Sensitivity Analysis in Chemical Kinetics

Ann. Rev. Phys. Cher. 1983.
34: 4I9-I
Copyright 1983 by Annual Reviews Inc. All rights reserved
h1h11N1 PPLh1h 1
L11A1LPL 111Lh
H. Rabitz, M. Kramer, 1 and D. Dacol
Department of Chemistry, Princeton University, Princeton,
New Jersey 08544
INTRODUCTION
Complex mathematical models are increasingly being used as predictive
tools and as aids for understanding the processes underlying observed
chemical phenomena. The parameters appearing in these models, which
may include rate constants, activation energies, thermodynamic constants,
transport coefcients, initial conditions, and operating conditions, are
seldom known to high precision. Thus, the predictions or conclusions of
modeling endeavors are usually subject to uncertainty. Furthermore,
regardless of uncertainty questions, there is always the overriding matter of
which parameters control laboratory observations. Quantifcation of the
role of the parameters in the model predictions is the traditional realm of
sensitivity analysis. A signifcant amount of current research is directed
at conceptualization and implementation of numerical techniques for
determining parametric sensitivities for algebraic, diferential, and partial
diferential equation models including those with stochastic character and
nonconstant parameters. Recent studies have also served to extend the
range of the conventional parametric analysis to address new questions,
relevant to the process of model building and interpretation. This review
attempts to present a full range of results and applications of sensitivity
analysis, relevant to chemical kinetic modeling. We exclude a large class of
literature that deals with system sensitivities from a control theory
perspective (1). We further limit discussion of related subjects such as
parameter identifcation (estimation of best parameter values for ftting
data) and optimization, in which parametric sensitivities play only
Current address: Department of Chemical Engneering, Massachusetts Institute of
Technology, Cambridge, Massachusetts 02139.
419
0066-426Xj83jl101-419$02.00
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Quick links to online content
Further
ANNUAL
REVIEWS
420 RABITZ, KRAMR & DACOL
subsidiary roles. Most of the references cited herein are drawn from the
chemical literature, but signifcant parallel literatures have developed in
other scientifc and engineering disciplines. We are aware of active research
in biology and ecology (2), nuclear engineering (3), electrical engineering (4),
and economics (5).
There have been, in recent years, several reviews of kinetic sensitivity
analysis. Cukier, Levine & Shuler (6) discuss the Fourier (FAST) method for
nonlinear sensitivity analysis. Tilden et al (7) present a more comprehensive
review, covering 'ome local techniques [fnite diferences, direct diferential
methods, and adjoint (Green's function) methods] and global methods,
including stochastic sensitivity analysis and the FAST method. Appli
cations of sensitivity theory to molecular dynamics and kinetics have been
summarized (8), utilizing nontraditional derived sensitivities, and trajectory
feature analysis. Eno & Rabitz (9) have discussed sensitivity analysis as it
applies to molecular dynamics.
The present review begins by discussing the sensitivity methodologies
available for analysis of ordinary diferential equation models. These
methodologies can, in general, be divided into two categories based on the
nature of the sensitivity measures they produce. Local methods, which
produce sensitivity coefcients representing parametric gradients at single
points in the parametric domain, are discussed frst. Global methods, which
produce measures of parametric importance over regions of parameter
space, are then reviewed. This is followed by an analysis of stochastic
systems (i.e. those containing fuctuations). The next section discusses
sensitivity analysis of partial diferential equation (space-time) models. We
then discuss derived sensitivity analysis, which is intended to address
certain questions that arise when depende:t-independent variable roles of
the predictions and parameters are exchanged. This situation naturally
occurs when certain experiments (possibly conceptual in nature) have been
performed, and the response of the model parameters to this data is in
question. The next section considers several aspects of sensitivity a
n
alysis
relevant to the treatment of laboratory data. We then present a meth
odology for the decomposition of the elementary sensitivities into their
basic structural components. This methodology is also useful for the
construction of parametric scaling laws used to predict model solutions for
values of the parameters away from the nominal parameter values. This is
followed by consideration of cases in which the parameters are allowed to
be functions of time and/or space, producing a sensitivity formalism based
on functional derivatives. It is hoped that this review will provide a
comprehensive update and a solid introduction for both theoretical
modelers and experimentalists who use modeling for analysis and diagnosis
of kinetic systems.
