# The Linear Noise Approximation for Spatially Dependent Biochemical Networks

## Abstract

An algorithm for computing the linear noise approximation (LNA) of the reaction–diffusion master equation (RDME) is developed and tested. The RDME is often used as a model for biochemical reaction networks. The LNA is derived for a general discretization of the spatial domain of the problem. If *M* is the number of chemical species in the network and *N* is the number of nodes in the discretization in space, then the computational work to determine approximations of the mean and the covariances of the probability distributions is proportional to \(M^2N^2\) in a straightforward implementation. In our LNA algorithm, the work is proportional to \(M^2N\). Since *N* usually is larger than *M*, this is a significant reduction. The accuracy of the approximation in the algorithm is estimated analytically and evaluated in numerical experiments.

## Keywords

Linear noise approximation Spatially dependent Fast algorithm## Mathematics Subject Classification

60J60 65C40 92C45## 1 Introduction

Many biochemical networks are modeled by ordinary or partial differential equations at a macroscopic level of fidelity. Such continuous models may not be sufficiently accurate when the number of molecules involved in the chemical reactions is small. This is often the case in molecular cell biology (Elowitz et al. 2002; McAdams and Arkin 1997; Raj and van Oudenaarden 2008; Tsimring 2014). Chemical reactions are then best described as random events, and the discrete number of molecules is important when the copy numbers are low at a mesoscopic level of modeling. The macroscopic equation for the mean values is often satisfactory when the number of molecules is large. Analytical solutions to the governing macroscopic or mesoscopic equations can be obtained only for special systems. Computational methods are needed for quantitative information about the behavior of the systems.

The master equation (ME) or Kolmogorov forward equation is an equation for the time evolution of the probability density function (PDF) for the copy numbers of different species in systems with an intrinsic noise (Gardiner 2004; Gillespie 1992; van Kampen 2004). The systems are modeled as Markov processes with discrete states defined by the copy numbers of the chemical species in continuous time. The particular ME for spatially homogeneous, well-stirred problems in chemistry is the chemical master equation (CME) where reactions between two molecules occur with a propensity that depends on the copy numbers of the species. The ME is generalized in the reaction–diffusion master equation (RDME) to spatially heterogeneous chemical systems by introducing a discretization of the reaction volume into compartments or voxels (Gillespie et al. 2014; Gillespie and Seitaridou 2013). The state is then given by the copy numbers in each one of the voxels.

The computational work and the storage requirements to solve the RDME grows exponentially in the number of species and the number of voxels making the simulation of biochemical systems with the ME prohibitive except for very small systems. Analytical solutions are known only for limited classes of problems such as those with linear propensities. Instead, sample trajectories of well-stirred systems are generated by Gillespie’s stochastic simulation algorithm (SSA) (Gillespie 1976, 1977). The original algorithm has been improved in many ways, e.g., for efficiency (Cao et al. 2006; Gibson and Bruck 2000; Gillespie 2001) and for systems with slow and fast reactions (Cao et al. 2005; E et al. 2007). The Gillespie algorithm is generalized to problems with spatial variation due to diffusion in Elf and Ehrenberg (2004), Engblom et al. (2009), Isaacson and Peskin (2006), Lampoudi et al. (2009) and implemented in software (Drawert et al. 2012, 2016; Hattne et al. 2005). The computational effort may be quite large to simulate a system with many chemical species, many molecules, and many voxels, since many realizations of the process are required in a Monte Carlo method like SSA due to slow convergence to the mean and other moments of the distribution. An introduction and an overview of Markov models of chemical reactions are found in Goutsias and Jenkinson (2013). Recent reviews of computational methods at different levels of modeling are Engblom et al. (2017), Gillespie et al. (2013), Mahmutovic et al. (2012) and Sokolowski et al. (2017).

There are ways to approximate the solutions to the CME with deterministic equations. The *linear noise approximation* (LNA) is obtained from the CME by deriving the equations for the moments and then expanding the solution in a large parameter \(\Omega \), representing the size of the chemical system (van Kampen 1976, 2004). The means and covariances in LNA are exact for chemical systems with at most first-order reactions where the propensities are constants or linear in the copy numbers. The first and second moments are exact also for other systems with a special structure (Grima 2015). Different modifications have been proposed to improve the accuracy of LNA, see, e.g., Ferm et al. (2008), Grima (2012). Some of the improvements are compared experimentally in examples in Schnoerr et al. (2015). The LNA and similar approximations are used to quickly study biochemical networks in, e.g., Elf and Ehrenberg (2003), Thomas et al. (2013), Ullah and Wolkenhauer (2009) and more recently as a surrogate model to infer parameters in biochemical models from data in Fearnhead et al. (2014), Fröhlich et al. (2016), Ruttor and Opper (2009), Stathopoulos and Girolami (2013). A review of LNA and related methods and their use for inference are found in Schnoerr et al. (2017).

