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Paper Abstract and Keywords
Presentation 2020-12-11 15:15
A Note on Variance-Based Sensitivity Analysis for Continuous-Time Markov Chains Based on Moment Approximation
Jiahao Zhang (Hiroshima Univ.), Junjun Zheng (Ritsumeikan Univ.), Hiroyuki Okamura, Tadashi Dohi (Hiroshima Univ.) R2020-33
Abstract (in Japanese) (See Japanese page) 
(in English) Sensitivity analysis plays a critical role in quantifying uncertainty in the design of computer systems. In particular, a variance-based global sensitivity analysis is often used to rank the importance of input factors, based on their contribution to the variance of the output measure of interest. The variance-based sensitivity analysis is sampling-based and therefore usually applies simulation methods such as Monte Carlo simulation. That means, the traditional methods for variance-based sensitivity analysis based on simulation do not need the analytic structure of the model to be analyzed. But the simulation usually needs huge number of realisations to obtain stable results, which incurs an undesired high computational cost. In this paper, we present an analytic approach to compute the variance-based sensitivity based on moment approximation. More specifically, we formulate the output measure of continuous-time Markov chains (CTMCs) and investigate the relationship between input parameters and output measure through variance-based sensitivity analysis. In numerical experiments, the effects of model parameters in both parallel and series system configurations show that the effect of a component depends largely on the system structure.
Keyword (in Japanese) (See Japanese page) 
(in English) Variance-based sensitivity analysis / continuous-time Markov chains / moment-based approximation / main effect / / / /  
Reference Info. IEICE Tech. Rep., vol. 120, no. 286, R2020-33, pp. 18-23, Dec. 2020.
Paper # R2020-33 
Date of Issue 2020-12-04 (R) 
ISSN Online edition: ISSN 2432-6380
Copyright
and
reproduction		 All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
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Conference Information
Committee R  
Conference Date 2020-12-11 - 2020-12-11 
Place (in Japanese) (See Japanese page) 
Place (in English) Online 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Reliability International Standard, Maintainability, Reliability General 
Paper Information
Registration To R 
Conference Code 2020-12-R 
Language English 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) A Note on Variance-Based Sensitivity Analysis for Continuous-Time Markov Chains Based on Moment Approximation 
Sub Title (in English)  
Keyword(1) Variance-based sensitivity analysis  
Keyword(2) continuous-time Markov chains  
Keyword(3) moment-based approximation  
Keyword(4) main effect  
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1st Author's Name Jiahao Zhang  
1st Author's Affiliation Hiroshima University (Hiroshima Univ.)
2nd Author's Name Junjun Zheng  
2nd Author's Affiliation Ritsumeikan University (Ritsumeikan Univ.)
3rd Author's Name Hiroyuki Okamura  
3rd Author's Affiliation Hiroshima University (Hiroshima Univ.)
4th Author's Name Tadashi Dohi  
4th Author's Affiliation Hiroshima University (Hiroshima Univ.)
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Speaker Author-1 
Date Time 2020-12-11 15:15:00 
Presentation Time 25 minutes 
Registration for R 
Paper # R2020-33 
Volume (vol) vol.120 
Number (no) no.286 
Page pp.18-23 
#Pages 6 
Date of Issue 2020-12-04 (R) 

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