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Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI |
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| Authors: | Giles Michael B Goda Takashi |
| Institution: | 1.Mathematical Institute, University of Oxford, Oxford, OX2 6GG, United Kingdom ;2.School of Engineering, University of Tokyo, Tokyo, 113-8656, Japan ; |
| Abstract: | Statistics and Computing - 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... |
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