Sensitivity Analysis of Simulation Models

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Sensitivity Analysis of Simulation Models

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Kleijnen, J.P.C. (Tilburg University, Center for Economic Research)

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Jack P.C. Kleijnen

Abstract

This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of gradients. It covers classic designs and their corresponding (meta)models; namely, resolution-III designs including fractional-factorial two-level designs for first-order polynomial metamodels, resolution-IV and resolution-V designs for metamodels augmented with two-factor interactions, and designs for second-degree polynomial metamodels including central composite designs. It also reviews factor screening for simulation models with very many factors, focusing on the so-called "sequential bifurcation" method. Furthermore, it reviews Kriging metamodels and their designs. It mentions that sensitivity analysis may also aim at the optimization of the simulated system, allowing multiple random simulation outputs.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2009-11.

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Date of creation: 2009
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Handle: RePEc:dgr:kubcen:200911

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Find related papers by JEL classification:
C0 - Mathematical and Quantitative Methods - - General
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C9 - Mathematical and Quantitative Methods - - Design of Experiments

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-03-14 (All new papers)
NEP-CMP-2009-03-14 (Computational Economics)

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Kleijnen, J.P.C., 1995. "Sensitivity Analysis and Optimization of System Dynamics Models : Regression Analysis and Statistical Design of Experiments," Discussion Paper 4, Tilburg University, Center for Economic Research. [Downloadable!]
Kleijnen, J.P.C., 1997. "Experimental design for sensitivity analysis, optimization, and validation of simulation models," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
Kleijnen, Jack P.C., 2006. "White noise assumptions revisited : regression models and statistical designs for simulation practice," Discussion Paper 50, Tilburg University, Center for Economic Research. [Downloadable!]
Kleijnen, J.P.C., 1995. "Sensitivity analysis and related analysis : a survey of statistical techniques," Research Memorandum 706, Tilburg University, Faculty of Economics and Business Administration. [Downloadable!]

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