Multilevel Monte Carlo estimation of the expected value of sample information

18 Aug 2020 Hironaka Tomohiko Giles Michael B. Goda Takashi Thom Howard

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 an outer expectation is taken with respect to one random variable $Y$ and an inner conditional expectation with respect to the other random variable $\theta$... (read more)

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  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS