A MATHEMATICAL PROGRAMMING APPROACH TO SENSITIVITY ANALYSIS IN SINGLE‐STAGE DECISION MAKING
针对单阶段决策问题，在有限行动和自然状态下，研究了概率固定时收益的灵敏度分析、收益固定时概率的灵敏度分析以及两者的联合灵敏度分析，并通过线性或二次规划求解。
ABSTRACT This paper presents sensitivity analyses for a single‐stage decision problem where an action which will maximize the expected payoff must be chosen from a finite number of actions given the states of nature, their probabilities, and the payoffs corresponding to each action and state of nature. Three types of sensitivity analysis are developed: (1) sensitivity analysis on the probabilities keeping the payoff numbers fixed, (2) sensitivity analysis on the payoffs keeping the probabilities fixed, and (3) joint sensitivity analysis on the payoffs and the probabilities. The approach is illustrated with an example. Quite often the sensitivity analysis can be conducted by solving an appropriate linear or quadratic programming problem.