Speed-up of stochastic simulation of PCTMC models by statistical model reduction

Abstract

We present a novel statistical model reduction method which can significantly boost the speed of stochastic simulation of a population continuous-time Markov chain (PCTMC) model. This is achieved by identifying and removing agent types and transitions from the simulation which have only minor impact on the evolution of population dynamics of target agent types specified by the modeller. The error induced on the target agent types can be measured by a normalized coupling coefficient, which is calculated by an error propagation method over a directed relation graph for the PCTMC, using a limited number of simulation runs of the full model. Those agent types and transitions with minor impact are safely removed without incurring a significant error on the simulation result. To demonstrate the approach, we show the usefulness of our statistical reduction method by applying it to 50 randomly generated PCTMC models corresponding to different city bike-sharing scenarios.