John M. Drake

Noise is addressed using **stochastic models**

Two types of noise:

- Observation error: the data are probabilistically related to the true state of the system
- Process noise: the system progresses probabilistically

We distinguish further between two types of process noise:

- Environmental stochasticity: some parameter is a random variable
- Demographic stochasticity: individual-level chance events

**Discussion question.** What are the relationships among the following words/concepts: error, noise, probabilistic, random, stochastic, variability/variation?

The \( SIR \) model, \( dY/dt = \beta XY/N - \gamma Y \), implies that changes in the states \( X \), \( Y \), and \( Z \) are continuous. But, in reality individuals are either susceptible, infected, or recovered so that \( X \), \( Y \), and \( Z \) are integer-valued and changes in the system state occur as discrete steps. The differential equation is an **idealization**.

- What we seek is a stochastic model for which the system of ODEs is an appropriate idealization
- There are an infinite number of such models, but the simplest one is a continuous-time, discrete-space
**Markov Chain**with**propensities**given by the various terms in the differential equations - This model may also be interpreted as an
**event-driven model**with**state transition probabilities**

**Propensities**

Rate | Transition |
---|---|

\( \beta XY/N \) | \( X \rightarrow X-1 \), \( Y \rightarrow Y+1 \) |

\( \gamma Y \) | \( Y \rightarrow Y-1 \), \( Z \rightarrow Z+1 \) |

- Continuous and discrete time
**branching processes** **Stochastic differential equations**may be found as a**continuum approximation**to a discrete space model or to model**environmental stochasticity****Reed-Frost**model- Agent-based models, etc.

A stochastic differential equation (SDE):

\[ dX(t) = f(t) X(t) dt + h(t) X(t) dW(t) \]

SDEs require stochastic calculus (Ito or Stratonovich) to solve.

**Note:** Lots of scientific papers gloss over the mathematical details of the models they report, but best practice is to be explicit.

The **Master Equation** is a system of differential equations for the flow in the probability that he system will be in any given (multi-dimensional) state

\[ dP_k/dt = \sum_l A_{kl}P_l \]

where \( A \) is a matrix of transition propensities.

This approach is only tractable for very simple models (e.g. \( SI \) and \( SIS \) epidemics)

Exact simulation is straightforward via **Gillespie's Direct method**. To simulate a **sample path**:

- Initialize
- Iteration of a two step process
- Determine
**time**of the next event - Determine
**change of state**at the next event time

- Determine
- Summarize

Given system state \( N \), let \( R(N) \) be the sum of all the propensities for all changes of state and \( G_N(s) \) be the probability that no event occurs in subsequent time interval \( s \) for system state \( N \).

By the Markov assumption

\[ \tiny{ \begin{aligned} G_N(s + \delta s) &= Pr \left\{ \mbox{no event in } (t, t+s+\delta s) \right\} \\ &= Pr \left\{ \mbox{no event in } (t, t+s) \right\} \times Pr \left\{ \mbox{no event in } (t+s, t+s+\delta s) \right\} \\ &= G_N(s) \times \left\{ 1-R(N) \times \delta s \right\} \end{aligned} } \]

After rearranging

\[ \begin{align*} \frac{G_N(s + \delta s) - G_N(s)}{\delta s} &= -R(N) \times G_N(s) \end{align*} \]

Letting \( \delta s \to 0 \)

\[ \begin{align*} \frac{d G_N}{d s} &= -R(N) \times G_N(s) \end{align*} \]

With solution

\[ \begin{align*} G_N(s) &= e^{-R(N)s} \end{align*} \]

Thus, the probability the next event occurs in \( (t, t+s) \) is

\[ \begin{align*} F_N(s) &= 1- e^{-R(N)s} \end{align*} \]

Given event time distribution \( F_N \), an exponentially distributed random event time \( S \) can be obtained from a uniform random random variate \( U_1 \) by setting

\[ \begin{align*} U_1 = F_N(s) = 1- e^{-R(N)S} \end{align*} \]

and solving to obtain

\[ \begin{align*} S = - \log(U_1) /R(N) \end{align*} \]

Let the propensities of event types \( E_1, E_2, E_3, ... \) be denoted \( R_1, R_2, R_3, .... \) with total rate \( R_{sum} = R(N)=\sum_i R_i \). In the long run, events of each type should occur with relative frequency \( R_i/R(N) \). We can randomly draw event classes with these frequencies by simulating a second uniform random variate \( U_2 \) and assigning event class \( E_i \) if

\[ \begin{align*} R_{sum}^{-1}\sum_{i=1}^{p-1} R_i < U_2 \leq R_{sum}^{-1}\sum_{i=1}^{p} R_i. \end{align*} \]

