  The Expected Value of Perfect Partial Information (EVPPI) is a
decision-theoretic measure of the "cost" of parametric uncertainty in decision
making used principally in health economic decision making. Despite this
decision-theoretic grounding, the uptake of EVPPI calculations in practice has
been slow. This is in part due to the prohibitive computational time required
to estimate the EVPPI via Monte Carlo simulations. However, recent developments
have demonstrated that the EVPPI can be estimated by non-parametric regression
methods, which have significantly decreased the computation time required to
approximate the EVPPI. Under certain circumstances, high-dimensional Gaussian
Process regression is suggested, but this can still be prohibitively expensive.
Applying fast computation methods developed in spatial statistics using
Integrated Nested Laplace Approximations (INLA) and projecting from a
high-dimensional into a low-dimensional input space allows us to decrease the
computation time for fitting these high-dimensional Gaussian Processes, often
substantially. We demonstrate that the EVPPI calculated using our method for
Gaussian Process regression is in line with the standard Gaussian Process
regression method and that despite the apparent methodological complexity of
this new method, R functions are available in the package BCEA to implement it
simply and efficiently.
