Optimization

Opt at o Theory
eo y
MMC 52212 / MME 52106

Sensitivity Analysis

by
y Sarkar
Dr. Shibayan
Department of Mechanical Engg.
Indian School of Mines Dhanbad

Page 1
 Why Sensitivity Analysis ?
The goal of a sensitivity analysis is to determine how sensitive our
conclusions are to each assumption
p made, since in reality
y we are rarely
y
certain enough about things to be able to expect all of our assumptions to
be exactly valid.
In general
general, we wish to chose parameters about which there is the most
uncertainty and perform a sensitivity analysis on them.
We can do this directly by repeating our solution of the model for various
values of the parameter.
In general, we also wish to interpret sensitivity data in terms of a relative
change or percent change
change, change, rather than in absolute terms; e.g.,
e g a 1%
decrease in parameter r leads to a 3.6% increase in t or a 1% decrease in
parameter g leads to a 3.2% decrease in t. Therefore, r is most sensitive.
If a variable
i bl x changes
h b
by an amount x,
theh relative
l i change
h iis x/x.
/ The
Th
ratio between the relative change in t to the relative change in x is given by
t
t dt
d x This term is sensitivity of t to x
x, denotes as S(t
S(t,x)
x)
x dx t Interpretation of the sensitivity coefficients depends on degree of uncertainty.
x Page 2
 Sensitivity Analysis : Example 1
A by product material weighing 200 kg increases 5 kg per day and costs Rs. 60
per day to keep. The market price for this by-product is Rs. 70 per kg, but price
reduces Rs. 1 per day. When should the material be sold?
Variables:
t = time (days) ; w = weight (kg) ; p = price (Rs.) ; C = cost of keeping (Rs. / day);
R = revenue obtained by selling (Rs (Rs.)) Pf= Profit from the sale (Rs
(Rs.))
Assumptions:
t 0 ; w 0 ; p 0
Model Formation:
C 60t ; R pw ; p 70 1 t ; w 200 5t ; Pf R C
R (70 t )(200 5t )
Pf (70 t )(200 5t ) 60t 14000 90t 5t 2
Our Problem is to maximize the profit
max( Pf ) where t : t 0
Solve and interpret the Model :
dPf
90 10t ; Pf (t ) 0 at t 9 ; again Pf (t ) 10 ensure at t=9 is
dt
maximum value will be achieved Pf max 14000 90 9 5 92 14405
Therefore the material should be sold after 9 days . Page 3
 Sensitivity Analysis : Example 1
Verify the Model:
To do this, we will perform a sensitivity analysis.
First, though in our example the data and assumptions were given in detail. However, data
is obtained from measurement, observation, and even approximations, so we must
consider that the data may not be precise.
Some data will be known with more certainty than others. For example, the current weight
of the by
by-product
product material
material, the current price
price, and the cost per day of keeping the material
is easy to measure and known with a great deal of certainty.
But the rate of growth of the material may be considered as less certain. The rate of
changeg in the p
price is even more uncertain.
Let r = the rate at which the price falls. To measure the sensitivity systematically, treat r as
an unknown parameter and solve the model. Consider growth rate g = 5. So, we have........
p 70 rt
Pf (70 rt )(200 5t ) 60t
14000 290t 200rt 5rt 2 60t
dPf
290 200r 10rt zero
dt
290 200r
Pf (t ) 0 at t Pf (t ) 10r ...... Eq(1)
10r
10r
This gives optimal time to sell
provided t0, 0<r1.45 Page 4
 Sensitivity Analysis : Example 1
Verify the Model:
Still growth rate of the material is uncertain. Therefore to determine the uncertainty of the
model take r =1, let g = growth rate
Pf (70 1 t )(200 gt ) 60t
In this problem, we
14000 70 gt 200t gt 60t 2

dPf
are more confident
70 g 260 2 gt in growth rate than
dt zero
70 g 260 in the rate at which
Pf (t ) 0 at t ...... Eq(2)
2g price
i would ld fall.....
f ll
This gives optimal time to sell
provided t0,, g3.714
p g
Now find the sensitivities of the each variable......
From Eq(1) ... Derivative of t w.r.t (r)
Value usually happens....
dt 290 dt r 290 r 29 29
S (t , r ) At r=1, t=9 S (t , r ) 3.22
d
dr 10r 2 d t
dr 10r 2 t rt rt
1% decrease in rate of change in price would cause us wait approx 3.22% less time to sell the material
From Eq(2) ... Derivative of t w.r.t (g)
dt 130 dt g 130 g 130 At g
g=5,
5, tt=9
9 130
2 S (t , g ) 2 S (t , g ) 22.89
89
dg g dg t g t gt rt
1% increase in growth rate would cause us wait approx 2.89% longer time to sell the material
Page 5