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The uncertainty sensitivity index method (USIM) and its extension

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  • Duan Li
  • Yacov Y. Haimes

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.

Suggested Citation

  • Duan Li & Yacov Y. Haimes, 1988. "The uncertainty sensitivity index method (USIM) and its extension," Naval Research Logistics (NRL), John Wiley & Sons, vol. 35(6), pages 655-672, December.
    • Handle: RePEc:wly:navres:v:35:y:1988:i:6:p:655-672
    DOI: 10.1002/1520-6750(198812)35:63.0.CO;2-S
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    References listed on IDEAS

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    1. Chelsea C. White & Hany K. El-Deib, 1986. "Parameter Imprecision in Finite State, Finite Action Dynamic Programs," Operations Research, INFORMS, vol. 34(1), pages 120-129, February.
    2. Saul Gass & Thomas Saaty, 1955. "The computational algorithm for the parametric objective function," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 2(1‐2), pages 39-45, March.
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    Cited by:

    1. Barker, Kash & Haimes, Yacov Y., 2009. "Assessing uncertainty in extreme events: Applications to risk-based decision making in interdependent infrastructure sectors," Reliability Engineering and System Safety, Elsevier, vol. 94(4), pages 819-829.

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