Calculating partial expected value of perfect information via Monte Carlo sampling algorithms.

@article{Brennan2007CalculatingPE,
  title={Calculating partial expected value of perfect information via Monte Carlo sampling algorithms.},
  author={Alan Brennan and Samer Kharroubi and Anthony O'Hagan and Jim Chilcott},
  journal={Medical decision making : an international journal of the Society for Medical Decision Making},
  year={2007},
  volume={27 4},
  pages={448-70}
}
Partial expected value of perfect information (EVPI) calculations can quantify the value of learning about particular subsets of uncertain parameters in decision models. Published case studies have used different computational approaches. This article examines the computation of partial EVPI estimates via Monte Carlo sampling algorithms. The mathematical definition shows 2 nested expectations, which must be evaluated separately because of the need to compute a maximum between them. A… CONTINUE READING
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