Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks

09/01/2020 ∙ by Florian Puchhammer, et al. ∙ 0

We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating stochastic biological or chemical reaction networks with τ-leaping. We find that when the method is properly applied, variance reductions by factors in the thousands can be obtained. These factors are much larger than those observed previously by other authors who tried RQMC methods for the same examples. Array-RQMC simulates an array of realizations of the Markov chain and requires a sorting function to reorder these chains according to their states, after each step. The choice of a good sorting function is a key ingredient for the efficiency of the method. We illustrate this by comparing various choices. The expected number of reactions of each type per step also has an impact on the efficiency gain.

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