Variance-reduced simulation of lattice discrete-time Markov chains with applications in reaction networks

@article{Maginnis2016VariancereducedSO,
  title={Variance-reduced simulation of lattice discrete-time Markov chains with applications in reaction networks},
  author={Peter A. Maginnis and Matthew West and Geir E. Dullerud},
  journal={J. Comput. Physics},
  year={2016},
  volume={322},
  pages={400-414}
}
We propose an algorithm to accelerate Monte Carlo simulation for a broad class of stochastic processes. Specifically, the class of countable-state, discrete-time Markov chains driven by additive Poisson noise, or lattice discrete-time Markov chains. In particular, this class includes simulation of reaction networks via the tau-leaping algorithm. To produce… CONTINUE READING