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Gillespie algorithm
In probability theory, the Gillespie algorithm (or occasionally the Doob-Gillespie algorithm) generates a statistically correct trajectory (possible solution) of a stochastic equation. It was created by Joseph L. Doob and others (circa 1945), presented by Dan Gillespie in 1976, and popularized in 1977 in a paper where he uses it to simulate chemical or biochemical systems of reactions efficiently and accurately using limited computational power (see stochastic simulation). As computers have become faster, the algorithm has been used to simulate increasingly complex systems. The algorithm is particularly useful for simulating reactions within cells where the number of reagents typically number in the tens of molecules (or less). Mathematically, it is a variety of a dynamic Monte Carlo method and similar to the kinetic Monte Carlo methods. It is used heavily in computational systems biology .
== History ==
The process that lead to the algorithm recognizes several important steps. In 1931, Andrei Kolmogorov introduced the differential equations corresponding to the time-evolution of stochastic processes that proceed by jumps, today known as Kolmogorov equations (Markov jump process) (a simplified version is known as master equation in the natural sciences). It was William Feller, in 1940, who found the conditions under which the Kolmogorov equations admitted (proper) probabilities as solutions. In his Theorem I (1940 work) he establishes that the time-to-the-next-jump was exponentially distributed and the probability of the next event is proportional to the rate. As such, he established the relation of Kolmogorov's equations with stochastic processes.
Later, Doob (1942, 1945) extended Feller's solutions beyond the case of pure-jump processes. The method was implemented in computers by David George Kendall (1950) using the Manchester Mark 1 computer and later used by Maurice S. Bartlett (1953) in his studies of epidemics outbreaks. Gillespie (1977) obtains the algorithm in a different manner by making use of a physical argument.
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