Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks.

We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating stochastic biological or chemical reaction networks with [Formula: see text]-leaping. The task is to estimate the expectation of a function of molecule copy numbers at a given future time T by the sample average over n sample paths, and the goal is to reduce the variance of this sample-average estimator. We find that when the method is properly applied, variance reductions by factors in the thousands can be obtained.