The uncertainty sensitivity index method (USIM) and its extension

Duan Li and Yacov Y. Haimes

Naval Research Logistics (NRL), 1988, vol. 35, issue 6, 655-672

Abstract: This article deals with optimization problems that have some uncertain parameters with unknown probabilities. The article proposes a strategy of transferring the system's uncertainty associated with these optimization problems into a norm or a set of norms that is added to the original objective function(s) within a multiobjective framework. The uncertainty sensitivity index method (USIM) proposed by Haimes and Hall [1977] is extended to several general cases. A robust algorithm is developed to guarantee an ideal solution for cases where the nominal value of the uncertain parameter is itself an uncertain variable. A design problem is also addressed to identify the best‐compromise values of the system's parameters by integrating the USIM with the envelope approach.

Date: 1988
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https://doi.org/10.1002/1520-6750(198812)35:63.0.CO;2-S

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:35:y:1988:i:6:p:655-672

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