A tau-leaping method for computing joint probability distributions of the first-passage time and position of a Brownian particle

TL;DR

This paper introduces a tau-leaping algorithm for efficiently computing the joint distribution of first-passage times and positions of a Brownian particle within arbitrary volumes, significantly reducing computational time compared to traditional Monte Carlo methods.

Contribution

The paper develops a novel tau-leaping approach that combines sphere-based sampling with switching to Monte Carlo, enhancing efficiency in calculating first-passage properties of Brownian particles.

Findings

Tau-leaping method is at least 10 times faster than Monte Carlo.

Efficiency of tau-leaping remains stable with increasing volume size.

Method achieves up to 110-fold speedup over Monte Carlo.

Abstract

First passage time (FPT) is the time a particle, subject to some stochastic process, hits or crosses a closed surface for the very first time. $\tau$-leaping methods are a class of stochastic algorithms in which, instead of simulating every single reaction, many reactions are ``leaped" over in order to shorten the computing time. In this paper we developed a $\tau$-leaping method for computing the FPT and position in arbitrary volumes for a Brownian particle governed by the Langevin equation. The $\tau$-leaping method proposed here works as follows. A sphere is inscribed within the volume of interest (VOI) centered at the initial particle's location. On this sphere, the FPT is sampled, as well as the position, which becomes the new initial position. Then, another sphere, centered at this new location, is inscribed. This process continues until the sphere becomes smaller than some minimal radius $R_{\text{min}}$. When this occurs, the $\tau$-leaping switches to the conventional Monte Carlo, which runs until the particle either crosses the surface of the VOI or finds its way to a position where a sphere of radius $>R_{\text{min}}$ can be inscribed. The switching between $\tau$-leaping and MC continues until the particle crosses the surface of the VOI. The size of this radius depends on the system parameters and on one's notion of accuracy: the larger this radius the more accurate the $\tau$-leaping method, but also less efficient. This trade off between accuracy and efficiency is discussed. For two VOI, the $\tau$-leaping method is shown to be accurate and more efficient than MC by at least a factor of 10 and up to a factor of about 110. However, while MC becomes exponentially slower with increasing VOI, the efficiency of the $\tau$-leaping method remains relatively unchanged. Thus, the $\tau$-leaping method can potentially be many orders of magnitude more efficient than MC.