An alternative to the LNA is the EMRE approximation in Grima (2010) extended to spatial problems in Smith et al. (2017). The covariances satisfy the same Lyapunov equation as we derive here. The spatial EMRE algorithm is applied to gene regulation in a cell and to reactions in a aggregation of cells in two space dimensions in Smith et al. (2017). More compartments than one are also found in Challenger et al. (2012). The equations of LNA with spatial variation are derived in Scott et al. (2010) and applied to the modeling of spatial patterns. The equation for the covariances is replaced by an equation for the factorial cumulant. Equations similar to the LNA for spatial problems are used in Butler and Goldenfeld (2009), Anna et al. (2010) to investigate oscillatory systems. Turing patterns are studied in Asllani et al. (2013), Biancalani et al. (2010), McKane et al. (2014), Woolley et al. (2011) with a spatially extended LNA.

Diffusive effects are important for the fidelity of models when the chemical reactions are localized in space in a cell and when the molecular transport is slow compared to the reactions. Some examples where the spatial effects are crucial are found in Fange and Elf (2006), Sturrock et al. (2013), Takahashi et al. (2010). The LNA is a level of modeling suitable for such systems, e.g., to infer parameters for the diffusion and the reactions from measurements, at least in the beginning of the iterative search process for the parameters, thanks to the relative simplicity of LNA.

In this paper, we develop a fast algorithm for computing approximations of the mean and the covariance of the PDF solving the RDME based on the LNA for spatial problems with reactions and diffusion. The equation for the expected values is a system of reaction–diffusion equations, and the equation for the covariances is a time-dependent Lyapunov equation with a source term localized in space. Let *M* be the number of chemical species and *N* the number of voxels. The structure of the covariance equations is utilized to compute an approximation of the covariance and to reduce the computational work and the memory requirements from being proportional to \(M^2N^2\) in a straightforward implementation to \(M^2N\) in our algorithm. Since *N* usually is larger than *M*, this is a substantial reduction. A bound on the deviation of the true covariance from our approximation is proved in a theorem. The accuracy of the covariance approximation is demonstrated in numerical examples in one, two, and three dimensions (1D, 2D, and 3D).

In the next section, the RDME is given and a splitting of the operator is introduced. The equations of the LNA for spatially heterogeneous chemical systems are derived for general shapes of the voxels in Sect. 3. A continuous approximation of the equation for the covariances is analyzed in Sect. 4. The algorithm is presented in Sect. 5 for computation of the mean and the covariance. Numerical results are found in Sect. 6. Finally, some conclusions are drawn.

The notation in the paper is as follows. The *i*th element of a vector \(\mathbf v\) is denoted by \(v_i\). The *j*th column of an array \(\mathbf {x}\) with elements \(x_{ij}\) is written as \(\mathbf {x}_{\cdot j}\), and \(\mathbf {x}_{i \cdot }\) is the *i*th row. The derivative of \(v_i(\mathbf {x})\) with respect to \(x_j\) is denoted by \(v_{i,j}\). The time derivative \(\partial p/\partial t\) of \(p(\mathbf {x}, t)\) is written as \(\partial _tp\), and \(\dot{q}\) is a shorter notation for \(\mathrm{d}q/\mathrm{d}t\). The Euclidean vector norm is denoted by \(\Vert \mathbf v\Vert =\sqrt{\sum _{i}v_i^2}\) and the subordinate spectral norm for a matrix \(\mathbf {A}\) is \(\Vert \mathbf {A}\Vert \). The set of integer numbers is written as \(\mathbb {Z}\), and \(\mathbb {Z}_+\) denotes the nonnegative integer numbers. In the same manner, \(\mathbb {R}\) denotes the real numbers and \(\mathbb {R}_+\) is the nonnegative real numbers.

## 2 The Master Equation

*M*chemically active species. The system evolves on a line (1D), in an area (2D), or a volume (3D) \(\mathcal {V}\) which is partitioned into

*N*voxels (or compartments) \(\mathcal {V}_j\) such that they cover \(\mathcal {V}\), \(\mathcal {V}=\bigcup _{j=1}^N \mathcal {V}_j\), and are non-overlapping, \(\mathcal {V}_j\bigcap \mathcal {V}_k=\emptyset ,\; j\ne k\). The voxels are defined by a computational mesh constructed for numerical discretization of partial differential equations, see Fig. 1. The size of a voxel is \(V_i=|\mathcal {V}_i|\), and the diagonal matrix \(\mathbf V\) has the elements \(V_i\) in the diagonal. Each voxel has a node in the center with coordinates \(\mathbf {x}\in \mathbb R^d,\; d=1,2,3\) and the nodes are connected by edges. The molecular copy number of species

*i*in voxel

*j*is a random integer \(Y_{ij}\). The state of the system is time dependent and is given by \(\mathbf {y}(t)\) which is an array of nonnegative integers, \(\mathbf {y}\in \mathbb Z_+^{M\times N}\). The state changes randomly with reactions between the species in a voxel and with diffusive jumps of the molecules between the voxels.

