title: Estimating the Expected Value of Sample Information Using the Probabilistic Sensitivity Analysis Sample: A Fast, Nonparametric Regression-Based Method.
abstract: Health economic decision-analytic models are used to estimate the expected net benefits of competing decision options. The true values of the input parameters of such models are rarely known with certainty, and it is often useful to quantify the value to the decision maker of reducing uncertainty through collecting new data. In the context of a particular decision problem, the value of a proposed research design can be quantified by its expected value of sample information (EVSI). EVSI is commonly estimated via a 2-level Monte Carlo procedure in which plausible data sets are generated in an outer loop, and then, conditional on these, the parameters of the decision model are updated via Bayes rule and sampled in an inner loop. At each iteration of the inner loop, the decision model is evaluated. This is computationally demanding and may be difficult if the posterior distribution of the model parameters conditional on sampled data is hard to sample from. We describe a fast nonparametric regression-based method for estimating per-patient EVSI that requires only the probabilistic sensitivity analysis sample (i.e., the set of samples drawn from the joint distribution of the parameters and the corresponding net benefits). The method avoids the need to sample from the posterior distributions of the parameters and avoids the need to rerun the model. The only requirement is that sample data sets can be generated. The method is applicable with a model of any complexity and with any specification of model parameter distribution. We demonstrate in a case study the superior efficiency of the regression method over the 2-level Monte Carlo method.
authors: School of Health and Related Research (ScHARR), University of Sheffield, Sheffield, UK (MS, AB, PB)
authors: Mark
authors: M
authors: Strong
authors: School of Mathematics and Statistics, University of Sheffield, Sheffield, UK (JEO).
authors: Jeremy E
authors: JE
authors: Oakley
authors: School of Health and Related Research (ScHARR), University of Sheffield, Sheffield, UK (MS, AB, PB)
authors: Alan
authors: A
authors: Brennan
authors: School of Health and Related Research (ScHARR), University of Sheffield, Sheffield, UK (MS, AB, PB)
authors: Penny
authors: P
authors: Breeze
mesh_terms: D001499:Bayes Theorem; D003661:Decision Support Techniques; D003663:Decision Trees; D006801:Humans; D009010:Monte Carlo Method; D011336:Probability; D012044:Regression Analysis; D018709:Statistics, Nonparametric
keywords: Bayesian decision theory; Monte Carlo methods; computational methods; economic evaluation model; expected value of sample information; generalized additive model.; nonparametric regression