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# Qualitative sensitivity analysis¶

## Morris Method¶

We showcase the use of econsa for qualitative sensitivity analysis.

[1]:

from econsa.morris import elementary_effects
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns


The module morris implements the extended Morris method as proposed by Ge & Menendez (2017). They extend the Morris method in the sense, that their algorithm takes dependency among inputs into account.

For illustration purposes consider the Morris method for independent inputs only.

Let $$x = \{x_1, \dots, x_k\}$$ denote a sample of values assigned to the $$X_i$$’s. $$f(x)$$ is then the model output obtained for the values in $$x$$. Now consider a second sample $$x_{\Delta_i} = \{x_1, \dots, x_{i-1}, x_i + \Delta, x_{i+1}, \dots, x_k\}$$ that is identical to $$x$$ up to input $$x_i$$ which is varied by $$\Delta$$. Then, one elementary effect for input $$i$$ is derived by

$EE_i = \frac{f(x_{\Delta_i}) - f(x)}{\Delta}.$

The above elementary effect is computed $$N$$ times, each for a varying $$\Delta$$. The actual sensitivity measures resulting from the Morris method are the mean, denoted by $$\mu^\ast_i$$, and the standard deviation, denoted by $$\sigma_i$$, taken from the $$N$$ elementary effects per input $$i$$.

$\mu_i^\ast = \frac{1}{N} \sum_{r=1}^N \vert EE_{i, r} \vert$
$\sigma_i = \sqrt{\frac{1}{N-1} \sum_{r=1}^N (EE_{i, r} - \mu_i)^2}$

The derivation of the extended Morris indices is more complicated and we get four sensitivity indices indstead of only two: independent and full Morris indices, $$(\mu_i^{\ast,\ ind}, \mu_i^{\ast,\ full}, \sigma_i^{ind}, \sigma_i^{full})$$, which are computed analogously to the Morris indices under input independence, but are based on different elementary effects:

• $$EE_i^{ind}$$ denotes independent elementary effects for input $$i$$, effects that exclude the contributions attributable to the dependence between input $$X_i$$ and $$X_j$$ for $$i \neq j$$, and

• $$EE_i^{full}$$ denotes full elementary effects for input $$i$$, that include the effects due to correlation with other inputs.

The implementation of the algorithm used in econsa uses the radial design and the inverse Nataf transformation as described in Ge & Menendez (2017).

For applying the Morris method, we need to specify the following arguments:

• func: The model for which we want to calculate the Morris indices. Note how the data needs to be accessed within the function. See below example.

• params: The mean values of the inputs.

• cov: The variance-covariance matrix of the inputs.

• n_draws: Number of draws, which corresponds to $$N$$ above.

Note that the current implementation of the Morris method in econsa does allow for Gaussian (i.e. normally distributed) inputs only.

### The func argument¶

func is the implementation of the model we want to conduct sensitivity analysis for. The Morris method can be applied to all models that return a unique value for a given set of realisations of the model inputs.

The model implemented by func needs to access the inputs in the following way, if the input names are specified in params and cov:

m = x["value"]["m"]

c = x["value"]["c"]

s = x["value"]["s"].

Alternatively we can access them via the index as well:

m = x["value"][0]

c = x["value"][1]

s = x["value"][2].

[2]:

def eoq_model_morris(x, r=0.1):
"""EOQ Model that accesses data as expected by elementary_effects."""
m = x["value"]["m"]
c = x["value"]["c"]
s = x["value"]["s"]

# Need to ensure that there exists a solution (i.e. no NaNs).
if m < 0:
m = 0
elif c < 0:
raise ValueError
elif s < 0:
s = 0
else:
pass

return np.sqrt((24 * m * s) / (r * c))


### The params and cov arguments¶

Specify the input names in the data frames params and cov to display the input names in the output of elementary_effects. params is a vector of means of the normally distributed model inputs. params needs to be a pandas.DataFrame with a colum called "value", which contains the means of the inputs.

cov is the corresponding variance-covariance matrix. The variance-covariance matrix describes the dependence structure of the inputs. As params, cov needs to be a pandas.DataFrame. Indices need to be the same as in params.

