Sample‐based robust model reduction for non‐linear systems biology models

Complex non-linear systems biology models comprise relevant knowledge on processes of pharmacological interest. They are, however, too complex to be used in inferential settings, for example, to allow for the estimation of patient-specific parameters for individual dose optimisation. Thus, there is a need for simple models with interpretable components to infer the drug effect in a clinical setting. In particular, it is essential to accurately quantify and simulate the interindividual variability in the drug response in order to account for covariates like body weight, age and genetic disposition. To this end, non-linear model order reduction and simplification methods can be used if they maintain model interpretability during reduction and consider an entire population rather than just a single reference individual. We present a sample-based approach for robust model order reduction and propose two improvements for efficiency. In particular, we introduce a new sampling method to generate the virtual population based on transformed latin hypercube sampling. Thereby, the sample is stratified in the relevant parameter-space directions, which are identified using empirical observability Gramians. We illustrate our approach in application to a blood coagulation pathway model, where we reduce the complexity from a 62-dimensional highly non-linear to a six-dimensional and a nine-dimensional system of ordinary differential equations for two scenarios, respectively

Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

Efficient propagation of error through system models for functions common in engineering

System modeling can help designers make and verify design decisions early in the design process if the model's accuracy can be determined. The formula typically used to analytically propagate error is based on a first-order Taylor series expansion. Consequently, this formula can be wrong by one or more orders of magnitude for nonlinear systems. Clearly, adding higher-order terms increases the accuracy of the approximation but it also requires higher computational cost. This paper shows that truncation error can be reduced and accuracy increased without additional computational cost by applying a predictable correction factor to lower-order approximations. The efficiency of this method is demonstrated in the kinematic model of a flapping wing. While Taylor series error propagation is typically applicable only to closedform equations, the procedure followed in this paper may be used with other types of models, provided that model outputs can be determined from model inputs, derivatives can be calculated, and truncation error is predictable

Latin hypercube sampling with dependence and applications in finance

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random variables. The resulting estimator is shown to be consistent and asymptotically unbiased. For the bivariate case and under some conditions on the joint distribution, a central limit theorem together with a closed formula for the limit variance are derived. It is shown that for a class of estimators satisfying some monotonicity condition, the LHSD limit variance is never greater than the corresponding Monte Carlo limit variance. In some valuation examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is achieved. LHSD is suited for problems with rare events and for high-dimensional problems, and it may be combined with Quasi-Monte Carlo methods. --Monte Carlo simulation,variance reduction,Latin hypercube sampling,stratified sampling

A Tool for Custom Construction of QMC and RQMC Point Sets

We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte Carlo (QMC) and randomized quasi-Monte Carlo (RQMC) sampling over the s-dimensional unit hypercube. The selection criteria are figures of merit that give different weights to different subsets of coordinates. They are upper bounds on the worst-case error (for QMC) or variance (for RQMC) for integrands rescaled to have a norm of at most one in certain Hilbert spaces of functions. We summarize what are the various Hilbert spaces, discrepancies, types of weights, figures of merit, types of constructions, and search methods supported by LatNet Builder. We briefly discuss its organization and we provide simple illustrations of what it can do.NSERC Discovery Grant, IVADO Grant, Corps des Mines Stipend, ERDF, ESF, EXP. 2019/0043