1. Stochastic averaging and sensitivity analysis for two scale reaction networks.
- Author
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Hashemi, Araz, Núñez, Marcel, Plecháč, Petr, and Vlachos, Dionisios G.
- Subjects
STOCHASTIC processes ,SENSITIVITY analysis ,ACCELERATION (Mechanics) ,COMPUTER simulation ,STEADY state conduction ,DISTRIBUTION (Probability theory) - Abstract
In the presence of multiscale dynamics in a reaction network, direct simulation methods become inefficient as they can only advance the system on the smallest scale. This work presents stochastic averaging techniques to accelerate computations for obtaining estimates of expected values and sensitivities with respect to the steady state distribution. A two-time-scale formulation is used to establish bounds on the bias induced by the averaging method. Further, this formulation provides a framework to create an accelerated "averaged" version of most single-scale sensitivity estimation methods. In particular, we propose the use of a centered ergodic likelihood ratio method for steady state estimation and show how one can adapt it to accelerated simulations of multiscale systems. Finally, we develop an adaptive "batch-means" stopping rule for determining when to terminate the micro-equilibration process. [ABSTRACT FROM AUTHOR]
- Published
- 2016
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