Multilevel Monte Carlo estimation of expected information gains

DOI10.1080/07362994.2019.1705168zbMath1466.65006arXiv1811.07546OpenAlexW3102169081WikidataQ126463502 ScholiaQ126463502MaRDI QIDQ3298097

Takashi Goda, Takeru Iwamoto, Tomohiko Hironaka

Publication date: 21 July 2020

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07546

zbMATH Keywords

multilevel Monte CarloBayesian experimental designexpected information gain

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Bayesian inference (62F15) Monte Carlo methods (65C05) Measures of information, entropy (94A17)

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Multimodal information gain in Bayesian design of experiments ⋮ On the effective dimension and multilevel Monte Carlo ⋮ Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference ⋮ Multilevel Monte Carlo Estimation of the Expected Value of Sample Information ⋮ Optimal Bayesian experimental design for subsurface flow problems ⋮ Multi-index ensemble Kalman filtering ⋮ An efficient estimation of nested expectations without conditional sampling ⋮ Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization ⋮ Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs

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