Related papers: Unbiased Monte Carlo estimation for the expected v…
In this paper we develop a very efficient approach to the Monte Carlo estimation of the expected value of partial perfect information (EVPPI) that measures the average benefit of knowing the value of a subset of uncertain parameters…
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under uncertainty. EVSI is defined as a nested expectation in which…
The Expected Value of Perfect Partial Information (EVPPI) is a decision-theoretic measure of the "cost" of parametric uncertainty in decision making used principally in health economic decision making. Despite this decision-theoretic…
Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a…
The expected value of information (EVI) is the most powerful measure of sensitivity to uncertainty in a decision model: it measures the potential of information to improve the decision, and hence measures the expected value of outcome.…
Over recent years Value of Information analysis has become more widespread in health-economic evaluations, specifically as a tool to perform Probabilistic Sensitivity Analysis. This is largely due to methodological advancements allowing for…
Background: Due to the finite size of the development sample, predicted probabilities from a risk prediction model are inevitably uncertain. We apply Value of Information methodology to evaluate the decision-theoretic implications of…
Investing efficiently in future research to improve policy decisions is an important goal. Expected Value of Sample Information (EVSI) can be used to select the specific design and sample size of a proposed study by assessing the benefit of…
In this paper we propose an efficient stochastic optimization algorithm to search for Bayesian experimental designs such that the expected information gain is maximized. The gradient of the expected information gain with respect to…
Motivated by various computational applications, we investigate the problem of estimating nested expectations. Building upon recent work by the authors, we propose a novel Monte Carlo estimator for nested expectations, inspired by sparse…
Constructing unbiased estimators from Markov chain Monte Carlo (MCMC) outputs is a difficult problem that has recently received a lot of attention in the statistics and machine learning communities. However, the current unbiased MCMC…
The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest $\theta$ is reduced on average by collecting relevant…
We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance under mild regularity conditions. We apply our estimators to…
The Expected Value of Sample Information (EVSI) is used to calculate the economic value of a new research strategy. While this value would be important to both researchers and funders, there are very few practical applications of the EVSI.…
Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call $1\frac{1}{2}$-level simulation since the…
Due to the potential benefits of parallelization, designing unbiased Monte Carlo estimators, primarily in the setting of randomized multilevel Monte Carlo, has recently become very popular in operations research and computational…
Background. The Expected Value of Sample Information (EVSI) measures the expected benefits that could be obtained by collecting additional data. Estimating EVSI using the traditional nested Monte Carlo method is computationally expensive…
We introduce a new class of Monte Carlo based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from the discretized versions of these laws can typically…
We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random…
Multilevel Monte Carlo (MLMC) and unbiased estimators recently proposed by McLeish (Monte Carlo Methods Appl., 2011) and Rhee and Glynn (Oper. Res., 2015) are closely related. This connection is elaborated by presenting a new general class…