*t*(Gardiner 2004; van Kampen 2004). The state changes at discrete time points after a chemical reaction in a voxel. If \(\tilde{\mathbf {y}}\) is the state before the reaction and \(\mathbf {y}\) is the state immediately after the reaction

*r*, then the change in state in \(\mathcal {V}_j\) can be written as

*R*different reactions, the CME for \(p(\mathbf {y}, t)\) is

*i*in \(\mathcal {V}_j\) jumps to \(\mathcal {V}_k\) with propensity \(q_{jk}\tilde{y}_{ij}\)

*j*in \(\mathcal {V}_j\) and node

*k*in \(\mathcal {V}_k \), then \(q_{jk}> 0\).

*d*dimensions is

*i*satisfies after discretization

*j*by an edge. It is shown in Engblom et al. (2009) that

*i*.

*L*points in each coordinate direction, i.e., \(y_{ij}\in [0,1,\ldots ,L]\). Then, the lattice size for \(\mathbf {y}\) is \(L^{MN}\). A simplification is possible by first splitting the operator \(\mathcal {M}+ \mathcal {D}\) into two parts (Hellander et al. 2014; MacNamara and Strang 2016; Strang 1968). Suppose that the solution is known at \(t^n\). A timestep \(\Delta t\) is chosen, and then, the reaction part (2) is integrated from \(t^n\) to \(t^{n+1}=t^n+\Delta t\) followed by integration of the diffusion part (4) in

*p*at \(t^{n+1}\) is of \({\mathcal O}(\Delta t)\) in (10). Second-order accuracy is obtained by evaluating the reaction equation at half the step at \(t^{n+1/2}=t^{n}+0.5\Delta t\), then solving the diffusion Eq. (4) for a full step, and finally taking half a step with (2) (Strang 1968)

*N*separate solutions of the CME can be computed

*N*times on a lattice of size \(L^M\). This is smaller than the lattice for the full problem but may still be prohibitively large for numerical solution.

*M*separate equations for the diffusion of the species when \(t\ge t^n\) and \(p(\mathbf {y}_{i\cdot }, t^n)\) is known

*p*, see Jahnke and Huisinga (2007), but in practice they are not so useful due to the size \(L^N\) of the lattice.

## 3 Linear Noise Approximation

*M*and

*N*instead of exponential as in (5), (14), and (16).

### 3.1 The Mean Value Equation

*i*in voxel

*j*with a PDF satisfying the master Eq. (2). Multiply (2) by \(y_{ij}\) and sum over \(\mathbb Z^N_+\). Then, \(m_{ij}\) satisfies the equation (Ferm et al. 2008; van Kampen 2004)

### 3.2 The Linear Noise Approximation

*k*is split into a deterministic part \(\varvec{\mu }_{\cdot k}\) and a random part \(\varvec{\eta }\) by van Kampen in van Kampen (1976, 2004) for the chemical reactions. The random term is assumed to be proportional to \(\Omega ^{-1/2}\). The relation between the copy numbers \(\mathbf {y}_{\cdot k}\), the scaled copy numbers \(\mathbf {z}_{\cdot k}\), the fluctuations \(\varvec{\eta }\), and the fluctuations in the concentrations \(\varvec{\psi }=V_k^{-1}\varvec{\eta }\) in \(\mathcal {V}_k\) is

*p*in (23) by \(\Pi \) in

*linear noise approximation*(LNA) for the scaled copy numbers subject to chemical reactions in \(\mathcal {V}_k\).

*M*in the CMEs (14) for all

*N*voxels. The matrix \(\varvec{\Sigma }\) for the covariance between the species

*i*and

*j*in \(\mathcal {V}_k\) is the solution of

*M*nonlinear ODEs to solve in (20) for \(\varvec{\mu }_{\cdot k}\) in every voxel \(\mathcal {V}_k\). The covariance matrix \(\varvec{\Sigma }\) is symmetric, and we have to solve \((M+1)M/2\) linear ODEs in (27) and (29). The structure of this equation is the same also for other approximations of the CME, e.g., EMRE in Smith et al. (2017). The accuracy of mean value Eq. (20) is improved in Ferm et al. (2008) by adding a term which is linear in the covariance.

