title: A fast exact simulation method for a class of Markov jump processes.
abstract: A new method of the stochastic simulation algorithm (SSA), named the Hashing-Leaping method (HLM), for exact simulations of a class of Markov jump processes, is presented in this paper. The HLM has a conditional constant computational cost per event, which is independent of the number of exponential clocks in the Markov process. The main idea of the HLM is to repeatedly implement a hash-table-like bucket sort algorithm for all times of occurrence covered by a time step with length τ. This paper serves as an introduction to this new SSA method. We introduce the method, demonstrate its implementation, analyze its properties, and compare its performance with three other commonly used SSA methods in four examples. Our performance tests and CPU operation statistics show certain advantages of the HLM for large scale problems.
authors.affiliation: Department of Mathematics and Statistics, University of Massachusetts Amherst, Amherst, Massachusetts 10003, USA.
authors.forename: Yao
authors.initials: Y
authors.lastname: Li
authors.affiliation: School of Mathematics, Georgia Institute of Technology, Atlanta, Georgia 30332, USA.
authors.forename: Lili
authors.initials: L
authors.lastname: Hu