Table Of ContentInternational Series in
Operations Research & Management Science
Emanuele Borgonovo
Sensitivity
Analysis
An Introduction for the Management
Scientist
International Series in Operations Research
& Management Science
Volume 251
Series Editor
Camille C. Price
Stephen F. Austin State University, TX, USA
Associate Series Editor
Joe Zhu
Worcester Polytechnic Institute, MA, USA
Founding Series Editor
Frederick S. Hillier
Stanford University, CA, USA
More information about this series at http://www.springer.com/series/6161
Emanuele Borgonovo
Sensitivity Analysis
An Introduction for the Management Scientist
123
Emanuele Borgonovo
Department ofDecision Sciences
Bocconi University
Milan
Italy
ISSN 0884-8289 ISSN 2214-7934 (electronic)
International Series in OperationsResearch & ManagementScience
ISBN978-3-319-52257-9 ISBN978-3-319-52259-3 (eBook)
DOI 10.1007/978-3-319-52259-3
LibraryofCongressControlNumber:2017932423
©SpringerInternationalPublishingAG2017
Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpart
of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations,
recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission
or information storage and retrieval, electronic adaptation, computer software, or by similar or
dissimilarmethodologynowknownorhereafterdeveloped.
The use of general descriptive names, registered names, trademarks, service marks, etc. in this
publication does not imply, even in the absence of a specific statement, that such names are exempt
fromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.
The publisher, the authors and the editors are safe to assume that the advice and information in this
book are believed to be true and accurate at the date of publication. Neither the publisher nor the
authorsortheeditorsgiveawarranty,expressorimplied,withrespecttothematerialcontainedhereinor
for any errors or omissions that may have been made. The publisher remains neutral with regard to
jurisdictionalclaimsinpublishedmapsandinstitutionalaffiliations.
Printedonacid-freepaper
ThisSpringerimprintispublishedbySpringerNature
TheregisteredcompanyisSpringerInternationalPublishingAG
Theregisteredcompanyaddressis:Gewerbestrasse11,6330Cham,Switzerland
To Anna, Emma and Valeria, the joy of every
moment of my life.
Foreword
Decision makers in a variety of diverse fields from engineering to finance are
frequently aided by computer models that produce results that can be useful to
decisionmaking.Thesemodelsareusuallyfairlycomplexsothequestionarisesas
to what kinds of results would aid the decision maker. The computer, of course,
alwaysproducesapointvalueoftheoutput;however,thisis(or,shouldbe)hardly
satisfactory to the decision maker.
At this point, it is useful to review how decisions are made when the options
availablearesignificant,thatis,mayaffectthefinancialhealthofacompanyor,in
the case of engineered systems, public health and safety. I had the opportunity to
makesuchdecisionswhenIservedasacommissioneroftheUnitedStatesNuclear
Regulatory Commission (2010–2014). A responsible decision maker (usually a
group of managers) will rarely make a decision based on the point value that a
computer program produces. More is usually required, such as the uncertainties
about this point value, if the problem involves uncertain inputs, and the identifi-
cation of the input parameters that contribute the most to the output and its
uncertainties. The ultimate decision is essentially based on the judgment that is
informed by this information and, possibly, by other considerations, such as
applicable laws and regulations.
This book contains a plethora of mathematical methods for extracting as much
informationfrom the model aspossible. It isa rigorous treatmentthat isaddressed
to the mathematically sophisticated reader. However, I believe that even the less
sophisticated user will find it useful in that she can see what can be produced by
modern methods and ask the analysts to exercise them so that a variety of insights
can be obtained.
You probably noticed that I used “she” in lieu of the more common “he” I did
thisbecauseIfollowedProf.Borgonovo’srefreshingpracticethroughoutthebook.
vii
viii Foreword
Therigorinthepresentationoftheanalyticalmethodsinthisbookisimpressive.
