Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo

Drovandi, Christopher C. & Tran, Minh-Ngoc (2016) Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo. [Working Paper] (Unpublished)

Abstract

Optimal experimental design is an important methodology for most efficiently allocating resources in an experiment to best achieve some goal. Bayesian experimental design considers the potential impact that various choices of the controllable variables has on the posterior distribution of the unknowns. Optimal Bayesian design involves optimising an expected utility function, which is an analytically intractable integral over the prior predictive distribution. These integrals are typically estimated via standard Monte Carlo methods. In this paper, we demonstrate that the use of randomised quasi-Monte Carlo can bring significant reductions to the variance of the estimated expected utility. This variance reduction will then lead to a more efficient optimisation algorithm for maximising the expected utility.

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ID Code: 97889
Item Type: Working Paper
Refereed: No
Keywords: approximate Bayesian computation, evidence, experimental design, importance sampling, mutual information, Laplace approximation, quasi-Monte Carlo
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Applied Statistics (010401)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Statistical Theory (010405)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
Divisions: Current > QUT Faculties and Divisions > Science & Engineering Faculty
Funding:
Copyright Owner: Copyright 2016 The Author(s)
Deposited On: 04 Aug 2016 00:45
Last Modified: 04 Aug 2016 01:49

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