A first step to implement Gillespie’s algorithm with rejection sampling

被引：0
作者：
Qihong Duan
Junrong Liu
机构：
[1] Xi’an Jiaotong University,School of Mathematics and Statistics
[2] NorthWest University,Department of Mathematics
来源：
Statistical Methods & Applications | 2015年 / 24卷
关键词：
Markov chain; Gillespie’s algorithm; Rejection sampling; Simulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
It is well known that firings of a well-stirred chemically reacting system can be described by a continuous-time Markov chain. The currently-used exact implementations of Gillespie’s algorithm simulate every reaction event individually and thus the computational cost is inevitably high. In this paper, we present an exact implementation of a continuous-time Markov chain with bounded intensity which can simulate the process at given time points. The implementation involves rejection sampling, with a trajectory either accepted or rejected based on just a few reaction events. A simulation study on the Schlögl model is presented and supplementary materials for this article are available online.
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页码：85 / 95
页数：10
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