Multilevel Monte Carlo estimation of the expected value of sample information
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 v...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2020
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