### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Operations research |

Number of pages | 27 |

Volume | 2001-46 |

Publication status | Published - 2001 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2001-46 |

### Fingerprint

### Keywords

- sensitivity analysis
- experimental design
- investment analysis
- simulation

### Cite this

*Deterministic versus Stochastic Sensitivity Analysis in Investment Problems: An Environmental Case Study*. (CentER Discussion Paper; Vol. 2001-46). Tilburg: Operations research.

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**Deterministic versus Stochastic Sensitivity Analysis in Investment Problems : An Environmental Case Study.** / van Groenendaal, W.J.H.; Kleijnen, J.P.C.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Deterministic versus Stochastic Sensitivity Analysis in Investment Problems

T2 - An Environmental Case Study

AU - van Groenendaal, W.J.H.

AU - Kleijnen, J.P.C.

N1 - Pagination: 27

PY - 2001

Y1 - 2001

N2 - Sensitivity analysis in investment problems is an important tool to determine which factors can jeopardize the future of the investment.Information on the probability distribution of those factors that affect the investment is mostly lacking.In those situations the analysts have two options: (i) apply a method that does not require knowledge of that distribution, or (ii) make assumptions about the distribution.In both approaches sensitivity analysis should result in practical information about the actual importance of potential factors.For approach (i) we apply statistical design of experiments (DOE) in combination with regression analysis or meta-modeling.For approach (ii) we investigate five types of relationships between the model output and each individual factor; Pearson's p, Spearman's rank correlation, and location, dispersion, and statistical dependence.We introduce two distribution types popular with practitioners: uniform and triangular.In an environmental case study both approaches identify the same factors as important.

AB - Sensitivity analysis in investment problems is an important tool to determine which factors can jeopardize the future of the investment.Information on the probability distribution of those factors that affect the investment is mostly lacking.In those situations the analysts have two options: (i) apply a method that does not require knowledge of that distribution, or (ii) make assumptions about the distribution.In both approaches sensitivity analysis should result in practical information about the actual importance of potential factors.For approach (i) we apply statistical design of experiments (DOE) in combination with regression analysis or meta-modeling.For approach (ii) we investigate five types of relationships between the model output and each individual factor; Pearson's p, Spearman's rank correlation, and location, dispersion, and statistical dependence.We introduce two distribution types popular with practitioners: uniform and triangular.In an environmental case study both approaches identify the same factors as important.

KW - sensitivity analysis

KW - experimental design

KW - investment analysis

KW - simulation

M3 - Discussion paper

VL - 2001-46

T3 - CentER Discussion Paper

BT - Deterministic versus Stochastic Sensitivity Analysis in Investment Problems

PB - Operations research

CY - Tilburg

ER -