Bayes linear analysis of risks in sequential optimal design problems

DOI10.1214/18-EJS1496MaRDI QIDQ1711561zbMATH OpenOpenAlexWikidataFDO

Authors Peng Zhang

Publication date 18 January 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1544518835

zbMATH Keywords

Bayesian uncertainty analysisdecision supportemulationremote sensingsequential experimental designuncertainty quantification

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Optimal statistical designs (62K05) Sequential statistical design (62L05)

Review text

The main aim of the paper is to develop an approximation framework which provides decision support for the sequential design problem. A procedure is designed to be able to cope with problems that have large numbers of stages, as well as problems in which the system model is an expensive function that may only be evaluated at a handful of parameter settings. The proposed procedure is designed to track uncertainty which is a consequence of approximation, throughout the calculation. It allows the user to make an informed decision about whether to select an experiment subject to these uncertainties, or to carry out further analysis which may reveal more about the risks involved. A similar framework to handle non-sequential design problems for expensive models was proposed by \textit{M. Jones} et al. [J. Stat. Plann. Inference 171, 115--129 (2016; Zbl 1336.62209)].

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Cited in

(5)

• Bayes linear analysis of risks in sequential optimal design problems
• Sequential Bayesian optimal experimental design for structural reliability analysis
• Bayes linear analysis for Bayesian optimal experimental design
• Sequential design of computer experiments for the solution of Bayesian inverse problems
• Selection and calculation of risks in Bayes sequential test method

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