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SENSITIVITY ANALYSIS 421
TEMPORAL SYSTEMS: ELEMENTARY
SENSITIVITIES
In this section, we review numerical methods for determination of the
parametric sensitivities associated with the purely temporal system
d
e
dt
= f(c, t), e(O) = co, 1.
where c is the n-vector of species concentrations or similar dependent
variables, is the m-vector of system parameters (which can include the
initial conditions
C
O
)
, and t (time) is the variable of integration. In this
section, is considered constant, although this restriction is relaxed later.
The sensitivity coefcients of Eq. 1 have been defned in a number of
diferent ways and the associated methods can be grouped accordingly.
Local methods calculate the partial derivatives oe(t)/ol, oe2(t)/oI2
,
etc, about
the nominal parameter value solution of Eq. 1. These sensitivities can be
viewed as the gradients around the nominal solution in a multidimensional
parameter space. Global methods take into account, a priori, the range
and/or statistical properties of the parameter uncertainty, and calculate
certain averaged sensitivities, e.g. <8c(t
)
/8), over the region of parameter
uncertainty. These coefcients quantify the efect of simultaneous, large
variation in I, and thus are qualitatively diferent than the local sensitivities.
Special methods are required when Eq. 1 is signifcantly infuenced by
stochastic variations. The appropriate sensitivities would in this case have
the form 8<c)/81, where <c) is the average over inherent concentration
fuctuations. Such sensitivities may be required when the system is near a
stability boundary, or for reactions with a very small number of partic
ipants, e.g., reactions in micelles. The choice of sensitivity methodology
must be dictated by the characteristics of the particular system and par
ameters under consideration. As a general rule, local methods require
less extensive calculation, and provide a higher level of detail, whereas
global methods may be best for handling large variations in the system
parameters.
Local Methods
FINITE DIFFERENCES The simplest conceptual route to calculating the local
sensitivities 8c(t)/O is via fnite diference approximations. Using this
approach, Eq. 1 is solved using various sets of parameter values, and the
sensitivity coefcients are calculated from an appropriate formula. For
example the frst order sensitivity to the jth parameter rj is
8c(t) c(t,r
j
+Lr)-c(t, o)
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422 RABITZ, KRAMER & DACOL
with all other parameters held fxed. Using this strategy, m solutions ofEq. 1
are required to determine all frst-order coefcients, m(m + 1)12 solutions for
all second-order coefcients, etc, provided that the same l!j suffces to
estimate accurately OkC/O!} for all i. It has been noted ( 10) that two
conditions should be met in selecting l!j, for the frst order calculation.
First,
Oei(t)
l!j

!Ci(t)/
f
o!j
,
where! is the fractional error in e(t), and f is the allowable fractional error
in the sensitivity. This condition limits the round-of error in oejo!j.
Second, l!j should be as small as possible, so that the infuence ofthe higher
order corrections to the fnite difference approximations are minimized.
Therefore, l!j should approach the value indicated by the equality in the
above expression. To the extent that In Ci(t)lO!j varies from species to
species, and from time to time, a number of distinct l!j may be required.
Thus the work estimates of m and m(m+ 1)/2 times the efort of i single
simulation may underestimate the true requirement. The advantage of this
approach is that no extra numerical machinery is required, above that
needed to solve Eq. 1 .
CURVE FITTING AND DERIVATIVE EXTRACTION This method involves reduc
tion of global information (the solution c at several poirtts in parameter
space), to local information (the sensitivity coefcients at a particular
parametric point). The basic strategy is to ft an interpolating function to
known points in the parametric domain, and then diferentiate this function
to determine the sensitivities at a gven point. Frenklach ( 1 1 ) points out that
sensitivities obtained by this method are adequate averages for the
parametric region of interest, but caution is called for in always assuming
that these values are the true sensitivities.
