Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo estimation

Peter A. Maginnis; Matthew West; Geir E. Dullerud

doi:10.1109/CDC.2014.7039916

Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo estimation

Peter A. Maginnis, Matthew West, Geir E. Dullerud

Research output: Contribution to journal › Conference article › peer-review

Abstract

We provide an exact, continuous time extension to previous work in anticorrelated stochastic process simulation that was performed in an approximate, discrete time setting. These methods reduce the variance of continuous time Monte Carlo for Markov jump process systems. We rigorously construct antithetic Poisson processes and analytically prove the negative correlation between pairs. We then show how these anticorrelated Poisson processes can be used to drive Markov jump processes via a random time change representation. Finally, we provide a sufficient condition for variance reduction in the jump process context as well as demonstrate a simple example.

Original language	English (US)
Article number	7039916
Pages (from-to)	3401-3407
Number of pages	7
Journal	Proceedings of the IEEE Conference on Decision and Control
Volume	2015-February
Issue number	February
DOIs	https://doi.org/10.1109/CDC.2014.7039916
State	Published - Jan 1 2014
Event	2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States Duration: Dec 15 2014 → Dec 17 2014

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

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10.1109/CDC.2014.7039916

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Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo estimation. / Maginnis, Peter A.; West, Matthew ; Dullerud, Geir E.

In: Proceedings of the IEEE Conference on Decision and Control, Vol. 2015-February, No. February, 7039916, 01.01.2014, p. 3401-3407.

Research output: Contribution to journal › Conference article › peer-review

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Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo estimation

Abstract

ASJC Scopus subject areas

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