Variance reduction for steady-state simulation and sensitivity analysis of stochastic chemical systems

Abstract

We address the problem of estimating steady-state quantities associated to systems of stochastic chemical kinetics. In most cases of interest these systems are analytically intractable, and one has to resort to computational methods to estimate stationary values of cost functions. In this work we consider a previously introduced variance reduction method and present an algorithm for its application in the context of stochastic chemical kinetics. Using two numerical examples, we test the efficiency of the method for the calculation of steady-state parametric sensitivities and evaluate its performance in comparison to other estimation methods.