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An Investigation of Uncertainty and Sensitivity Analysis Techniques for Computer Models

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  • Ronald L. Iman
  • Jon C. Helton

Abstract

Many different techniques have been proposed for performing uncertainty and sensitivity analyses on computer models for complex processes. The objective of the present study is to investigate the applicability of three widely used techniques to three computer models having large uncertainties and varying degrees of complexity in order to highlight some of the problem areas that must be addressed in actual applications. The following approaches to uncertainty and sensitivity analysis are considered: (1) response surface methodology based on input determined from a fractional factorial design; (2) Latin hypercube sampling with and without regression analysis; and (3) differential analysis. These techniques are investigated with respect to (1) ease of implementation, (2) flexibility, (3) estimation of the cumulative distribution function of the output, and (4) adaptability to different methods of sensitivity analysis. With respect to these criteria, the technique using Latin hypercube sampling and regression analysis had the best overall performance. The models used in the investigation are well documented, thus making it possible for researchers to make comparisons of other techniques with the results in this study.

Suggested Citation

  • Ronald L. Iman & Jon C. Helton, 1988. "An Investigation of Uncertainty and Sensitivity Analysis Techniques for Computer Models," Risk Analysis, John Wiley & Sons, vol. 8(1), pages 71-90, March.
    • Handle: RePEc:wly:riskan:v:8:y:1988:i:1:p:71-90
    DOI: 10.1111/j.1539-6924.1988.tb01155.x
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    References listed on IDEAS

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    1. Ronald L. Iman, 1987. "A Matrix‐Based Approach to Uncertainty and Sensitivity Analysis for Fault Trees," Risk Analysis, John Wiley & Sons, vol. 7(1), pages 21-33, March.
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