### 3.3 The Diffusion Equation

The notation is simplified if we assume here that there is only one species, \(M=1\), but many voxels, \(N>1\). If \(M>1\), then the diffusion of the other species is treated separately in the same manner, see (16). In diffusion master Eq. (16), the propensity to jump from voxel *k* to *j* is linear in \(\mathbf {y}\in \mathbb Z_+^N\) with \(w_r(\mathbf {y})=q_{kj}y_{k}\) and \(v_r(\mathbf {z})=q_{kj}z_{k}\). The linearity implies that there are explicit expressions for the mean value equations, \(\nu _{i,k}\) in (27), and \(W_{ij}\) in (25).

*i*and

*j*depends on \(\nu _{j,k}\) and \(W_{ij}\) in (25). The derivative \(\nu _{i,k}\) in (27) and (29) is by (8) and (9)

*k*to

*i*and \(n_{ri}=-1\) for all jumps from

*i*to every

*j*connected to node

*i*by an edge \(e_{ij}\). Let \(\mathcal {E}\) be the set of all edges in the mesh. The state change vector on edge \(e_{ij}\) for a jump from

*i*to

*j*is \(\mathbf n_{ij}\) with the nonzero components \(n_{ij;i}=-1\) and \(n_{ij;j}=1\). The contribution to \(\mathbf W\) in (27) from \(e_{ij}\) jumps in two directions: \(i\rightarrow j\) and \(j\rightarrow i\). Hence, for all edges

*k*, \(\mathbf {U}_{k \cdot }\), is \(\Omega ^{-1}\varvec{\Xi }\) and \(\mathbf {U}_{k \cdot }\sim \mathcal {N}(\mathbf {u}_{k \cdot }, \Omega ^{-1}\varvec{\Xi })\).

*k*follows from (28)

*V*. On such a mesh, \(D_{ij}\propto \Delta x^{-2}\) and \(u_iD_{ij}V_j^{-1}\) is approximated here by a continuous function \(u(\mathbf {x}_1, t)\varphi (r_{ij})\) with

## 4 Analysis of the Covariance Equation

A property of the continuous approximation \(\Xi (\mathbf {x}_1, \mathbf {x}_2, t)\) of the covariance in (43) is derived in this section. We show that \(\Xi \) decays exponentially when \(\Vert \mathbf {x}_1-\mathbf {x}_2\Vert \) grows, indicating that the discrete variance \(\Xi _{ij}\) in (39) is small when \(\Vert \mathbf {x}_{1i}-\mathbf {x}_{2j}\Vert > \Delta x\).

*d*dimensions (Evans 2010; Stakgold 2000), the solution of (46) can be written as a sum of two integrals depending on the initial data and the source term

The assumptions and conclusions are summarized in a theorem:

### Theorem 1

The function \(f_d\) depends on the dimension *d* and is 0 at \(t=0\). The first term in (56) is proportional to \(C_u/V=\sup u/V\) since \(\sigma \propto \Delta x\). The solution in (56) decays exponentially in \(\Vert \varvec{\xi }_1\Vert =\frac{1}{\sqrt{2}}\Vert \mathbf {x}_1-\mathbf {x}_2\Vert \) for a fixed *t* in all dimensions and is small when \(\Vert \varvec{\xi }_1\Vert >\sigma \propto \Delta x\). For a given \(\varvec{\xi }_1\), the first term in (56) increases slowly with *t* in 1 and 2 dimensions and is bounded by \(C_u\sigma ^2/\Delta x^2V(d-2)\) when \(d\ge 3\). The second term in (56) decreases when \(t\ge 0.5\Vert \varvec{\xi }_1\Vert ^2-0.25\chi ^2\) for \(d=1\) and for all \(t\ge 0\) when \(d\ge 2\).

Our bounded domain \(\mathcal {V}\) for \(\mathbf {x}_1\) and \(\mathbf {x}_2\) has a boundary that is not taken into account in (56). The bound on \(\Xi \) is a good estimate when the main part of the solution is away from the boundary, e.g., when *t* is not too large and \(u(\mathbf {x}, t)\) is nonzero only in the middle of \(\mathcal {V}\).

Since (43) is a continuous approximation of (39) we expect the discrete variance \(\Xi _{ij}\) to behave in a similar way and be negligible when the nodes *i* and *j* are not neighbors and not directly connected by an edge in the mesh. This property will be exploited in the algorithm in the next section.

## 5 Algorithm

The algorithm to compute the solution to the LNA for both reactions and diffusion is based on the operator splitting in Sect. 2, the derivations in Sects. 3.2 and 3.3, and Theorem 1 in Sect. 4.

