1. Variance Reduction in Stochastic Reaction Networks using Control Variates
- Author
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Backenköhler, Michael, Bortolussi, Luca, and Wolf, Verena
- Subjects
Methodology (stat.ME) ,FOS: Computer and information sciences ,Molecular Networks (q-bio.MN) ,FOS: Biological sciences ,FOS: Electrical engineering, electronic engineering, information engineering ,Quantitative Biology - Molecular Networks ,Systems and Control (eess.SY) ,Electrical Engineering and Systems Science - Systems and Control ,Quantitative Biology - Quantitative Methods ,Statistics - Methodology ,Quantitative Methods (q-bio.QM) - Abstract
Monte Carlo estimation in plays a crucial role in stochastic reaction networks. However, reducing the statistical uncertainty of the corresponding estimators requires sampling a large number of trajectories. We propose control variates based on the statistical moments of the process to reduce the estimators' variances. We develop an algorithm that selects an efficient subset of infinitely many control variates. To this end, the algorithm uses resampling and a redundancy-aware greedy selection. We demonstrate the efficiency of our approach in several case studies., Comment: arXiv admin note: substantial text overlap with arXiv:1905.00854
- Published
- 2021
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