IDEAS home Printed from https://ideas.repec.org/p/pau/wpaper/1103.html
   My bibliography  Save this paper

A sensitivity analysis procedure for Bayesian decision making

Author

Listed:
  • Faizul Huq

    (Groupe ESC Pau)

  • Clarence “Red” Martin

    (Ohio University)

  • Ken Cutright

    (Ohio University)

  • Trevor S. Hale

    (University of Houston)

Abstract

In an effort to see how analytical model outputs change with respect to variations in model inputs, sensitivity analysis procedures have been widely used in applications such as mathematical programming and classical optimization. However, until recently, sensitivity analysis has seen only limited application in the area of decision theory and support. This paper investigates the use of sensitivity analysis in the realm of classical Bayesian reasoning, where the probabilities of the states of nature are revised based on additional information. These updated probabilities only become useful, however, if they lead to an optimal decision different from that obtained on the basis of prior probabilities. This paper develops a novel sensitivity analysis procedure for Bayesian decision making and proposes a set of criteria for the ranges of the model input parameters over which the current solution will remain optimal.

Suggested Citation

  • Faizul Huq & Clarence “Red” Martin & Ken Cutright & Trevor S. Hale, 2009. "A sensitivity analysis procedure for Bayesian decision making," Working Papers 1103, Groupe ESC Pau, Research Department, revised Jan 2009.
    • Handle: RePEc:pau:wpaper:1103
    as

    Download full text from publisher

    File URL: https://www.esc-pau.fr/faculte-recherche/documents/cahiers/cahier_recherche11_escpau.pdf
    File Function: First version, 1996
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pau:wpaper:1103. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Florent DEISTING (email available below). General contact details of provider: https://edirc.repec.org/data/escpufr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.