Sensitivity Analysis

Introduction
Sensitivity Analysis = the study of how
uncertainty in the output of a model
can be apportioned to different input
parameters
Local sensitivity = focus on sensitivity
at a particular set of input parameters,
usually using gradients or partial
derivatives
Global or domain-wide sensitivity =
consider entire range of inputs
Typical Approach
Consider a Point Reactor Kinetics
problem
A
=
= =

A
=
+
|
.
|

\
|
A

|
0
0
0
) 0 (
1 ) 0 (
) ( ) (
) ( ) (
P
C
P P
t C t P
dt
dC
t C t P
dt
dP
0 0.5 1 1.5 2 2.5 3
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
time (s)
P
(
t
)


A=0.08
A increased by 50%
Results
P(t) normalized to P
0
Mean lifetime normalized to baseline
value (0.001 s)
t=3 s
-0.1 -0.05 0 0.05 0.1 0.15
-3
-2
-1
0
1
2
3
x 10
-3
relative change in A
r
e
l
a
t
i
v
e

c
h
a
n
g
e

i
n

P
(
t
)
Results
P(t) normalized to P
0
Mean lifetime normalized to baseline
value (0.001 s)
t=0.1 s
-0.1 -0.05 0 0.05 0.1 0.15
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
0.02
relative change in A
r
e
l
a
t
i
v
e

c
h
a
n
g
e

i
n

P
(
t
)
Putting all on one chart
t=0.1 s
-0.2 -0.15 -0.1 -0.05 0 0.05 0.1 0.15
-0.025
-0.02
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
0.02
0.025
dimensionless variation in input variable
d
i
m
e
n
s
i
o
n
l
e
s
s

v
a
r
i
a
t
i
o
n

i
n

P
(
t
)


A

0
Putting all on one chart t=3
s
-0.2 -0.15 -0.1 -0.05 0 0.05 0.1 0.15
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
dimensionless variation in input variable
d
i
m
e
n
s
i
o
n
l
e
s
s

v
a
r
i
a
t
i
o
n

i
n

P
(
t
)


A

0
Quantifying Sensitivity
To first order, our measure of
sensitivity is the gradient of an output
with respect to some particular input
variable.
Suppose all variables are uncertain
and

Then, if inputs are independent,
j j t t s s
P C P C P C Y + + =
2 2 2 2 2 2 2
j j t t s s y
j j t t s s
j j t t s s
C C C
p C p C p C y
P C P C P C Y
o o o o + + =
+ + =
+ + =
Quantifying Sensitivity
Most obvious calculation of sensitivity
is


This is the slope of the curves we just
looked at
We can normalize about some point
(y
0
)
x
x
P
Y
S
c
c
=
x
x
l
x
j j t t s s
P
Y
y
p
S
p C p C p C y
c
c
=
+ + =
0
0
0 0 0 0
Quantifying Sensitivity
This normalized sensitivity says
nothing about the expected variation
in the inputs.
If we are highly sensitive to a variable
which varies little, it may not matter in
the end
Normalize to input variances
x y
x
x
P
Y
S
c
c
=
o
o
o
Rewriting
2
2
2
2
2
2
2
2
2
2 2 2 2 2 2
1
y
j
j
y
t
t
y
s
s
j j t t s s y
y
j
j j
y
t
t t
y
s
s
s y
s
s
C C C
C C C
C S
C S
C
P
Y
S
o
o
o
o
o
o
o o o o
o
o
o
o
o
o
o
o
o
o
o
+ + =
+ + =
=
=
=
c
c
=
A Different Approach
Question: If we could eliminate the
variation in a single input variable,
how much would we reduce output
variation?
Hold one input (P
x
) constant
Find output variance V(Y|P
x
=p
x
)
This will vary as we vary p
x
So now do this for a variety of values
of p
x
and find expected value
E(V(Y|P
x
))
Note: V(Y)=E(V(Y|P
x
))+V(E(Y|P
x
))
Now normalize



This is often called the
importance measure,
sensitivity index,
correlation ratio, or
first order effect
y
x
x
V
P Y E V
S
)) | ( (
=
Variance-Based Methods
Assume


Choose each term such that it has a
mean of 0
Hence, f
0
is average of f(x)
( ) ( ) ( )
k k
i i j
j i ij
k
i
i i
x x x f x x f x f f x f Y ,..., , ... , ) (
2 1 ,..., 2 , 1
1
0
+ + + + = =

< =
( ) ( )
( ) ( ) ( ) ( )
0
0
, , f x f x f x x Y E x x f
f x Y E x f
j j i i j i j i ij
i i i
=
=
Variance Methods
Since terms are orthogonal, we can
square everything and integrate over
our domain
( )
( )
k
i j k
ijk
i j
ij
k
i
i
f
i
i
i i i i
k
i j k
ijk
i j
ij
k
i
i f
x Y E i
S S S S
V
V
S
dx x f V
V V V V V
V
i
,..., 2 , 1
1
2
,..., 2 , 1
1
2
|
... 1
...
+ + + + =
=
=
+ + + + =
=

}

=
=
o
Variance Methods
S
i
is first order (or main) effect of x
i
S
ij
is second order index. It measures
effect of pure interaction between any
pair of output variables
Other values of S are higher order
indices
Typical sensitivity analysis just
addresses first order effects
An exhaustive sensitivity analysis
would address other indices as well
Suppose k=4
1=S
1
+S
2
+S
3
+S
4
+S
12
+S
13
+S
14
+S
23
+S
24
+S
34
+S
123
+S
124
+S
134
+S
234
+S
1234
Total # of terms is 4+6+4+1=15=2
4
-1