
• Parallel implementation of an aggregation/disaggregation method for evaluating quasi-stationary behavior in continuous-time Markov chains
• Multi-scale metastable dynamics and the asymptotic stationary distribution of perturbed Markov chains
• Applying mean-field approximation to continuous time Markov chains
• On approximating the stationary distribution of time-reversible Markov chains
• On approximating the stationary distribution of time-reversible Markov chains
• Averaging for a Fully Coupled Piecewise-Deterministic Markov Process in Infinite Dimensions
• Trajectory averaging for stochastic approximation MCMC algorithms

Cites work

• A generalized parallel replica dynamics
• A mathematical formalization of the parallel replica dynamics
• Markov Chains
• Metastability and Markov state models in molecular dynamics. Modeling, analysis, algorithmic approaches
• Nested stochastic simulation algorithms for chemical kinetic systems with multiple time scales
• Non-negative matrices and Markov chains.
• On the infinite swapping limit for parallel tempering
• Particle Motions in Absorbing Medium with Hard and Soft Obstacles
• Quasi stationary distributions and Fleming-Viot processes in countable spaces
• Quasi-stationary distributions. Markov chains, diffusions and dynamical systems.
• Simulation and the Monte Carlo Method
• The parallel replica method for computing equilibrium averages of Markov chains
• The parallel replica method for simulating long trajectories of Markov chains

Cited in

(4)

• Generalizing Parallel Replica Dynamics: Trajectory Fragments, Asynchronous Computing, and PDMPs
• The parallel replica method for computing equilibrium averages of Markov chains
• A mathematical formalization of the parallel replica dynamics
• The parallel replica method for simulating long trajectories of Markov chains

This page was built for publication: Stationary Averaging for Multiscale Continuous Time Markov Chains Using Parallel Replica Dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601616)