*i*in voxel

*k*with

*MN*components

*i*and

*j*in voxels

*k*and

*l*is written as \({\Xi }_{ij;kl}\) and has \(M^2N^2\) components. The equation satisfied by the covariance is obtained from (29) and (39)

The equations for the mean and the covariance (58) and (59) are solved by splitting the operator on the right-hand side and advancing the solution one timestep from \(t^n\) to \(t^{n+1}=t^n+\Delta t\) as in (10) with \(u_{ik}(t^n)\) and \(\Xi _{ij;kl}(t^n)\) as initial data, cf. (10). The algorithm is

### Algorithm 1

- 1.$$\begin{aligned} \dot{\tilde{u}}_{ik}=V_k^{-1}\nu _i(V_k\tilde{\mathbf {u}}_{\cdot k}),\quad t\in [t^n, t^{n+1}], \quad \tilde{u}_{ik}(t^n)=u_{ik}(t^n) \end{aligned}$$(60)
- 2.$$\begin{aligned} \dot{\tilde{\Xi }}_{ij;kk}= & {} \sum _{\alpha =1}^M\nu _{i,\alpha }\tilde{\Xi }_{\alpha j;kk}+\sum _{\alpha =1}^M\nu _{j,\alpha }\tilde{\Xi }_{\alpha i;kk}+V_k^{-2}W_{ij}(V_k\tilde{\mathbf {u}}_{\cdot k}),\nonumber \\&t\in [t^n, t^{n+1}],\quad \tilde{\Xi }_{ij;kk}(t^n)=\Xi _{ij;kk}(t^{n}) \end{aligned}$$(61)
- 3.$$\begin{aligned} \dot{\tilde{\Xi }}_{ij;kl}= & {} \sum _{\alpha =1}^M\nu _{i,\alpha }\tilde{\Xi }_{\alpha j;kl}+\sum _{\alpha =1}^M\nu _{j,\alpha }\tilde{\Xi }_{\alpha i;kl},\quad k\ne l,\nonumber \\&t\in [t^n, t^{n+1}],\quad \tilde{\Xi }_{ij;kl}(t^n)={\Xi }_{ij;kl}(t^{n}) \end{aligned}$$(62)
- 4.$$\begin{aligned} \dot{u}_{ik}=\sum _{\beta =1}^ND_{k\beta }u_{i\beta },\quad t\in [t^n, t^{n+1}], \quad u_{ik}(t^n)=\tilde{u}_{ik}(t^{n+1}) \end{aligned}$$(63)
- 5.$$\begin{aligned} \dot{\Xi }_{ii;kl}= & {} \sum _{\beta =1}^N D_{k \beta }\Xi _{ii;\beta l} +\sum _{\beta =1}^N D_{l \beta }\Xi _{ii; \beta k}-\left( {u}_{ik}D_{kl}V^{-1}_l+{u}_{il}D_{lk}V^{-1}_k\right) ,\nonumber \\&t\in [t^n, t^{n+1}],\quad \Xi _{ii;kl}(t^n)=\tilde{\Xi }_{ii;kl}(t^{n+1}) \end{aligned}$$(64)
- 6.$$\begin{aligned} \dot{\Xi }_{ij;kl}= & {} \sum _{\beta =1}^N D_{k \beta }\Xi _{ij;\beta l} +\sum _{\beta =1}^N D_{l \beta }\Xi _{ij; \beta k},\quad i\ne j,\nonumber \\&t\in [t^n, t^{n+1}],\quad \Xi _{ij;kl}(t^n)=\tilde{\Xi }_{ij;kl}(t^{n+1}) \end{aligned}$$(65)

The discretization error in \(u_{ik}(t^{n+1})\) and \(\Xi _{ij;kl}(t^{n+1})\) will be of \({\mathcal O}(\Delta t)\). The ODEs in steps 1, 2 and 3 update *u* and \(\Xi \) in a voxel (steps 1, 2) and \(\Xi \) between two adjacent voxels (step 3) due to the reactions as in step 1 of (10) and (14). In the ODEs in steps 4, 5 and 6, *u* and \(\Xi \) change due to diffusion between voxels without any influence of the other species as in step 2 of (10) and (16). A more accurate splitting than in Algorithm 1 with an error of \({\mathcal O}(\Delta t^2)\) is possible in the same manner as in (11).

It follows from Theorem 1 that if \(\Xi _{ij;kl}(t^{n})\) decays rapidly when the nodes \(\mathbf {x}_k\) and \(\mathbf {x}_l\) are separated then this property is preserved in \(\tilde{\Xi }_{ij;kl}(t^{n+1})\) where \(C_u> 0\) in (56) in step 2 and \(C_u=0\) without the source term in step 3. Using the same arguments in steps 5 and 6, we find that if \(\Xi _{ij;kl}(t^{n})\) decays rapidly when \(\Vert \mathbf {x}_k-\mathbf {x}_l\Vert \) increases, then after one timestep \(\Xi _{ij;kl}(t^{n+1})\) also decays rapidly in \(\Vert \mathbf {x}_k-\mathbf {x}_l\Vert \).

