Abstract #301803

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JSM 2002 Abstract #301803
Activity Number: 273
Type: Topic Contributed
Date/Time: Wednesday, August 14, 2002 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing*
Abstract - #301803
Title: Simulation-Based Sequential Bayesian Design
Author(s): Peter Mueller*+
Affiliation(s): U. T. M. D. Anderson Cancer Center
Address: 1515 Holcombe Blvd, Box 447, Houston, Texas, 77030-4009, USA
Keywords: sequential ; simulation ; bayes
Abstract:

We consider simulation-based methods for exploration and maximization of expected utility in sequential decision problems. We consider problems which require backward induction with analytically intractable expected utility integrals at each stage. We propose to use forward simulation to approximate the integral expressions, and a reduction of the allowable action space to avoid problems related to an increasing number of possible trajectories in the backward induction. The artificially reduced action space allows strategies to depend on the full history of earlier observations and decisions only indirectly through a low dimensional summary statistic. We illustrate the proposed approach with an application to an optimal stopping problem in a clinical trial.

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Revised March 2002