An asymptotic relationship between coupling methods for stochastically modeled population processes

作者：Anderson David F; Koyama Masanori^*

来源：IMA Journal of Numerical Analysis, 2015, 35(4): 1757-1778.

DOI：10.1093/imanum/dru044

• stochastic modeling
• biochemical network
• continuous time Markov chain
• couplings
• random time change
• stochastic simulation

This paper is concerned with elucidating a relationship between two common coupling methods for the continuous time Markov chain models utilized in the cell biology literature. The couplings considered here are primarily used in a computational framework by providing reductions in variance for different Monte Carlo estimators, thereby allowing for significantly more accurate results for a fixed amount of computational time. Common applications of the couplings include the estimation of parametric sensitivities via finite difference methods and the estimation of expectations via multi-level Monte Carlo algorithms. While a number of coupling strategies have been proposed for the models considered here, and a number of articles have experimentally compared the different strategies, to date there has been no mathematical analysis describing the connections between them. Such analyses are critical in order to determine the best use for each. In the current paper, we show a connection between the common reaction path (CRP) method and the split coupling (SC) method, which is termed coupled finite differences in the parametric sensitivities literature. In particular, we show that the two couplings are both limits of a third coupling strategy we call the 'local-CRP' coupling, with the SC method arising as a key parameter goes to infinity, and the CRP coupling arising as the same parameter goes to zero. The analysis helps explain why the SC method often provides a lower variance than does the CRP method, a fact previously shown experimentally.

• 出版日期2015-10