Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI

DOI10.1007/s11222-018-9835-1zbMath1430.62027arXiv1708.05531OpenAlexW2746261129WikidataQ129187546 ScholiaQ129187546MaRDI QIDQ2329796

Michael B. Giles, Takashi Goda

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.05531

zbMATH Keywords

value of informationuncertainty quantificationmultilevel Monte Carlonested expectations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10) Admissibility in statistical decision theory (62C15)

Related Items (11)

Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference ⋮ Unbiased optimal stopping via the MUSE ⋮ MLMC for Nested Expectations ⋮ Multilevel Monte Carlo Estimation of the Expected Value of Sample Information ⋮ Multilevel Monte Carlo estimation of expected information gains ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ Antithetic multilevel sampling method for nonlinear functionals of measure ⋮ Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations ⋮ Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables ⋮ Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs

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