Decision Theoretical Remark on Sensitivity Analysis

Stehfest, H. (1975). Decision Theoretical Remark on Sensitivity Analysis. IIASA Research Report. IIASA, Laxenburg, Austria: RR-75-003

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Abstract

The sensitivity of dynamic systems to changes of the parameter values can be estimated by two first order methods: either by solving the sensitivity system, or by solving the original system twice with slightly different parameter values.

In this paper the problem investigated is which method should be preferred in order to minimize losses due to deviations of those first order approximations from the actual sensitivity. It is shown that the method using two different parameter values is to be preferred if one is to find out whether the solution of the dynamic system could deviate from the nominal solution by more than a prescribed standard. A problem of optimal control is described for which the other method turned out to be preferable. Some other problems are mentioned for which the preferability of one of the two methods could be proved.

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