Efficient anticorrelated variance reduction for stochastic simulation of biochemical reactions

Abstract

We investigate the computational challenge of improving the accuracy of the stochastic simulation estimation by inducing negative correlation through the anticorrelated variance reduction technique. A direct application of the technique to the stochastic simulation algorithm (SSA), employing the inverse transformation, is not efficient for simulating large networks because its computational cost is similar to the sum of independent simulation runs. We propose in this study a new algorithm that employs the propensity bounds of reactions, introduced recently in their rejection-based SSA, to correlate and synchronise the trajectories during the simulation. The selection of reaction firings by our approach is exact due to the rejection-based mechanism. In addition, by applying the anticorrelated variance technique to select reaction firings, our approach can induce substantial correlation between realisations, hence reducing the variance of the estimator. The computational advantage of our rejection-based approach in comparison with the traditional inverse transformation is that it only needs to maintain a single data structure storing propensity bounds of reactions, which is updated infrequently, hence achieving better performance.