Towards automatic global error control: Computable weak error expansion for the tau-leap method
dc.contributor.author | Karlsson, Peer Jesper | |
dc.contributor.author | Tempone, Raul | |
dc.date.accessioned | 2015-08-03T09:02:29Z | |
dc.date.available | 2015-08-03T09:02:29Z | |
dc.date.issued | 2011-01 | |
dc.identifier.citation | Karlsson, 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.issn | 09299629 | |
dc.identifier.doi | 10.1515/MCMA.2011.011 | |
dc.identifier.uri | http://hdl.handle.net/10754/561695 | |
dc.description.abstract | This 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.publisher | Walter de Gruyter GmbH | |
dc.relation.url | http://arxiv.org/abs/arXiv:1004.2948v3 | |
dc.subject | A posteriori error estimates | |
dc.subject | Backward dual functions | |
dc.subject | Error estimation | |
dc.subject | Markov chain | |
dc.subject | Reaction networks | |
dc.subject | Tau-leap | |
dc.subject | Weak approximation | |
dc.title | Towards automatic global error control: Computable weak error expansion for the tau-leap method | |
dc.type | Article | |
dc.contributor.department | Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division | |
dc.contributor.department | Applied Mathematics and Computational Science Program | |
dc.contributor.department | Stochastic Numerics Research Group | |
dc.identifier.journal | Monte Carlo Methods and Applications | |
dc.identifier.arxivid | 1004.2948 | |
kaust.person | Karlsson, Peer Jesper | |
kaust.person | Tempone, Raul | |
dc.date.posted | 2010-04-17 |
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