Sensitivity analysis for dependent variables

Decision analysts use sensitivity analysis to identify influential variables, to determine which input variables to model stochastically, and to characterize scenarios that could affect a change in the rank ordering of the alternatives. A frequently recommended sensitivity analysis technique is ‘one-way’ sensitivity analysis, which determines a variable's influence by the degree to which the objective function changes as that variable is varied while all other variables are held fixed. Disadvantages of one-way analysis are that it measures the influence of only one variable at a time and it assumes independence among the input variables. Clearly, however, there are situations when dependencies exist among the input variables that could possibly affect the sensitivity analysis results. This research develops a strategy that incorporates dependence relations among the input variables into the sensitivity analysis using rank correlations. Only decision problems with a finite number of alternatives and continuous state variables are considered.