Coupling sample paths to the thermodynamic limit in Monte Carlo estimators with applications to gene expression
File(s)jcp-2017_r3d1.pdf (554.45 KB)
Accepted version
Author(s)
Levien, Ethan
Bressloff, Paul C
Type
Journal Article
Abstract
Many biochemical systems appearing in applications have a multiscale structure so that they converge to piecewise deterministic Markov processes in a thermodynamic limit. The statistics of the piecewise deterministic process can be obtained much more efficiently than those of the exact process. We explore the possibility of coupling sample paths of the exact model to the piecewise deterministic process in order to reduce the variance of their difference. We then apply this coupling to reduce the computational complexity of a Monte Carlo estimator. Motivated by the rigorous results in [1], we show how this method can be applied to realistic biological models with nontrivial scalings.
Date Issued
2017-10-01
Date Acceptance
2017-05-31
Citation
Journal of Computational Physics, 2017, 346, pp.1-13
ISSN
0021-9991
Publisher
Elsevier BV
Start Page
1
End Page
13
Journal / Book Title
Journal of Computational Physics
Volume
346
Copyright Statement
Copyright © Elsevier Ltd. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Identifier
http://dx.doi.org/10.1016/j.jcp.2017.05.050
Publication Status
Published
Date Publish Online
2017-06-13