Multilevel Monte Carlo estimation of expected information gains

Abstract: The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest $\theta$ is reduced on average by collecting relevant data $Y$. However, estimating the expected information gain has been considered computationally challenging since it is defined as a nested expectation with an outer expectation with respect to $Y$ and an inner expectation with respect to $\theta$. In fact, the standard, nested Monte Carlo method requires a total computational cost of $O(\varepsilon^{-3})$ to achieve a root-mean-square accuracy of $\varepsilon$. In this paper we develop an efficient algorithm to estimate the expected information gain by applying a multilevel Monte Carlo (MLMC) method. To be precise, we introduce an antithetic MLMC estimator for the expected information gain and provide a sufficient condition on the data model under which the antithetic property of the MLMC estimator is well exploited such that optimal complexity of $O(\varepsilon^{-2})$ is achieved. Furthermore, we discuss how to incorporate importance sampling techniques within the MLMC estimator to avoid arithmetic underflow. Numerical experiments show the considerable computational cost savings compared to the nested Monte Carlo method for a simple test case and a more realistic pharmacokinetic model.