Numerical Solution of the Fokker-Planck Approximation of the Chemical Master Equation

Paul Sjöberg

15 December 2005

Abstract:

The chemical master equation (CME) describes the probability for the discrete molecular copy numbers that define the state of a chemical system. Each molecular species in the chemical model adds a dimension to the state space. The CME is a difference-differential equation which can be solved numerically if the state space is truncated at an upper limit of the copy number in each dimension. The size of the truncated CME suffers from an exponential growth for an increasing number of chemical species.

In this thesis the chemical master equation is approximated by a continuous Fokker-Planck equation (FPE) which makes it possible to use sparser computational grids than for CME. FPE on conservative form is used to compute steady state solutions by computation of an extremal eigenvalue and the corresponding eigenvector as well as time-dependent solutions by an implicit time-stepping scheme.

The performance of the numerical solution is compared to a standard Monte Carlo algorithm. The computational work for a solutions with the same estimated error is compared for the two methods. Depending on the problem, FPE or the Monte Carlo algorithm will be more efficient. FPE is well suited for problems in low dimensions, especially if high accuracy desirable.

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