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

@article{Puchhammer2021VarianceRW,
  title={Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks.},
  author={Florian Puchhammer and Amal Ben Abdellah and Pierre L'Ecuyer},
  journal={Bulletin of mathematical biology},
  year={2021},
  volume={83 8},
  pages={
          91
        }
}
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 [Formula: see text]-leaping. The task is to estimate the expectation of a function of molecule copy numbers at a given future time T by the sample average over n sample paths, and the goal is to reduce the variance of this sample-average estimator. We find that when the method is… Expand
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