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The uncertainty sensitivity index method (USIM) and its extension
Author(s) -
Li Duan,
Haimes Yacov Y.
Publication year - 1988
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/1520-6750(198812)35:6<655::aid-nav3220350611>3.0.co;2-s
Subject(s) - extension (predicate logic) , mathematical optimization , sensitivity (control systems) , norm (philosophy) , optimization problem , set (abstract data type) , computer science , mathematics , function (biology) , multi objective optimization , ideal (ethics) , engineering , electronic engineering , evolutionary biology , law , political science , biology , programming language , philosophy , epistemology
This article deals with optimization problems that have some uncertain parameters with unknown probabilities. The article proposes a strategy of transferring the system's uncertainty associated with these optimization problems into a norm or a set of norms that is added to the original objective function(s) within a multiobjective framework. The uncertainty sensitivity index method (USIM) proposed by Haimes and Hall [1977] is extended to several general cases. A robust algorithm is developed to guarantee an ideal solution for cases where the nominal value of the uncertain parameter is itself an uncertain variable. A design problem is also addressed to identify the best‐compromise values of the system's parameters by integrating the USIM with the envelope approach.