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

DOI10.1007/S11222-018-9835-1MaRDI QIDQ2329796zbMATH OpenOpenAlexWikidataFDO

Authors Mike 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

multilevel Monte Carlonested expectationsuncertainty quantificationvalue of information

Mathematics Subject Classification ID

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

Abstract: 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 involved in a decision model. The calculation of EVPPI is inherently a nested expectation problem, with an outer expectation with respect to one random variable $X$ and an inner conditional expectation with respect to the other random variable $Y$. We tackle this problem by using a Multilevel Monte Carlo (MLMC) method (Giles 2008) in which the number of inner samples for $Y$ increases geometrically with level, so that the accuracy of estimating the inner conditional expectation improves and the cost also increases with level. We construct an antithetic MLMC estimator and provide sufficient assumptions on a decision model under which the antithetic property of the estimator is well exploited, and consequently a root-mean-square accuracy of $varepsilon$ can be achieved at a cost of $O(varepsilo{n}^{-2})$. Numerical results confirm the considerable computational savings compared to the standard, nested Monte Carlo method for some simple testcases and a more realistic medical application.

Recommendations

• Multilevel Monte Carlo estimation of the expected value of sample information
• Multilevel Monte Carlo estimation of expected information gains
• Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
• An introduction to multilevel Monte Carlo methods
• Multilevel Monte Carlo Metamodeling

Cites work

• A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
• Efficient risk estimation via nested sequential simulation
• scientific article; zbMATH DE number 2000348 (Why is no real title available?)
• scientific article; zbMATH DE number 3400258 (Why is no real title available?)
• Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo Path Simulation
• Multilevel nested simulation for efficient risk estimation
• Multilevel quasi-Monte Carlo path simulation
• Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
• Unbiased estimation with square root convergence for SDE models

Cited in

(17)

• Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
• Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
• 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 estimation of expected information gains
• MLMC for nested expectations
• Unbiased MLMC stochastic gradient-based optimization of Bayesian experimental designs
• Unbiased MLMC-based variational Bayes for likelihood-free inference
• Multilevel Monte Carlo estimation of the expected value of sample information
• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Unbiased optimal stopping via the MUSE
• Efficient estimation of expected information gain in Bayesian experimental design with multi-index Monte Carlo
• Monte Carlo method in stock trading research based on accelerated diffusion theory with jumps
• MLMC techniques for discontinuous functions
• Laplace-based strategies for Bayesian optimal experimental design with nuisance uncertainty
• Leveraging nested MLMC for sequential neural posterior estimation with intractable likelihoods
• Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations

This page was built for publication: Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2329796)