Multilevel and Quasi Monte Carlo methods for the calculation of the Expected Value of Partial Perfect Information

Multilevel and Quasi Monte Carlo methods for the calculation of the Expected Value of Partial Perfect Information

The expected value of partial perfect information (EVPPI) provides an upper bound on the value of collecting further evidence on a set of inputs to a cost-effectiveness decision model. Standard Monte Carlo (MC) estimation of EVPPI is computationally expensive as it requires nested simulation. Altern...

書誌詳細
主要な著者:	Fang, W, Wang, Z, Giles, MB, Jackson, C, Welton, N, Andrieu, C, Thom, H
フォーマット:	Journal article
言語:	English
出版事項:	SAGE Publications 2021

類似資料

Multilevel Monte Carlo estimation of the expected value of sample information
著者:: Hironaka, T, 等
出版事項: (2020)

Multilevel Monte Carlo methods
著者:: Giles, M
出版事項: (2015)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
著者:: Giles, MB, 等
出版事項: (2016)

Multilevel Monte Carlo path simulation
著者:: Giles, M
出版事項: (2008)

Multilevel Monte Carlo path simulation.
著者:: Giles, M
出版事項: (2007)

Advanced Monte-Carlo sampling schemes for value of information estimation
著者:: Thom, H, 等
出版事項: (2017)

Multilevel Monte Carlo for exponential Lévy models
著者:: Giles, M, 等
出版事項: (2017)

Quasi-Monte Carlo for finance applications
著者:: Giles, M, 等
出版事項: (2008)

Quasi-Monte Carlo for finance applications.
著者:: Giles, M, 等
出版事項: (2008)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
著者:: Giles, M, 等
出版事項: (2016)

Improved multilevel monte carlo convergence using the milstein scheme
著者:: Giles, M
出版事項: (2008)

Improved multilevel Monte Carlo convergence using the Milstein scheme.
著者:: Giles, M
出版事項: (2007)

Improved multilevel Monte Carlo convergence using the Milstein scheme
著者:: Giles, M
出版事項: (2006)

Multilevel Monte Carlo method for ergodic SDEs without contractivity
著者:: Fang, W, 等
出版事項: (2019)

Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling
著者:: Croci, M, 等
出版事項: (2021)

Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
著者:: Giles, M, 等
出版事項: (2012)

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
著者:: Giles, M, 等
出版事項: (2012)

Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
著者:: Reisinger, C, 等
出版事項: (2011)

Estimating expected first passage times using multilevel Monte Carlo algorithm
著者:: Primozic, T
出版事項: (2011)

Monte carlo and quasi-monte carlo methods 2006 /
著者:: International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (7th : 2006 : Ulm, Germany), 等
出版事項: (2008)

Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
著者:: Giles, M, 等
出版事項: (2019)

Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
著者:: Cliffe, K, 等
出版事項: (2011)

The computation of Greeks with multilevel Monte Carlo
著者:: Burgos, S
出版事項: (2014)

Multilevel Monte Carlo for reliability theory
著者:: Aslett, L, 等
出版事項: (2017)

Multilevel Monte Carlo for jump processes
著者:: Xia, Y
出版事項: (2013)

Analysis of nested multilevel Monte Carlo using approximate Normal random variables
著者:: Giles, M, 等
出版事項: (2022)

Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
著者:: Katsiolides, G, 等
出版事項: (2017)

Fast uncertainty quantification of tracer distribution in the brain interstitial fluid with multilevel and quasi Monte Carlo
著者:: Croci, M, 等
出版事項: (2020)

Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
著者:: Giles, M, 等
出版事項: (2005)

Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes
著者:: Croci, M, 等
出版事項: (2018)

On Dynamic Parallelization of Multilevel Monte Carlo Algorithm
著者:: Shegunov Nikolay, 等
出版事項: (2020-12-01)

p-Refined Multilevel Quasi-Monte Carlo for Galerkin Finite Element Methods with Applications in Civil Engineering
著者:: Philippe Blondeel, 等
出版事項: (2020-04-01)

CALCULATION OF EXPECTATION VALUES OF MOLECULAR-SYSTEMS USING DIFFUSION MONTE-CARLO IN CONJUNCTION WITH THE FINITE-FIELD METHOD
著者:: Sandler, P, 等
出版事項: (1994)

Measuring Risk utilizing Credible Monte Carlo Value at Risk and Credible Monte Carlo Expected Tail Loss
著者:: Sulistianingsih, Evy, 等
出版事項: (2022)

A multilevel Monte Carlo estimator for matrix multiplication
著者:: Wu, Y, 等
出版事項: (2020)

Optimization of mesh hierarchies in multilevel Monte Carlo samplers
著者:: Haji-Ali, A, 等
出版事項: (2015)

Adaptive multilevel splitting for Monte Carlo particle transport
著者:: Louvin Henri, 等
出版事項: (2017-01-01)

Adaptive Multilevel Splitting for Monte Carlo particle transport
著者:: Louvin Henri, 等
出版事項: (2017-01-01)

Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
著者:: Warne, D, 等
出版事項: (2022)

Monte Carlo and Quasi Monte Carlo Approach to Ulam's Method for Position Dependent Random Maps
著者:: Md Shafiqul Islam
出版事項: (2020-12-01)