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Sensitivity analysis and related analysis: A survey of statistical techniques

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  • Kleijnen, J.P.C.

    (Tilburg University, Faculty of Economics and Business Administration)

Abstract

This paper reviews the state of the art in five related types of analysis, namely (i) sensitivity or what-if analysis, (ii) uncertainty or risk analysis, (iii) screening, (iv) validation, and (v) optimization. The main question is: when should which type of analysis be applied; which statistical techniques may then be used? This paper distinguishes the following five stages in the analysis of a simulation model. 1) Validation: the availability of data on the real system determines which type of statistical technique to use for validation. 2) Screening: in the simulation's pilot phase the really important inputs can be identified through a novel technique, called sequential bifurcation, which uses aggregation and sequential experimentation. 3) Sensitivity analysis: the really important inputs should be This approach with its five stages implies that sensitivity analysis should precede uncertainty analysis. This paper briefly discusses several case studies for each phase.

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Bibliographic Info

Paper provided by Tilburg University, Faculty of Economics and Business Administration in its series Research Memorandum with number 706.

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Date of creation: 1995
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Handle: RePEc:dgr:kubrem:1995706

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Web page: http://www.tilburguniversity.edu/nl/over-tilburg-university/schools/economics-and-management/

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References

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  1. Kleijnen, J.P.C., 1992. "Verification and validation of simulation models," Research Memorandum 542, Tilburg University, Faculty of Economics and Business Administration.
  2. Groenendaal, W.J.H. van, 1994. "Investment analysis and decision support for gas transmission on Java," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3107671, Tilburg University.
  3. Ham , G. van & Rotmans, J. & Kleijnen, J.P.C., 1992. "Techniques for sensitivity analysis of simulation models: A case study of the CO2 greenhouse effect," Open Access publications from Tilburg University urn:nbn:nl:ui:12-365610, Tilburg University.
  4. Kleijnen, J.P.C. & Groenendaal, W.J.H. van, 1992. "Simulation: A statistical perspective," Open Access publications from Tilburg University urn:nbn:nl:ui:12-388278, Tilburg University.
  5. Birge, John R. & Rosa, Charles H., 1995. "Modeling investment uncertainty in the costs of global CO2 emission policy," European Journal of Operational Research, Elsevier, vol. 83(3), pages 466-488, June.
  6. Saltelli, A. & Andres, T. H. & Homma, T., 1993. "Sensitivity analysis of model output : An investigation of new techniques," Computational Statistics & Data Analysis, Elsevier, vol. 15(2), pages 211-238, February.
  7. Kleijnen, J.P.C., 2009. "Sensitivity Analysis of Simulation Models," Discussion Paper 2009-11, Tilburg University, Center for Economic Research.
  8. Bettonvil, Bert & Kleijnen, Jack P. C., 1997. "Searching for important factors in simulation models with many factors: Sequential bifurcation," European Journal of Operational Research, Elsevier, vol. 96(1), pages 180-194, January.
  9. Kleijnen, J.P.C., 1995. "Case study: Statistical validation of simulation models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-369796, Tilburg University.
  10. Kleijnen, J.P.C., 1983. "Risk analysis and sensitivity analysis: Antithesis or synthesis?," Open Access publications from Tilburg University urn:nbn:nl:ui:12-369821, Tilburg University.
  11. Saltelli, A. & Homma, T., 1992. "Sensitivity analysis for model output : Performance of black box techniques on three international benchmark exercises," Computational Statistics & Data Analysis, Elsevier, vol. 13(1), pages 73-94, January.
  12. Kleijnen, J.P.C., 1993. "Simulation and optimization in production planning: a case study," Open Access publications from Tilburg University urn:nbn:nl:ui:12-369798, Tilburg University.
  13. Kleijnen, J.P.C., 1995. "Sensitivity analysis and optimization of system dynamics models: Regression analysis and statistical design of experiments," Discussion Paper 1995-4, Tilburg University, Center for Economic Research.
  14. J. M. Reilly & J. A. Edmonds & R. H. Gardner & A. L. Brenkerf, 1987. "Uncertainty Analysis of the IEA/ORAU CO2 Emissions Model," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-29.
  15. Kleijnen, Jack P. C., 1995. "Statistical validation of simulation models," European Journal of Operational Research, Elsevier, vol. 87(1), pages 21-34, November.
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Cited by:
  1. Matteo Richiardi & Roberto Leombruni & Nicole J. Saam & Michele Sonnessa, 2006. "A Common Protocol for Agent-Based Social Simulation," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 9(1), pages 15.

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