Variance Decomposition in Stochastic Simulators

Variance Decomposition in Stochastic Simulators

Olivier Le Maitre, Omar Knio, and Alvaro Moraes, Variance Decomposition in Stochastic SimulatorsThe Journal of Chemical Physics, Volume 142, Issue 24, 2015
Olivier Le Maitre, Omar Knio, and Alvaro Moraes
Variance Decomposition in Stochastic Simulators
2015
​​This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.