scholarly journals Quasi-Entropy Closure: A Fast and Reliable Approach to Close the Moment Equations of the Chemical Master Equation

2021 ◽  
Author(s):  
Vincent Wagner ◽  
Benjamin Castellaz ◽  
Marco Oesting ◽  
Nicole Radde

MotivationThe Chemical Master Equation is the most comprehensive stochastic approach to describe the evolution of a (bio-)chemical reaction system. Its solution is a time-dependent probability distribution on all possible configurations of the system. As the number of possible configurations is typically very large, the Master Equation is often practically unsolvable. The Method of Moments reduces the system to the evolution of a few moments of this distribution, which are described by a system of ordinary differential equations. Those equations are not closed, since lower order moments generally depend on higher order moments. Various closure schemes have been suggested to solve this problem, with different advantages and limitations. Two major problems with these approaches are first that they are open loop systems, which can diverge from the true solution, and second, some of them are computationally expensive.ResultsHere we introduce Quasi-Entropy Closure, a moment closure scheme for the Method of Moments which estimates higher order moments by reconstructing the distribution that minimizes the distance to a uniform distribution subject to lower order moment constraints. Quasi-Entropy closure is similar to Zero-Information closure, which maximizes the information entropy. Results show that both approaches outperform truncation schemes. Moreover, Quasi-Entropy Closure is computationally much faster than Zero-Information Closure. Finally, our scheme includes a plausibility check for the existence of a distribution satisfying a given set of moments on the feasible set of configurations. Results are evaluated on different benchmark problems.Abstract Figure

2015 ◽  
Vol 52 (02) ◽  
pp. 595-601
Author(s):  
Dirk Veestraeten

In this paper we use the Siegert formula to derive alternative expressions for the moments of the first passage time of the Ornstein-Uhlenbeck process through a constant threshold. The expression for the nth moment is recursively linked to the lower-order moments and consists of only n terms. These compact expressions can substantially facilitate (numerical) applications also for higher-order moments.


2002 ◽  
Vol 18 (3) ◽  
pp. 722-729 ◽  
Author(s):  
Shiqing Ling ◽  
Michael McAleer

Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307–327) GARCH(r, s) model for over a decade, the higher order moment structure of the model remains unresolved. The sufficient condition for the existence of the higher order moments of the GARCH(r, s) model was given by Ling (1999a, Journal of Applied Probability 36, 688–705). This paper shows that Ling's condition is also necessary. As an extension, the necessary and sufficient moment conditions are established for Ding, Granger, and Engle's (1993, Journal of Empirical Finance, 1, 83–106) asymmetric power GARCH(r, s) model.


2015 ◽  
Vol 52 (2) ◽  
pp. 595-601 ◽  
Author(s):  
Dirk Veestraeten

In this paper we use the Siegert formula to derive alternative expressions for the moments of the first passage time of the Ornstein-Uhlenbeck process through a constant threshold. The expression for the nth moment is recursively linked to the lower-order moments and consists of only n terms. These compact expressions can substantially facilitate (numerical) applications also for higher-order moments.


2018 ◽  
Vol 28 (09) ◽  
pp. 1771-1800 ◽  
Author(s):  
G. Corbin ◽  
A. Hunt ◽  
A. Klar ◽  
F. Schneider ◽  
C. Surulescu

Starting from a two-scale description involving receptor binding dynamics and a kinetic transport equation for the evolution of the cell density function under velocity reorientations, we deduce macroscopic models for glioma invasion featuring partial differential equations for the mass density and momentum of a population of glioma cells migrating through the anisotropic brain tissue. The proposed first and higher-order moment closure methods enable numerical simulations of the kinetic equation. Their performance is then compared to that of the diffusion limit. The approach allows for diffusion tensor imaging (DTI)-based, patient-specific predictions of the tumor extent and its dynamic behavior.


Sign in / Sign up

Export Citation Format

Share Document