Show simple item record

dc.contributor.authorKarlsson, Peer Jesper
dc.contributor.authorTempone, Raul
dc.date.accessioned2015-08-03T09:02:29Z
dc.date.available2015-08-03T09:02:29Z
dc.date.issued2011-01
dc.identifier.citationKarlsson, J., & Tempone, R. (2011). Towards automatic global error control: Computable weak error expansion for the tau-leap method. Monte Carlo Methods and Applications, 17(3). doi:10.1515/mcma.2011.011
dc.identifier.issn09299629
dc.identifier.doi10.1515/MCMA.2011.011
dc.identifier.urihttp://hdl.handle.net/10754/561695
dc.description.abstractThis work develops novel error expansions with computable leading order terms for the global weak error in the tau-leap discretization of pure jump processes arising in kinetic Monte Carlo models. Accurate computable a posteriori error approximations are the basis for adaptive algorithms, a fundamental tool for numerical simulation of both deterministic and stochastic dynamical systems. These pure jump processes are simulated either by the tau-leap method, or by exact simulation, also referred to as dynamic Monte Carlo, the Gillespie Algorithm or the Stochastic Simulation Slgorithm. Two types of estimates are presented: an a priori estimate for the relative error that gives a comparison between the work for the two methods depending on the propensity regime, and an a posteriori estimate with computable leading order term. © de Gruyter 2011.
dc.publisherWalter de Gruyter GmbH
dc.relation.urlhttp://arxiv.org/abs/arXiv:1004.2948v3
dc.subjectA posteriori error estimates
dc.subjectBackward dual functions
dc.subjectError estimation
dc.subjectMarkov chain
dc.subjectReaction networks
dc.subjectTau-leap
dc.subjectWeak approximation
dc.titleTowards automatic global error control: Computable weak error expansion for the tau-leap method
dc.typeArticle
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentStochastic Numerics Research Group
dc.identifier.journalMonte Carlo Methods and Applications
dc.identifier.arxivid1004.2948
kaust.personKarlsson, Peer Jesper
kaust.personTempone, Raul
dc.date.posted2010-04-17


This item appears in the following Collection(s)

Show simple item record