Sensitivity analysis: A review of recent advances
Emanuele Borgonovo and
European Journal of Operational Research, 2016, vol. 248, issue 3, 869-887
The solution of several operations research problems requires the creation of a quantitative model. Sensitivity analysis is a crucial step in the model building and result communication process. Through sensitivity analysis we gain essential insights on model behavior, on its structure and on its response to changes in the model inputs. Several interrogations are possible and several sensitivity analysis methods have been developed, giving rise to a vast and growing literature. We present an overview of available methods, structuring them into local and global methods. For local methods, we discuss Tornado diagrams, one way sensitivity functions, differentiation-based methods and scenario decomposition through finite change sensitivity indices, providing a unified view of the associated sensitivity measures. We then analyze global sensitivity methods, first discussing screening methods such as sequential bifurcation and the Morris method. We then address variance-based, moment-independent and value of information-based sensitivity methods. We discuss their formalization in a common rationale and present recent results that permit the estimation of global sensitivity measures by post-processing the sample generated by a traditional Monte Carlo simulation. We then investigate in detail the methodological issues concerning the crucial step of correctly interpreting the results of a sensitivity analysis. A classical example is worked out to illustrate some of the approaches.
Keywords: Sensitivity analysis; Simulation; Computer experiments (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:248:y:2016:i:3:p:869-887
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