Sensitivity Analysis : An Introduction for the Management Scientist / by Emanuele Borgonovo.

Format:

Book

Author/Creator:

Borgonovo, Emanuele., Author.

Series:

International Series in Operations Research & Management Science, 2214-7934 ; 251

Language:

English

Subjects (All):

Operations research.

Management science.

Operations Research and Decision Theory.

Operations Research, Management Science.

Local Subjects:

Operations Research and Decision Theory.

Operations Research, Management Science.

Physical Description:

1 online resource (XIV, 294 p. 68 illus.)

Edition:

1st ed. 2017.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2017.

Summary:

This book is an expository introduction to the methodology of sensitivity analysis of model output. It is primarily intended for investigators, students and researchers that are familiar with mathematical models but are less familiar with the techniques for performing their sensitivity analysis. A variety of sensitivity methods have been developed over the years. This monograph helps the analyst in her/his first exploration of this world. The main goal is to foster the recognition of the crucial role of sensitivity analysis methods as the techniques that allow us to gain insights from quantitative models. Also, exercising rigor in performing sensitivity analysis becomes increasingly relevant both to decision makers and modelers. The book helps the analyst in structuring her/his sensitivity analysis quest properly, so as to obtain the correct answer to the corresponding managerial question. The first part of the book covers Deterministic Methods, including Tornado Diagrams; One-Way Sensitivity Analysis; Differentiation-Based Methods and Local Sensitivity Analysis with Constraints. The second part looks at Probabilistic Methods, including Regression-Based methods, Variance-Based Methods, and Distribution-Based methods. The final section looks at Applications, including capital budgeting, sensitivity analysis in climate change modelling and in the risk assessment of a lunar space mission.

Contents:

Setup of Sensitivity Analysis

Deterministic Methods

Tornado Diagrams

One-way Sensitivity Analysis

General Relationship Between One-way Sensitivity Functions and Tornado Diagrams

Do One-way Sensitivity Functions Remedy the Limitations of Tornado Diagrams?

Differentiation-Based Methods

An Application: Classical Optimization

From Infinitesimal to Finite Changes: Generalized Tornado Diagrams

Estimation and a Computational Shortcut

Multilinear Functions: Taylor vs Functional ANOVA Expansions

What to Use and When

Value of Information

Local Sensitivity Analysis with Constraints

Probabilistic Sensitivity Methods

Uncertainty Analysis

Global Sensitivity Analysis

Variance-Based Methods

Managerial Insights

The -Importance Measure

Propoerties

An Example

Managerial Interpretation

CDF-Based Sensitivity Measures

Transformation Invariant Sensitivity Measures

Global Sensitivity Analysis with Value of Information

Exercising in Global Sensitivity Analysis: Test Cases

Additional Results on the Analytical Properties of High Dimensional Model Representations

Applications

Local Sensitivity Analysis in Capital Budgeting. .

Notes:

Includes bibliographical references and index.

ISBN:

3-319-52259-0