Supported by the analysis in Sect. 4, we assume that \(\Xi _{ij;kl}\) is negligible when node *l* and node *k* are not neighbors, \(l \notin \mathcal {J}(k)\), and we let \(\hat{\Xi }_{ij;kl}=0\) in a sparse approximation of \({\Xi }_{ij;kl}\). Then, only elements of \(\Xi _{ij;kl}\) when \(k=l\) and \(l\in \mathcal {J}(k)\) need to be stored and updated in \(\hat{\Xi }_{ij;kl}\) by Algorithm 1. The sparsity (or nonzero) pattern of \(\hat{\Xi }_{ij;kl}\) for each pair *i*, *j* is the same as that of \(\mathbf {S}\) and \(\mathbf {D}\) in (8) since \(S_{kl}\) and \(D_{kl}\) are nonzero only on the diagonal and if nodes the *k* and *l* are neighbors connected by an edge in the mesh and \(l\in \mathcal {J}(k)\). Moreover, \(\Xi _{ij;kl}\) is symmetric in both *i* and *j* and *k* and *l*. With *M* different species and *N* voxels, \(\Xi _{ij;kl}\) in general has \(\frac{1}{2}MN(MN+1)\) different elements but \(\hat{\Xi }_{ij;kl}\) has only \(C_{d}M^2N\) nonzero elements that are necessary to store taking the symmetry into account. The coefficient \(C_{d}\) depends on the dimension and the structure of the mesh. In a Cartesian mesh, \(C_{d}=2 (1D), 3 (2D),\) or 4(3*D*) and in an unstructured mesh \(C_{d}=2\) in 1D but \(C_{d}\) depends on the particular mesh in 2D and 3D. The mean value vectors \(\mathbf {u}\) and \(\tilde{\mathbf {u}}\) have the dimension *MN*.

In order to estimate the computational work in the steps of the algorithm, we assume that \(\nu _i\) depends on a limited number of \(u_{jk}\) independent of *M*. Then, there are also a limited number of derivatives \(\nu _{i,j}\) different from zero and independent of *M*. Thus, the work to compute the right-hand side (RHS) in step 1 in (60) is independent of *M* and *N* and it is computed once for every species *i* and voxel *k*, i.e., *MN* times. Since there are a limited number of nonzeros in \(\nu _{i,\alpha }\), the sums and \(\mathbf W\) in step 2 in (61) are computed independently of *M* and *N*. Hence, the work is proportional to \(M^2N\) for the covariances between the species in every voxel. In step 3 in (62), \(M^2\) covariances are computed for every combination of voxels *k* and *l* where \(\tilde{\Xi }\) is nonzero. This is the case when *k* and *l* are neighbors and each *k* has a limited number of neighbors. This number is independent of *N*. Therefore, the work to compute the full RHS in step 3 is of \({\mathcal O}(M^2N)\). The number of \(D_{k\beta }\ne 0\) in the RHS in step 4 in (63) is independent of *N* according to the previous paragraph. The work to determine all derivatives of \(u_{ik}\) is then proportional to *MN*. For \(\Xi _{ii;kl}\) to be nonzero in step 5 in (64), voxels *k* and *l* are neighbors, \(l\in \mathcal {J}(k)\). Furthermore, the products in the sums are nonzero only if \(\beta \in \mathcal {J}(k)\cap \mathcal {J}(l)\). The work to calculate the sums is independent of *N*, and the RHS is computed \({\mathcal O}(MN)\) times. In the same manner, the RHS in step 6 in (65) is computed \({\mathcal O}(M^2N)\) times. The conclusion is that the work to determine the RHS in the ODEs for \(u_{ik}\) and \(\hat{\Xi }_{ij;kl}\) in the algorithm has linear complexity in *N* and is proportional to \(M^2N\).

Since there are additional administrative costs in Algorithm 1, the straightforward algorithm ignoring the sparsity of \(\Xi \) will be faster when \(N<N_*\) for some small \(N_*\) which is problem dependent. However, for \(N>N_*\) Algorithm 1 will be the winner and its advantage is greater, the greater the *N* is.

If the diffusion coefficient is different for different species *i*, then \(D_{k\beta }\) and \(D_{l\beta }\) in steps 4, 5 and 6 would depend on *i* but the algorithm and its properties remain the same.

