Tau leaping of stiff stochastic chemical systems via local central limit approximation

Stiffness manifests in stochastic dynamic systems in a more complex manner than in deterministic systems; it is not only important for a time-stepping method to remain stable but it is also important for the method to capture the asymptotic variances accurately. In the context of stochastic chemical systems, time stepping methods are known as tau leaping. Well known existing tau leaping methods have shortcomings in this regard. The implicit tau method is far more stable than the trapezoidal tau method but underestimates the asymptotic variance. On the other hand, the trapezoidal tau method which estimates the asymptotic variance exactly for linear systems suffers from the fact that the transients of the method do not decay fast enough in the context of very stiff systems. We propose a tau leaping method that possesses the same stability properties as the implicit method while it also captures the asymptotic variance with reasonable accuracy at least for the test system S"[email protected]?S"2. The proposed method uses a central limit approximation (CLA) locally over the tau leaping interval and is referred to as the [email protected] The CLA predicts the mean and covariance as solutions of certain differential equations (ODEs) and for efficiency we solve these using a single time step of a suitable low order method. We perform a mean/covariance stability analysis of various possible low order schemes to determine the best scheme. Numerical experiments presented show that [email protected] performs favorably for stiff systems and that the [email protected] is also able to capture bimodal distributions unlike the CLA itself. The proposed [email protected] method uses a split implicit step to compute the mean update. We also prove that any tau leaping method employing a split implicit step converges in the fluid limit to the implicit Euler method as applied to the fluid limit differential equation.