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dc.contributor.authorBen Hammouda, Chiheb
dc.contributor.authorMoraes, Alvaro
dc.contributor.authorTempone, Raul
dc.date.accessioned2016-11-03T08:28:28Z
dc.date.available2016-11-03T08:28:28Z
dc.date.issued2016-06-17
dc.identifier.citationBen Hammouda C, Moraes A, Tempone R (2016) Multilevel hybrid split-step implicit tau-leap. Numerical Algorithms. Available: http://dx.doi.org/10.1007/s11075-016-0158-z.
dc.identifier.issn1017-1398
dc.identifier.issn1572-9265
dc.identifier.doi10.1007/s11075-016-0158-z
dc.identifier.urihttp://hdl.handle.net/10754/621403
dc.description.abstractIn biochemically reactive systems with small copy numbers of one or more reactant molecules, the dynamics is dominated by stochastic effects. To approximate those systems, discrete state-space and stochastic simulation approaches have been shown to be more relevant than continuous state-space and deterministic ones. In systems characterized by having simultaneously fast and slow timescales, existing discrete space-state stochastic path simulation methods, such as the stochastic simulation algorithm (SSA) and the explicit tau-leap (explicit-TL) method, can be very slow. Implicit approximations have been developed to improve numerical stability and provide efficient simulation algorithms for those systems. Here, we propose an efficient Multilevel Monte Carlo (MLMC) method in the spirit of the work by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012). This method uses split-step implicit tau-leap (SSI-TL) at levels where the explicit-TL method is not applicable due to numerical stability issues. We present numerical examples that illustrate the performance of the proposed method. © 2016 Springer Science+Business Media New York
dc.description.sponsorshipClean Combustion Center at King Abdullah University of Science and Technology
dc.publisherSpringer Nature
dc.subjectMultilevel Monte Carlo
dc.titleMultilevel hybrid split-step implicit tau-leap
dc.typeArticle
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.identifier.journalNumerical Algorithms
dc.identifier.arxivid1512.00721
kaust.personBen Hammouda, Chiheb
kaust.personMoraes, Alvaro
kaust.personTempone, Raul
dc.date.published-online2016-06-17
dc.date.published-print2017-02


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