- 1.
Solve the ODE in (60) numerically for the mean values with initial data \(\mathbf {u}(t^n)\) to obtain \(\tilde{\mathbf {u}}(t)\)

- 2.
Solve the ODE in (61) numerically for the covariances between the species in the same voxel

*k*with \(\tilde{\mathbf {u}}\) from step 1 and initial data \(\varvec{\Xi }(t^n)\) to determine \(\tilde{\varvec{\Xi }}_{\cdot \cdot ;kk}(t)\) - 3.
Solve the ODE in (62) numerically for the covariances between the species in different voxels

*k*and*l*satisfying \(l\in \mathcal {J}(k)\) with \(\tilde{\mathbf {u}}\) from step 1 and initial data \(\varvec{\Xi }(t^n)\) to determine \(\tilde{\varvec{\Xi }}_{\cdot \cdot ;kl}(t)\) - 4.
Solve the ODE in (63) numerically for the mean values with initial data \(\tilde{\mathbf {u}}(t^{n+1})\) from (60) to obtain \({\mathbf {u}}(t)\) and \({\mathbf {u}}(t^{n+1})\)

- 5.
Solve the ODE in (64) numerically for the covariances between voxels

*k*and*l*satisfying \(l\in \mathcal {J}(k)\) for the same species*i*with \({\mathbf {u}}\) from step 4 and initial data \(\tilde{\varvec{\Xi }}(t^{n+1})\) from steps 2 and 3 to determine \(\varvec{\Xi }_{ii;\cdot \cdot }(t^{n+1})\) - 6.
Solve the ODE in (65) numerically for the covariances between voxels

*k*and*l*satisfying \(l\in \mathcal {J}(k)\) for different species*i*and*j*with \({\mathbf {u}}\) from step 4 and initial data \(\tilde{\varvec{\Xi }}(t^{n+1})\) from steps 2 and 3 to determine \({\varvec{\Xi }}_{ij;\cdot \cdot }(t^{n+1})\)

Theorem 1 and numerical experiments in Sect. 6.1 indicate that the accuracy in \(\hat{\Xi }\) increases when the dimension grows. By storing and updating only the sparse approximation in steps 3, 5 and 6 in Algorithm 1, considerable savings are possible in computing time and computer memory when *N* is large, e.g., in 3D.

### 5.1 Example

*A*,

*B*, and

*C*

*j*and propensities and state change vectors

*N*, \(\mathbf {J}\), and \(\mathbf W\) in (70)

## 6 Numerical Results

The algorithm is tested for computing the mean and the approximation of the covariance in the LNA of systems with diffusion in 1D, 2D, and 3D and a system in 2D with the reversible reaction (66).

### 6.1 Diffusion

A Cartesian grid in *d* dimensions is generated with a constant step size \(\Delta x\) and a diffusion coefficient \(\gamma =0.01\). The number of dimensions is \(d=1,2,3,\) and the domain is the unit cube \([0, 1]^d\). The number of grid points is \(n=1/\Delta x+1\) in each dimension yielding \(N=n^d\) components in \(\mathbf {u}\). A straightforward implementation of Algorithm 1 in steps 5 and 6 will generate \(N^2\) elements in \(\varvec{\Xi }\). By updating only those elements of \(\varvec{\Xi }\) that correspond to nonzeros in \(\mathbf {D}\) and \(\mathbf {S}\), the number of nonzero elements in the approximation \(\hat{\varvec{\Xi }}\) will be of \({\mathcal O}(N)\).

The initial data \(\mathbf {u}(0)\) are sampled from a uniform distribution \(u_k(0)\sim \mathcal {U}[0, 1]\) and \(\varvec{\Xi }=\mathbf {0}\). The ODEs in (74) and (75) are solved numerically for \(t\ge 0\) by the forward Euler method for simplicity. Then, the RHS in each step of Algorithm 1 is evaluated once requiring a computational work proportional to \(M^2N\) in every timestep from \(t^n\) to \(t^{n+1}\). Better numerical accuracy is achieved by splitting the computations according to Strang (1968) as in (11) and by using a higher-order method. Better numerical stability is obtained by an implicit method.

#### 6.1.1 1D

*t*in Fig. 2.

#### 6.1.2 2D and 3D

In 2D, \(\Xi (\mathbf {x}_1, \mathbf {x}_2, t)\) is computed with the full \(\varvec{\Xi }\) matrix and with the approximation \(\hat{\varvec{\Xi }}\) that has the same sparsity pattern as \(\mathbf {S}\) on a grid with \(\Delta x=0.05\) and \(N=n^2=441\). One row of \(\varvec{\Xi }\) corresponds to one coordinate \(\mathbf {x}_{1k}\) and its covariance with the 2D \(\mathbf {x}_2\). The variance is high at \(\Xi (\mathbf {x}_1, \mathbf {x}_1, t)\), and the covariance \(\Xi (\mathbf {x}_1, \mathbf {x}_2, t)\) is very low when \(\mathbf {x}_1\ne \mathbf {x}_2\). This is depicted in the left panel of Fig. 4 where \(\mathbf {x}_1\) and \(x_{22}\) are fixed and \(x_{21}\) varies in \(\mathbf {x}_2^T=(x_{21}, x_{22})\). The differences in covariance between \(\varvec{\Xi }\) and \(\hat{\varvec{\Xi }}\) are very small and not visible in the figure. Since \(\varvec{\Xi }\) is symmetric, the result is similar in other directions in \(\mathbf {x}_2\) and for other \(\mathbf {x}_1\). The steady-state solution (40) with \(u=0.5\) and \(V=1/400\) is here 200.

