Local Sensitivity Analysis

Definition

Local sensitivity analysis is the assessment of the local impact of input factors’ variation on model response by concentrating on the sensitivity in vicinity of a set of factor values. Such sensitivity is often evaluated through gradients or partial derivatives of the output functions at these factor values, i.e., the values of other input factors are kept constant when studying the local sensitivity of an input factor.

Main Text

In large and complex models, it is often the case that the importance of input factors is not clear. In such cases, it is good to know the slope of the model’s response at a set of given points in the factor space corresponding to a small change around these points. The investigated points where slopes are estimated are called nominal values of factors, and usually are the points of the best factor estimate. The simplest way to calculate local sensitivity is the so-called brute-force method, which requires the model to be completely recomputed to...