This does not surprise me. Many years ago, Prof. Borgonovo did his Ph.D. thesis
undermydirectionatMIT(hewasjustEmanuelethen).Iamgladthathisdesireto
be rigorous has not diminished.
George E. Apostolakis
Professor Emeritus
Massachusetts Institute of Technology
Cambridge, USA
Preface
In late spring 2013, Prof. Camille Price invited me to write a book for the presti-
giousOperationsResearchandManagementScienceSeries,publishedbySpringer
and edited by Professor Frederick Hillier. I still clearly remember the intense
meetingatthe2013INFORMSconferenceinMinneapolis,inwhichtheplanofthe
book was discussed with professors Hillier and Price, and the Springer team, with
MatthewAmboy,ChristineCrigler,andNeilLevine.Iheartilythankallofthemfor
the support throughout the writing of this manuscript, which, as the reader may
imagine, took longer than expected.
Thismonographisintendedasanexpositoryintroductiontothemethodologyof
sensitivity analysis of model output. It is primarily directed to students, investi-
gators, and researchers that are familiar with mathematical models but are less
familiar with the techniques for performing their sensitivity analysis. At the same
time, the monograph does not aim to offer a review of all possible sensitivity
analysis methods. A variety of sensitivity methods are available. Some of these
methodsanswerquestionswhicharemodel-specific,whilesomeothermethodsare
more general and apply to large families of models. The methods that we present
here belong mainly to this second class of techniques. Nonetheless, the main goal
ofthepaperistoraisetheawarenessoftheimportanceofsensitivityanalysis,asit
plays a crucial role in the use of decision-support models. Performing sensitivity
analysisrigorouslyallowsanalystsanddecisionmakerstoobtainanunderstanding
of their model and insights from the model that would otherwise go lost.
Iamextremelygratefulandmuchindebtwithallco-authorswithwhichIhave
had the privilege to work during my career. My interest in sensitivity analysis
initiates during my Ph.D. at MIT, with my advisor George E. Apostolakis. We
started analyzing the important class of reliability importance measures and then
moved on to global sensitivity analysis methods. Since then, I have had the priv-
ilegeofworkingwithseveralco-authorsandfriends.Eachofthemhascontributed
inbroadeningandenrichingmyviewofthemethodsandproblemsofmyresearch
field. I will thank them in alphabetical order, hoping not to forget any of them:
Hananeh Aliee, George Apostolakis, Manel Baucells, Francesca Beccacece,
Valentina Bosetti, Greg Buzzard, William Castaings, Veronica Cappelli, Carmelo
ix
x Preface
Cennamo, Alessandra Cillo, Francesco Di Maio, Marzio Galeotti, Stefano Gatti,
Michael Glass, Gordon Hazen, Mary Hill, Kara Kockelman, Victor Jose, Marzio
Marseguerra, Fabio Maccheroni, Massimo Marinacci, Giacomo Marangoni,
Lorenzo Peccati, Alessandra Pellegri, Marco Percoco, Riccardo Polizzi, Elmar
Plischke, Roberto Roson, Andrea Saltelli, Curtis Smith, Stefano Tarantola, Jurgen
Teich,MassimoTavoni,FabioTonoli,RichardWendell,IrmelaZenter,EnricoZio,
Stanley Zionts, and Maurizio Zollo.
IwishtothankGeorgeE.Apostolakisforwritingtheforewordofthisbookand
forinspiringsomuchofmyscientificlife.AspecialthankgoestoFabioTonoli,for
his extreme dedication and hard work in carefully reading and spotting inconsis-
tenciesinthemanuscript.IalsothankXuefeiLuandSumedaSiriwardenafortheir
comments.
At last, a truly special thank goes to my family, at large, and especially to my
wonderfulwife,Anna,andmydearestdaughters,EmmaandValeria.Ithankthem
heartily for the immense patience and constant support, especially when I was
workinglatehoursorduringholidays.Theyarethejoyofeverymomentofmylife.
Milan, Italy Emanuele Borgonovo
