1 / 15

Software Tools for Sensitivity and Uncertainty Analysis

Software Tools for Sensitivity and Uncertainty Analysis. H. Scott Matthews 12-706/73-359 Lecture 11 - Oct. 6, 2004. Admin Issues. Reminder: Discounting/Finance Review on Friday - HERE 10:30am HW 2 back on Monday Project feedback coming. Final Notes on Uncertainty.

buffy-floyd
Download Presentation

Software Tools for Sensitivity and Uncertainty Analysis

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Software Tools for Sensitivityand Uncertainty Analysis H. Scott Matthews 12-706/73-359 Lecture 11 - Oct. 6, 2004

  2. Admin Issues • Reminder: Discounting/Finance Review on Friday - HERE 10:30am • HW 2 back on Monday • Project feedback coming

  3. Final Notes on Uncertainty • It is inherent to everything we do • Our goal then is to best understand and model its existence, make better results • We ‘internalize’ the uncertainty by making ranges or distributions of variables • We see the effects by performing sensitivity analysis (one of three methods)

  4. From Last Time: Error bar result Easier to see ‘best case/base case/worst case’ results - imagine moving a straight edge vertically up and down the axis to see result.

  5. Reconsider Photo Sensor Example • (Still using Sens Anal XLS file on web) • Looked last time at ‘Photo’ worksheet • As we add scenarios, the model/spreadsheet becomes increasingly complicated • Adding new columns for different inputs • However, still a straightforward method • We can easily replicate numbers from lecture in this excel file

  6. Adding scenarios/sensitivity • “What if” we care about how the total costs of the base case vary as the price of electricity changes? • “What if” we care about how the percent time natural light is available (i.e. percent time sensors on/off) affects cost of PS? • Can do this quickly and easily with tools • Use ‘Sensit’ excel add-in from last time • http://www.treeplan.com/ • Download .xla (add-in), .xls (example), .pdf (guide)

  7. Sensit Add-in Installation Tips • See course web page for download link • Choose Install option 3 in PDF - “put in Excel Startup folder” • Click “I agree” when sensit dialog comes up on startup • See ‘sens analysis’ spreadsheet from last class for example outputs

  8. Types of Results in Sensit • Plot : partial sensitivity analysis with one variable • Spider: aggregate result of several partial analyses run separately - all displayed on same figure • Tornado: aggregate result of several partial analyses run separately - all displayed on same figure • Usage: set up spreadsheet framework and formulas, choose “Tools -> Sensitivity Analysis”menu items above

  9. Sensitivity Analysis Plots • Useful for single, what-if questions • Typically “partial” - effect of change in output from 1 input • Calculates/graphs results • We see same ‘results’ as before, but can use a simpler excel model (less columns) • Compare “Photo” worksheet vs. “Photo-Sens Anal” worksheet

  10. Spider/Tornado Diagrams • Show changes in output from all selected inputs by percentage, unit changes, etc • Does sensitivity analysis ‘over a range’ for each input you specify • Shows ‘output at each point in the range’ • Creates useful visualization • Aids in identifying ‘key parameters’ • Just need to be careful in selecting equivalent input ranges so comparison is fair

  11. Notes on Photo Sensor Case • Not so analytically interesting because all inputs have positive contribution to cost • i.e. linear model is X + Y +Z, not X -Y +Z • See sample file that comes with add-in • Simple sales/production cost model • Spider and tornado diagrams more useful

  12. Monte Carlo Sens. Anal. • Monte Carlo analysis’ 3 steps • First, specify probability distributions • Second, trial by random draws (plug them in) • Third, repeat for many (000s) of trials • Produces some distribution of results • Doing Monte Carlo doesn’t “give you the answer”! • Law of large numbers says convergence • See Appendix 7A for spreadsheet tutorial

  13. Monte Carlo Simulations • Download RiskSim add-in from website • See special warnings/notes in BOLD!! • If Excel error msg, choose “no” on update links • May need admin privileges to install • Adds special probability functions to excel • Excel has some, but these are better • Also adds monte carlo math to excel • Distributions: Binomial, Cumulative, Discrete, Exponential, Integer, Normal, Poisson, Triangular, Uniform • Can do almost anything with these as base

  14. Using Monte Carlo Methods • Instead of our ‘point estimates’ from last time, we consider probabilistic functions • Photo-RiskSim worksheet as starting point • Bulb and elec. cost obvious to do with prob. functions • Other variables are constant (e.g., number of bulbs) • Assume bulb cost is triangular, 3.5, 6, 10 • Elec cost normal with mean 0.05, stdev .005 • Now what kind of result will we get? • Use with “Tools-> Risk Simulation” (one output) • Note demo version limited to 300 Monte Carlo trials • Again, photo sensor case not ideal for this - look at production cost example

  15. Wrap-Up • Look at effect of number of trials (50 - 300) • RiskSim Summary worksheet shows 300 trials - note if you do it again, results would be different! • Could do all of this with excel, would just be harder (as usual) • Add-ins like this (or CrystalBall, @RISK) simplify this kind of analysis - you should definitely use these instead. • We have much better models - and knowledge of our results now

More Related