[3]:

names = ['m', 'c', 's']
params = pd.DataFrame(data=np.array([5.345, 0.0135, 2.15]), columns=['value'], index=names)
cov = pd.DataFrame(data=np.diag([1, 0.000001, 0.01]), columns=names, index=names)


### The n_draws argument¶

n_draws is the number of elementary effects we want to use for the computation of the Morris indices. The total computational cost of the extended Morris method amounts to $$3kN$$, where $$k$$ denotes the number of inputs and $$N$$ the number of draws (n_draws).

[4]:

n_draws = 100


### The sampling_scheme and seed arguments¶

By specifying sampling_scheme we can choose how uniformly distributed samples are drawn. The uniformly distributed samples are then transfomed to dependently and normally distributed samples. “sobol” is used to sample from a low-discrepancy seuqence which generates more evenly distributed samples. When using “random”, we get pseudo-random samples. seed denotes the corresponding seed when generating random numbers. The default is that sampling_scheme $$=$$ “sobol” and seed $$=1$$.

### The n_cores argument¶

Parallelising code is done by the Python built-in multiprocessing module, where n_cores is the number of cores employed. The default is that that n_cores is set to $$1$$.

[5]:

results = elementary_effects(eoq_model_morris, params, cov, n_draws)


### The output¶

The output of elementary_effects is a dictionary containing the four sensitivity indices derived from the n_draws elementary effects: $$(\mu_i^{\ast,\ ind}, \mu_i^{\ast,\ full}, \sigma_i^{ind}, \sigma_i^{full})$$. The Morris indices are accessed as shown below.

#### Independent Morris indices $$(\mu_i^{\ast,\ ind}, \sigma_i^{ind})$$¶

[6]:

morris_ind = pd.DataFrame(pd.concat((results['mu_ind'], results['sigma_ind']), axis=1))
morris_ind.columns = ['mu', 'sigma']
morris_ind

[6]:

mu sigma
m 152.932694 54.844400
c 57.953365 17.314969
s 33.104776 7.963128

#### Full Morris indices $$(\mu_i^{\ast,\ full}, \sigma_i^{full})$$¶

[7]:

morris_full = pd.DataFrame(pd.concat((results['mu_corr'], results['sigma_corr']), axis=1))
morris_full.columns = ['mu', 'sigma']
morris_full

[7]:

mu sigma
m 2369.122666 2523.492389
c 3270.066313 8210.375153
s 2888.326540 3814.720109

### Plotting the results¶

The input ranking is conducted based on $$(\mu_i^{\ast,\ ind}, \mu_i^{\ast,\ full})$$.

[8]:

def plot_morris_indices(morris_full, morris_ind):
fig, ax = plt.subplots(2, 1)
sns.set_style("whitegrid")

sns.scatterplot(x=morris_full['mu'], y=morris_full['sigma'], data=morris_full, ax=ax[0])
sns.scatterplot(x=morris_ind['mu'], y=morris_ind['sigma'], data=morris_full, ax=ax[1])

ax[0].set_title('Full Morris indices')

ax[0].text(x=morris_full['mu'].iloc[0] + 20, y=morris_full['sigma'].iloc[0], s='m')
ax[0].text(x=morris_full['mu'].iloc[1] + 20, y=morris_full['sigma'].iloc[1], s='c')
ax[0].text(x=morris_full['mu'].iloc[2] + 20, y=morris_full['sigma'].iloc[2], s='s')

ax[1].set_title('Independent Morris indices')

ax[1].text(x=morris_ind['mu'].iloc[0] + 2, y=morris_ind['sigma'].iloc[0], s='m')
ax[1].text(x=morris_ind['mu'].iloc[1] + 2, y=morris_ind['sigma'].iloc[1], s='c')
ax[1].text(x=morris_ind['mu'].iloc[2] + 2, y=morris_ind['sigma'].iloc[2], s='s')

plt.tight_layout()
plt.show()

[9]:

plot_morris_indices(morris_full, morris_ind)


### Interpretation¶

The input ranking based on $$(\mu_i^{\ast,\ ind}, \mu_i^{\ast,\ full})$$ differs when independent or full indices are considered.

The ranking in ascending order according to full indices is $$c - s - m$$, whereas the ranking based on independent inidces is $$m - c - s$$. For input $$m$$ this means that the variance contribution due to the isolated effect of $$m$$ is much larger than the contribution due to dependence with other inputs. Inputs $$c$$ and $$s$$, though, exhibit large effects due to dependence.

Since none of the inputs is close to zero, we can conclude that all three inputs are important in terms of their output variance contribution.

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