Multilevel hybrid split-step implicit tau-leap

Multilevel hybrid split-step implicit tau-leap

C. Ben Hammouda, A. Moraes, R. Tempone, Multilevel hybrid split-step implicit tau-leap, Numerical Algorithms, pp 1-34, June 2016
​C. Ben Hammouda, A. Moraes, R. Tempone
Stochastic reaction networks, Multilevel Monte Carlo, Split-step implicit
2016
​In biochemically reactive systems with small copy numbers of one or more reactant molecules, the dynamics is dominated by stochastic effects. To approximate those systems, discrete state-space and stochastic simulation approaches have been shown to be more relevant than continuous state-space and deterministic ones. In systems characterized by having simultaneously fast and slow timescales, existing discrete space-state stochastic path simulation methods, such as the stochastic simulation algorithm (SSA) and the explicit tau-leap (explicit-TL) method, can be very slow. Implicit approximations have been developed to improve numerical stability and provide efficient simulation algorithms for those systems. Here, we propose an efficient Multilevel Monte Carlo (MLMC) method in the spirit of the work by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012). This method uses split-step implicit tau-leap (SSI-TL) at levels where the explicit-TL method is not applicable due to numerical stability issues. We present numerical examples that illustrate the performance of the proposed method.