Probabilistic sensitivity analysis using Monte Carlo simulation. A practical approach

Med Decis Making. 1985 Summer;5(2):157-77. doi: 10.1177/0272989X8500500205.

Abstract

The data for medical decision analyses are often unreliable. Traditional sensitivity analysis--varying one or more probability or utility estimates from baseline values to see if the optimal strategy changes--is cumbersome if more than two values are allowed to vary concurrently. This paper describes a practical method for probabilistic sensitivity analysis, in which uncertainties in all values are considered simultaneously. The uncertainty in each probability and utility is assumed to possess a probability distribution. For ease of application we have used a parametric model that permits each distribution to be specified by two values: the baseline estimate and a bound (upper or lower) of the 95 percent confidence interval. Following multiple simulations of the decision tree in which each probability and utility is randomly assigned a value within its distribution, the following results are recorded: (a) the mean and standard deviation of the expected utility of each strategy; (b) the frequency with which each strategy is optimal; (c) the frequency with which each strategy "buys" or "costs" a specified amount of utility relative to the remaining strategies. As illustrated by an application to a previously published decision analysis, this technique is easy to use and can be a valuable addition to the armamentarium of the decision analyst.

Publication types

  • Research Support, Non-U.S. Gov't
  • Research Support, U.S. Gov't, P.H.S.

MeSH terms

  • Decision Making*
  • Humans
  • Models, Biological
  • Monte Carlo Method*
  • Operations Research*
  • Probability Theory