Sensitivity Analysis in Sequential Decision Models

Qiushi Chen, Turgay Ayer and Jagpreet Chhatwal

Medical Decision Making, 2017, vol. 37, issue 2, 243-252

Abstract: Background: Sequential decision problems are frequently encountered in medical decision making, which are commonly solved using Markov decision processes (MDPs). Modeling guidelines recommend conducting sensitivity analyses in decision-analytic models to assess the robustness of the model results against the uncertainty in model parameters. However, standard methods of conducting sensitivity analyses cannot be directly applied to sequential decision problems because this would require evaluating all possible decision sequences, typically in the order of trillions, which is not practically feasible. As a result, most MDP-based modeling studies do not examine confidence in their recommended policies. Method: In this study, we provide an approach to estimate uncertainty and confidence in the results of sequential decision models. Results: First, we provide a probabilistic univariate method to identify the most sensitive parameters in MDPs. Second, we present a probabilistic multivariate approach to estimate the overall confidence in the recommended optimal policy considering joint uncertainty in the model parameters. We provide a graphical representation, which we call a policy acceptability curve, to summarize the confidence in the optimal policy by incorporating stakeholders’ willingness to accept the base case policy. For a cost-effectiveness analysis, we provide an approach to construct a cost-effectiveness acceptability frontier, which shows the most cost-effective policy as well as the confidence in that for a given willingness to pay threshold. We demonstrate our approach using a simple MDP case study. Conclusions: We developed a method to conduct sensitivity analysis in sequential decision models, which could increase the credibility of these models among stakeholders.

Keywords: Markov models; operations research; optimal control theory; probabilistic sensitivity analysis; mathematical models and decision analysis (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:medema:v:37:y:2017:i:2:p:243-252

DOI: 10.1177/0272989X16670605

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