3
Efficiency of Stochastic Simulations
http://sms.cam.ac.uk/media/2163654
Higham, D
Monday 18th January 2016  15:30 to 16:15
40
Efficiency of Stochastic Simulations
http://sms.cam.ac.uk/media/2163654
http://rss.sms.cam.ac.uk/images/cam/identifier2.png
no

Efficiency of Stochastic Simulations
ucs_sms_2163645_2163654
http://sms.cam.ac.uk/media/2163654
Efficiency of Stochastic Simulations
Higham, D
Monday 18th January 2016  15:30 to 16:15
Mon, 25 Jan 2016 15:34:06 +0000
Isaac Newton Institute
Higham, D
e761d252968c654fdbbeda5e7c04858c
4df47ef364f59ddd75a28436b6a5b112
2a50bc41ae024dcd3f201757a9cee76f
89982855bd5c3ece1a2539f2b943dd4d
Higham, D
Monday 18th January 2016  15:30 to 16:15
Higham, D
Monday 18th January 2016  15:30 to 16:15
Cambridge University
3043
http://sms.cam.ac.uk/media/2163654
Efficiency of Stochastic Simulations
Higham, D
Monday 18th January 2016  15:30 to 16:15
Coauthors: David F. Anderson (University of WisconsinMadison), Yu Sun (University of WisconsinMadison)
I will analyze and compare the computational complexity of different simulation strategies for continuous time Markov chains. I consider the task of approximating the expected value of some functional of the state of the system over a compact time interval. This task is a bottleneck in many largescale computations arising in biochemical kinetics and cell biology. In this context, the terms 'Gillespie's method', 'The Stochastic Simulation Algorithm' and 'The Next Reaction Method' are widely used to describe exact simulation methods. For example, Google Scholar records more than 6,000 citations to Gillespie's seminal 1977 paper. I will look at the use of standard Monte Carlo when samples are produced by exact simulation and by approximation with tauleaping or an EulerMaruyama discretization of a diffusion approximation. In particular, I will point out some possible pitfalls when computational complexity is analysed. Appropriate modifications o f recently proposed multilevel Monte Carlo algorithms will then be studied for the tauleaping and EulerMaruyama approaches. I will pay particular attention to a parameterization of the problem that, in the mass action chemical kinetics setting, corresponds to the classical system size scaling.
Related Links
http://personal.strath.ac.uk/d.j.higham/
20160125T15:34:06+00:00
3043
2163654
true
16x9
false
no