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06/07/2023
Estimating nested expectations without inner conditional sampling and application to value of information analysis
Motivated by various computational applications, we investigate the prob...
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11/24/2021
An efficient estimation of nested expectations without conditional sampling
Estimating nested expectations is an important task in computational mat...
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05/18/2020
Unbiased MLMC stochastic gradient-based optimization of Bayesian experimental designs
In this paper we propose an efficient stochastic optimization algorithm ...
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09/02/2019
Multilevel Monte Carlo estimation of the expected value of sample information
We study Monte Carlo estimation of the expected value of sample informat...
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11/19/2018