Uncertainty and the Value of Information in Risk Prediction Modeling

Med Decis Making. 2022 Jul;42(5):661-671. doi: 10.1177/0272989X221078789. Epub 2022 Feb 25.


Background: Because of the finite size of the development sample, predicted probabilities from a risk prediction model are inevitably uncertain. We apply value-of-information methodology to evaluate the decision-theoretic implications of prediction uncertainty.

Methods: Adopting a Bayesian perspective, we extend the definition of the expected value of perfect information (EVPI) from decision analysis to net benefit calculations in risk prediction. In the context of model development, EVPI is the expected gain in net benefit by using the correct predictions as opposed to predictions from a proposed model. We suggest bootstrap methods for sampling from the posterior distribution of predictions for EVPI calculation using Monte Carlo simulations. We used subsets of data of various sizes from a clinical trial for predicting mortality after myocardial infarction to show how EVPI changes with sample size.

Results: With a sample size of 1000 and at the prespecified threshold of 2% on predicted risks, the gains in net benefit using the proposed and the correct models were 0.0006 and 0.0011, respectively, resulting in an EVPI of 0.0005 and a relative EVPI of 87%. EVPI was zero only at unrealistically high thresholds (>85%). As expected, EVPI declined with larger samples. We summarize an algorithm for incorporating EVPI calculations into the commonly used bootstrap method for optimism correction.

Conclusion: The development EVPI can be used to decide whether a model can advance to validation, whether it should be abandoned, or whether a larger development sample is needed. Value-of-information methods can be applied to explore decision-theoretic consequences of uncertainty in risk prediction and can complement inferential methods in predictive analytics. R code for implementing this method is provided.

Keywords: Bayesian statistics; decision theory; precision medicine; predictive analytics; value of information.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Bayes Theorem
  • Cost-Benefit Analysis
  • Humans
  • Monte Carlo Method
  • Sample Size
  • Uncertainty*

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