Ventana software support forum

Hello,

Can someone please tell how to do "sensitivity analysis"
for a lookup function using a Hearne's method ?

I assume you mean this?
https://onlinelibrary.wiley.com/doi/abs ... 09.00058.x

The paper is paywalled, but I'm going to speculate that in general it would be tricky to implement. You'd have to have a library of functions with desired properties that meet all the reality checks needed for them to make sense in context.

A simple method for doing sensitivity analysis on a lookup is easy, if the lookup is properly normalized to begin with, like:

price = reference price * effect of inventory lookup( inventory / reference inventory )

With this construction, you can already shift and scale the effect using the reference parameters. Then you could add additional distortions of the effect, like:

price = reference price * effect of inventory lookup( inventory / reference inventory ) ^ sensitivity scale

(Bear in mind that this has infinite slope at 0 if scale < 1.)

Or, you could mix two different shapes:

price = reference price * (weight to A*effect of inventory lookup A( inventory / reference inventory )
+ (1-weight to A)*effect of inventory lookup B( inventory / reference inventory ))

Hi Tom,
Yes the link goes to the Hearne's method.
and thanks for other useful description.

tomfid wrote: ↑Mon Apr 15, 2019 1:49 pm I assume you mean this?
https://onlinelibrary.wiley.com/doi/abs ... 09.00058.x

Is it possible to use this method in an electricity market. I have a large-scale model which takes hours for one run, so I even cannot use Monte Carlo for sensitivity analysis. That's why I was wondering do you have any experience for using this method on models related to energy systems?

It seems impractical in a large model - just too many parameters to explore.

tomfid wrote: ↑Mon Jan 27, 2020 2:32 pm It seems impractical in a large model - just too many parameters to explore.

Although he has not addressed what large model means from Author's point of view, he has mentioned in the paper that "The application of
this simpler method before resorting to the triangular functions might yield computational savings, which would be important for very large models. pp. 13"

This is an old thread, but it seems to still be applicable.

This Paper https://onlinelibrary.wiley.com/doi/abs ... 2/sdr.1518

Was extremely useful in understanding and applying the Hearne' method.