• Corpus ID: 239016240

Variance Reduction in Stochastic Reaction Networks using Control Variates

@article{Backenkhler2021VarianceRI,
  title={Variance Reduction in Stochastic Reaction Networks using Control Variates},
  author={Michael Backenk{\"o}hler and Luca Bortolussi and Verena Wolf},
  journal={ArXiv},
  year={2021},
  volume={abs/2110.09143}
}
Monte Carlo estimation in plays a crucial role in stochastic reaction networks. However, reducing the statistical uncertainty of the corresponding estimators requires sampling a large number of trajectories. We propose control variates based on the statistical moments of the process to reduce the estimators’ variances. We develop an algorithm that selects an efficient subset of infinitely many control variates. To this end, the algorithm uses resampling and a redundancy-aware greedy selection… 

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