- Label all possible events \( E_1, E_2, E_3, ... \)
- Initialize \( t=0 \) and state \( N \)
- Update step
- Calculate propensities \( R_1, R_2, R_3, ... \)
- Calculate \( R_{sum} = R(N)=\sum_i R_i \)
- Generate \( U_1 \) and transform to obtain \( S \)
- Generate \( U_2 \) and determine event type \( E_i \)
- Update state based on \( E_i \)
- Update time \( t=t+S \)

- Go to step (3)

Events

- \( E_1 \): Birth of susceptible individual (\( X \to X+1 \))
- \( E_2 \): Infection (\( X \to X-1, Y \to Y+1 \))
- \( E_3 \): Recovery (\( Y \to Y-1, Z \to Z+1 \))
- \( E_4 \): Death of susceptible individual (\( X \to X-1 \))
- \( E_5 \): Death of infected individual (\( Y \to Y-1 \))
- \( E_6 \): Death of recovered individual (\( Z \to Z-1 \))

Propensities

- \( R_1 \): \( \mu (X+Y+Z) \)
- \( R_2 \): \( \beta XY/N \)
- \( R_3 \): \( \gamma Y \)
- \( R_4 \): \( \mu X \)
- \( R_5 \): \( \mu y \)
- \( R_6 \): \( \mu Z \)

Function `SIR.onestep`

performs calculations of each update step

```
SIR.onestep <- function (x, params) {
X <- x[2]; Y <- x[3]; Z <- x[4] ;N <- X+Y+Z
with(
as.list(params),
{
rates <- c(mu*N, beta*X*Y/N, mu*X, mu*Y, gamma*Y, mu*Z)
changes <- matrix(c( 1, 0, 0,
-1, 1, 0,
-1, 0, 0,
0,-1, 0,
0,-1, 1,
0, 0,-1),
ncol=3, byrow=TRUE)
U1<-runif(1); tau<--log(U1)/sum(rates)
U2<-runif(1)
m<-min(which(cumsum(rates)>=U2*sum(rates)))
x<-x[2:4] + changes[m,]
return(out <- c(tau, x))
}
)
}
```

Now we write a function `SIR.model`

that iteratively calls `SIR.onestep`

to simulate an epidemic

```
SIR.model <- function (x, params, nstep) { #function to simulate stochastic SIR
output <- array(dim=c(nstep+1,4)) #set up array to store results
colnames(output) <- c("time","X","Y","Z") #name variables
output[1,] <- x #first record of output is initial condition
for (k in 1:nstep) { #iterate for nstep steps
output[k+1,] <- x <- SIR.onestep(x,params)
}
output #return output
}
```

Finally, we write a code that calls `SIR.model`

to simulate epidemics

```
set.seed(38499583) #set seed
nsims <- 10 #number of simulations
pop.size <- 10000 #total population size
Y0 <- 50 #initial number infected
X0 <- round(0.98*pop.size) #initial number suscepitlble (~98% of population)
nstep <- 16000 #number of events to simulate
xstart <- c(time=0,X=X0,Y=Y0,Z=pop.size-X0-Y0) #initial conditions
params <- list(mu=0.00001,beta=60,gamma=365/13) #parameters
data <- vector(mode='list',length=nsims) #initialize list to store the output
for (k in 1:nsims) { #simulate nsims times
data[[k]] <- as.data.frame(SIR.model(xstart,params,nstep))
data[[k]]$cum.time <- cumsum(data[[k]]$time)
}
max.time<-data[[1]]$cum.time[max(which(data[[1]]$Y>0))] #maximum time in first simulation
max.y<-1.8*max(data[[1]]$Y) #find max infected in run 1 and increase by 80% for plot
plot(Y~cum.time,data=data[[1]],xlab='Time',ylab='Incidence',col=1,xlim=c(0,max.time),ylim=c(0,max.y), type='l', axes=FALSE)
box()
axis(2, cex.axis=0.8, las=2)
for (k in 1:nsims) { #add multiple epidemics to plot
lines(Y~cum.time,data=data[[k]],col=k,type='l')
}
```

- Extinction
- The J to U transition