Uniformisation techniques for stochastic simulation of chemical reaction networks


Beentjes, C
Baker, R


Journal of Chemical Physics

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This work considers the method of uniformisation for continuous-time Markov
chains in the context of chemical reaction networks. Previous work in the
literature has shown that uniformisation can be beneficial in the context of
time-inhomogeneous models, such as chemical reaction networks incorporating
extrinsic noise. This paper lays focus on the understanding of uniformisation
from the viewpoint of sample paths of chemical reaction networks. In
particular, an efficient pathwise stochastic simulation algorithm for
time-homogeneous models is presented which is complexity-wise equal to
Gillespie's direct method. This new approach therefore enlarges the class of
problems for which the uniformisation approach forms a computationally
attractive choice. Furthermore, as a new application of the uniformisation
method, we provide a novel variance reduction method for the estimation of
general summary statistics of chemical reaction networks based upon the
combination of stratification and uniformisation.

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Journal Article