Multilevel Hybrid Chernoff Tau-Leap

Handle URI:
http://hdl.handle.net/10754/624785
Title:
Multilevel 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 [6] we present a novel multilevel algorithm for the Chernoff-based hybrid tauleap algorithm. This variance reduction technique 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 and Engineering (CEMSE) Division; Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Issue Date:
6-Jan-2016
Type:
Poster
Appears in Collections:
Posters; Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

Full metadata record

DC FieldValue Language
dc.contributor.authorMoraes, Alvaroen
dc.contributor.authorTempone, Raulen
dc.contributor.authorVilanova, Pedroen
dc.date.accessioned2017-06-08T06:32:26Z-
dc.date.available2017-06-08T06:32:26Z-
dc.date.issued2016-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/624785-
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 [6] we present a novel multilevel algorithm for the Chernoff-based hybrid tauleap algorithm. This variance reduction technique 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.titleMultilevel Hybrid Chernoff Tau-Leapen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Divisionen
dc.contributor.departmentApplied Mathematics and Computational Science Programen
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 5-10, 2016en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)en
dc.conference.locationKAUSTen
kaust.authorMoraes, Alvaroen
kaust.authorTempone, Raulen
kaust.authorVilanova, Pedroen
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