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@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} }

- Published 2016 in J. Comput. Physics
DOI:10.1016/j.jcp.2016.06.019

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

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