We introduce a principled method for Bayesian subgroup analysis. The approach is based on casting subgroup analysis as a Bayesian decision problem. The two main innovations are: (1) the explicit consideration of a "subgroup report," comprising multiple subpopulations; and (2) adapting an inhomogeneous Markov chain Monte Carlo simulation scheme to implement stochastic optimization. The latter makes the search for "subgroup reports" practically feasible.
Keywords: Bayesian; MCMC; clinical; inhomogeneous; subgroups.
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