Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics
- Univ. of Massachusetts, Amherst, MA (United States); ETH Zurich, Zurich (Switzerland)
- Univ. of Massachusetts, Amherst, MA (United States)
Here, we demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systems with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.
- Research Organization:
- Univ. of Massachusetts, Amherst, MA (United States)
- Sponsoring Organization:
- USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR)
- Grant/Contract Number:
- SC0010723
- OSTI ID:
- 1470323
- Alternate ID(s):
- OSTI ID: 1241424
- Journal Information:
- Journal of Chemical Physics, Vol. 144, Issue 10; ISSN 0021-9606
- Publisher:
- American Institute of Physics (AIP)Copyright Statement
- Country of Publication:
- United States
- Language:
- English
Web of Science
Girsanov reweighting for path ensembles and Markov state models
|
journal | June 2017 |
Acceleration and sensitivity analysis of lattice kinetic Monte Carlo simulations using parallel processing and rate constant rescaling
|
journal | October 2017 |
Estimation of the infinitesimal generator by square-root approximation
|
journal | October 2018 |
Estimation of the infinitesimal generator by square-root approximation
|
text | January 2017 |
Similar Records
Accelerated Sensitivity Analysis in High-Dimensional Stochastic Reaction Networks
Steady state likelihood ratio sensitivity analysis for stiff kinetic Monte Carlo simulations