Error analysis of tau-leap simulation methods
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Publication:657698
DOI10.1214/10-AAP756zbMATH Open1234.60066arXiv0909.4790OpenAlexW3104248402MaRDI QIDQ657698FDOQ657698
Authors: David F. Anderson, Arnab Ganguly, Thomas G. Kurtz 
Publication date: 10 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We perform an error analysis for numerical approximation methods of continuous time Markov chain models commonly found in the chemistry and biochemistry literature. The motivation for the analysis is to be able to compare the accuracy of different approximation methods and, specifically, Euler tau-leaping and midpoint tau-leaping. We perform our analysis under a scaling in which the size of the time discretization is inversely proportional to some (bounded) power of the norm of the state of the system. We argue that this is a more appropriate scaling than that found in previous error analyses in which the size of the time discretization goes to zero independent of the rest of the model. Under the present scaling, we show that midpoint tau-leaping achieves a higher order of accuracy, in both a weak and a strong sense, than Euler tau-leaping; a result that is in contrast to previous analyses. We present examples that demonstrate our findings.
Full work available at URL: https://arxiv.org/abs/0909.4790
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Numerical analysis or methods applied to Markov chains (65C40) Biochemistry, molecular biology (92C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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