A note on sensitivity analysis for PH approximation (New Developments on Mathematical Decision Making Under Uncertainty)

Abstract

This paper presents the moment-based approximation for model depandability when the uncertainty of model parameters is considered. The propagation of uncertainty of model parameters can be estimated by regarding the model parameters as random variables. However, statistical model often involves the non-exponential distribution such as Weibull distribution, which leads to the high computation cost of uncertainty analysis. In this paper, we focus on the Phase-type(PH) distribution to overcome the difficulty of computation for model contains Weibull distribution.