Sensitivity analysis of multinomial decision trees

International Journal of Mathematics in Operational Research

Volumn 1, Issue 1-2, 2009, Pages 121-143

  Borgonovo, E ^a  

^a BOCCONI UNIVERSITY   (Italy)

Author keywords

Decision trees; Influence diagrams; Sensitivity analysis; Tornado diagrams

Indexed keywords

EID: 80055053511     PISSN: 17575850     EISSN: 17575869     Source Type: Journal    
DOI: 10.1504/IJMOR.2009.022878     Document Type: Article

References (28)

1. Ben-Daya, M. and Noman, S.M. (2008) 'Integrated inventory and inspection policies for stochastic demand', European Journal of Operational Research, Vol. 185, pp.159-169.
2. Bielza, C. and Shenoy, P.P. (1999) 'A comparison of graphical techniques for asymmetric decision problems', Management Science, Vol. 45, pp.1552-1569.
3. Borgonovo, E. (2006) 'Measuring uncertainty importance: investigation and comparison of alternative approaches', Risk Analysis, Vol. 26, pp.1349-1362.
4. Borgonovo, E. (Forthcoming) 'Uncertainty propagation in decision support models', Int. J. Operational Research.
5. Borgonovo, E. (2008) 'Sensitivity analysis of model output with input constraints: a generalized rationale for local methods', Risk Analysis, Vol. 28, pp.667-680, June.
6. Borgonovo E. and Peccati L. (2007) 'On the quantification and decomposition of uncertainty', in M. Abdellaoui, R.D. Luce, M. Machina and B. Munier (Eds), Uncertainty and Risk: Mental, Formal, Experimental Representations, Theory and Decision Library Series, Germany: Springer Verlag, Heidelberg, ISBN-978-3-54048934-4.
7. Borgonovo E. and Peccati L. (2008) 'Sensitivity Analysis in Decision Making: a Consistent Approach', in M. Abdellaoui and J.D. Hey (Eds), Advances in Decision Making Under Risk and Uncertainty, Theory and Decision Library Series, Vol. 42, Germany: Springer Verlag, Heidelberg, pp.241 and 65-89, ISBN: 978-3-540-68436-7.
8. Clemen, R.T. (1997) Making Hard Decisions: An Introduction to Decision Analysis (2nd ed.). Pacific Grove, CA: Duxbury Press, ISBN: 0534260349.
9. Eschenbach, T.G. (1992) 'Scatterplots versus tornado diagrams for sensitivity analysis', Interfaces, Vol. 22, pp.40-46.
10. Griewank, A., Utke, J. and Walther, A. (2000) 'Evaluating higher derivative tensors by forward propagation of univariate taylor series', Mathematics of Computation, Vol. 69, pp.1117-1130.
11. Horvitz, E. (2005) 'From the guest editor special issue on graph-based representations', Decision Analysis, Vol. 2, pp.125-126.
12. Howard, R.A. (1988) 'Decision analysis: practice and promise', Management Science, Vol. 34, pp.679-695.
13. Howard, R.A. and Matheson, J.E. (1981) 'Influence diagrams', in R.A. Howard and J.E. Matheson (Eds), Readings on the Principles and Applications of Decision Analysis, Vol. II (1984), Menlo Park, CA: Strategic Decisions Group. Reprinted in Decision Analysis, Vol. 2, September 2005, pp.127-143.
14. Kleijnen, J.P.C. (2005) 'An overview of the design and analysis of simulation experiments for sensitivity analysis', European Journal of Operational Research, Vol. 164, pp.287-300.
15. Kleijnen, J.P.C. (2009) 'Kriging metamodeling in simulation: a review', European Journal of Operational Research, Vol. 192, pp.707-716.
16. Manganelli, S., Ceci, V. and Vecchiato, W. (2002) 'Sensitivity analysis of volatility: a new tool for risk management', European Central Bank Working Paper Series, Vol. 194, November.
17. Monahan, G.E. (2000) Management Decision Making: Spreadsheet Modeling, Analysis, and Applications. Cambridge, UK: Cambridge University Press, ISBN 978-0521781183, p.712.
18. Oggier, C., Fragnière, E. and Stuby, J. (2005) 'Nestlé improves its financial reporting with management science', Interfaces, Vol. 35, pp.271-280.
19. Papazoglou, I.A. (1998) 'Mathematical foundations for event trees', Reliability Engineering and System Safety, Vol. 61, pp.169-183.
20. Rheinboldt, W.C. (1993) 'On the sensitivity of solutions of parameterized equations', SIAM Journal on Numerical Analysis, Vol. 30, pp.305-320.
21. Sana, S.S. and Chaudhuri, K.S. (2008) 'A deterministic EOQ model with delays in payments and price-discount offers', European Journal of Operational Research, Vol. 184, pp.509-533.
22. Schachter, R.D. (1986) 'Evaluating influence diagrams', Operations Research, Vol. 34, pp.871-882.
23. Shapiro, A. (2005) 'Sensitivity analysis of parameterized variational inequalities', Mathematics of Operations Research, Vol. 30, pp.109-126.
24. Smith, J.E. (1998) 'Evaluating income streams: a decision analysis approach', Management Science, Vol. 44, pp.1690-1708.
25. Soni, H. and Shah, N.H. (2008) 'Optimal ordering policy for stock-dependent demand under progressive payment scheme', European Journal of Operational Research, Vol. 184, pp.91-100.
26. von Neumann, J. and Morgenstern, O. (1944) Theory of Games and Economic Behavior (60th anniversary ed.). Princeton, NJ: Princeton University Press, reprinted in 2007, p.776.
27. Wagner, H.M. (1995) 'Global sensitivity analysis', Operations Research, Vol. 43, pp.948-969.
28. Whitt, W. (2006) 'Sensitivity of performance in the Erlang-a queueing model to changes in the model parameters', Operations Research, Vol. 54, pp.247-260.