The covariance of the fluctuations in concentration between different parts of the domain is well approximated by the sparse \(\hat{\varvec{\Xi }}\), especially in 2D and 3D in Figs. 4 and 6. This is expected from Theorem 1 in Sect. 4 where the decay of \(\Xi (\mathbf {x}_1, \mathbf {x}_2, t)\) is slower in 1D than in 2D and 3D when \(\varvec{\xi }_1=\frac{1}{\sqrt{2}}(\mathbf {x}_1-\mathbf {x}_2)\) is growing.

### 6.2 Reactions and Diffusion in 2D

The time evolution of the chemical reaction (66) on the Cartesian mesh in 2D in Sect. 6.1.2 is computed with the LNA as in the example in Sect. 5.1. The parameters are \(k_a=k_d=0.1\), and the diffusion is low with \(\gamma =0.01\). The dimension of \(\mathbf {u}\) is \(MN=Mn^2=1323\), and the initial values in \(\mathbf {u}(0)\) are uniformly distributed between 0 and 1 and \(\varvec{\Xi }(0)=\mathbf {0}\).

The eigenvalues of the covariances with the full matrix \(\varvec{\Xi }\) and with the sparse matrix \(\hat{\varvec{\Xi }}\) are compared at different *t* in Fig. 7. An approximate stationary solution \(\mathbf {u}_\infty \) is determined at \(t=20\). The convergence of the three subvectors \(\mathbf {u}_{1 \cdot }, \mathbf {u}_{2 \cdot },\) and \(\mathbf {u}_{3 \cdot }\) in (69) corresponding to the concentrations of *A*, *B*, and *C* is displayed in the lower right panel in the figure. The difference between \(\mathbf {u}\) and \(\mathbf {u}_\infty \) is measured in \(\Vert \cdot \Vert \) for the species. In the resolution of the figure, it is not possible to distinguish between the differences in convergence between the species. The balance equation \(k_a \bar{a} \bar{b}=k_d \bar{c}\) is satisfied with a relative error less than 0.008 by the mean values \(\bar{a}, \bar{b},\) and \(\bar{c}\) of the components in \(\mathbf {u}_{i \cdot }(20), \, i=1,2,3\). At \(\infty \), \(\mathbf {u}_{\infty 1 \cdot }, \mathbf {u}_{\infty 2 \cdot },\) and \(\mathbf {u}_{\infty 3 \cdot }\) are constant in space.

The convergence plot in Fig. 7 shows that the variation in the solution is larger for small *t* and decreases with *t*. The covariances \(\varvec{\Xi }\) and \(\hat{\varvec{\Xi }}\) agree well for large eigenvalues for small *t* and they agree well for all eigenvalues when *t* grows. The off-diagonal submatrices \(\varvec{\Xi }_{ij;\cdot \cdot },\; i\ne j,\) in (69) are comparable in size to the diagonal submatrices \(\varvec{\Xi }_{ii;\cdot \cdot }\) when *t* is small but as *t* grows \(\varvec{\Xi }_{ii;\cdot \cdot },\; i=1,2,3,\) will dominate and be closer and closer to diagonal matrices. There is a jump in the spectrum for larger *t*, e.g., at \(t=6\). This is explained by the difference in the size of the stationary values \(\bar{a}, \bar{b},\) and \(\bar{c}\) where \(\bar{a}\approx \bar{b},\) and \(\bar{c}/\bar{a}\approx 0.6\). The approximation in the covariance equation behaves in the same way with reactions as in Sect. 6.1.2 without the reactions.

## 7 Conclusions

The master equation is a model for biochemical reactions and diffusion but the numerical solution of it is impossible except for simple, well-stirred systems with special properties. An alternative for large systems with spatial variation is to use the linear noise approximation (LNA). We have derived the equations for the LNA for diffusion and chemical reactions on general meshes. The reactions involve *M* species, and the mesh consists of *N* voxels. The covariance of the concentrations is approximated by a sparse representation in an algorithm such that the computational complexity is reduced from \({\mathcal O}(M^2 N^2)\) in a straightforward implementation to \({\mathcal O}(M^2 N)\) here. Also the memory to store the solution is reduced in the same way. The approximation is supported by analytical expressions showing that the higher the dimension is, the better the approximation is. Consequently, the quality of the approximation and the savings in work and storage are more prominent in 3D when *N* is large. The accuracy of the approximation is evaluated by comparing the elements and the eigenvalues of the full covariance matrix and its sparse approximation in numerical examples with only diffusion in 1D, 2D, and 3D and an example in 2D with a reversible reaction and slow diffusion.

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