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

Qihong Duan () and Junrong Liu

Statistical Methods & Applications, 2015, vol. 24, issue 1, 85-95

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Markov chain; Gillespie’s algorithm; Rejection sampling; Simulation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10260-014-0283-6

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