Mathematical Formulation
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Given a vector of parameters to determine, a prior PDF over those parameters and a PDF for making observation, given parameter values and an experiment design, the posterior PDF can be calculated using Bayes' theorem
where is the marginal probability density in observation space
The expected utility of an experiment with design can then be defined
where is some real-valued functional of the posterior PDF after making observation using an experiment design .
Read more about this topic: Bayesian Experimental Design
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