Handle URI:
http://hdl.handle.net/10754/623999
Title:
Hybrid Chernoff Tau-Leap
Authors:
Moraes, Alvaro ( 0000-0003-4144-1243 ) ; Tempone, Raul ( 0000-0003-1967-4446 ) ; Vilanova, Pedro ( 0000-0001-6620-6261 )
Abstract:
Markovian pure jump processes can model many phenomena, e.g. chemical reactions at molecular level, protein transcription and translation, spread of epidemics diseases in small populations and in wireless communication networks among many others. In this work we present a novel hybrid algorithm for simulating individual trajectories which adaptively switches between the SSA and the Chernoff tauleap methods. This allows us to: (a) control the global exit probability of any simulated trajectory, (b) obtain accurate and computable estimates for the expected value of any smooth observable of the process with minimal computational work.
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)
Issue Date:
6-Jan-2014
Type:
Poster
Appears in Collections:
Posters; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)

Full metadata record

DC FieldValue Language
dc.contributor.authorMoraes, Alvaroen
dc.contributor.authorTempone, Raulen
dc.contributor.authorVilanova, Pedroen
dc.date.accessioned2017-06-01T10:20:43Z-
dc.date.available2017-06-01T10:20:43Z-
dc.date.issued2014-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/623999-
dc.description.abstractMarkovian pure jump processes can model many phenomena, e.g. chemical reactions at molecular level, protein transcription and translation, spread of epidemics diseases in small populations and in wireless communication networks among many others. In this work we present a novel hybrid algorithm for simulating individual trajectories which adaptively switches between the SSA and the Chernoff tauleap methods. This allows us to: (a) control the global exit probability of any simulated trajectory, (b) obtain accurate and computable estimates for the expected value of any smooth observable of the process with minimal computational work.en
dc.subjectSamplingen
dc.titleHybrid Chernoff Tau-Leapen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 6-10, 2014en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)en
dc.conference.locationKAUSTen
kaust.authorMoraes, Alvaroen
kaust.authorTempone, Raulen
kaust.authorVilanova, Pedroen
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