DIRECT DIFFERENTIAL METHODS This class of methods involves solution of
the diferential equations that govern the sensitivity coefcients. These
equations are derived by diferentiation of Eq. 1 with respect to the
parameter of interest
j,

J(t)

+
of(t)
dt o!j o!j o!j'
2.
where J(t) " (of/oc)". The initial condition for Eq. 2 is 0, if!j is not an initial
_condition, and the vector (0, . . . , 0, 1 0, ... , O)T, where 1 is in the ith position, if
!j is the initial condition for species i. Equation 2 can be solved
b
y coupling
with Eq. 1 and solving this set of 2n equations, or stQring :
h
e solution to
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Eq. 1 in advance, and interpolating this data to provide J(t) and of(t)jor
j
as required in' the solution of Eq. 2. The latter approach has" been
questioned in terms of its numerical stability (12); however, we h:e found
that with careful interpolation, the rpethod performs well. Using the
deoupled methodology, the efort iI solving Eq. 2 is approximately the
sa
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equations have the same Jacobian, and hence, the same stifness properties.
The advantage of the decoupled direct method as opposed, to fnite
diferences is that the difculty of sizing the variations Irj is eliminated.
Thus, the total computational efort may be less than the fnite diference
approach.
Higher order sensitivities can also be calculated by the direct approach.
For example, the governing equation for second order sensitivities, by
diferentiation of Eq. 2, is (13) .
3
.
where L -oJ(t)/oc(t). This equation can, in theory, be solved by a
cecoupled method, with approximately the same computational efort as
the frst order sensitivity equation. A coupled formulation for rj " _ would
involve 4n equations, and would be much more expensive to solve.
TH GREEN'S FUNCTION METHOD (GFM) Direct solution of Eqs. 2 and/or 3 is
not the optimum procedure, under many circumstances. Several re
searchers (e.g. 5, 13a,b, 14) have noted that because Eq. 2 is a linear,
inhomogeneous equation with time-varying coeffcients, it can be solved by
frst calculating the solution ofthe homogeneous part and then determining
the particular solutions corresponding to each parameter. The hom
ogeneous problem can be written
d
dt
K(t, t') J(t)K(t, t'), 4.
where K(t', t') " I and t > t'.
K
is an n 7 n matrix containing as its columns
the n linearly-independent solutions admitted by Eq. 4, called the kernel or
Green's function matrix. The full solution of Eq. 2 can be written
ve(t)
K
(
'
)
oe(t')
K( )
of(s)
d
;
t, t
;
+
t, b
b.
u
c
j
ur
j
Ulj
5.
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424 RBITZ, KRAMER & DACOL
Note that in the integral the frst argument of K is fxed, whereas the second
is varying. This is the opposite situation to that in Eq. 4; thus, to evaluate
the integral efciently, an adjoint strategy is commonly employed. The
adjoint Green's function Kt is defned by
6.
where Kt(t, t) = I and t' t. To use Eq. 5, the identity Kt(t', t) = K(t, t') is
applied, and propagation of K with time relies on the group property,
K(t3' t1) = K(t3,t2)K(t2' t1)
'
Edelson et al (15) examined two alternatives for solution of Eq. 6. One
method handles each row of Kt independently, thus breaking Eq. 6 into a set
ofn, n-vector ordinary diferential equations (ODEs) following earlier work
(13a,b, 16). Because each vector problem has the same Jacobian, there is a
certain amount of redundancy to this method, and Edelso
p
anticipated
improvements by handling the problem in matrix form. The expected
effciencies were not realied, however, because over twice the number of
time steps had to be taken in the matrix calculation. The following remarks
assume that the algorithm of Hwang et al (13a,b) is used.
The advantage of the GFM versus the direct diferential method is as
follows. Equation 6 requires solution of n2 diferential equations; addition
ally, Eq. 5 requires evaluation of n integrals for each parameter. These
integrals may usually be handled by quadrature [although this is some
times inadequate (17)J, which is computationally less expensive than
solving diferential equations, particularly compared to the solution of stif
diferential equations. The work of the GFM is therefore somewhat greater
than n single solutions of Eq. 1. The work required by the direct method is
about m times that of a single kinetic solution. Therefore, the GFM is
preferable over the direct method if the number of parameters is greater
than the number of species, i.e., m > n. This is the usual case in chemical
kinetics problems. The GFM is particularly suited if the sensitivities of one
concentration (or one linear superposition of concentrations) to several
parameters are to be determined; in this case, only one row of Kt needs to be
calculated, and the total efort is on the order of one kinetjc solution. The
direct method, by contrast, would be best suited i the efect of one
parameter on all species is to be determined.
The GFM can, in theory, be used for higher order sensitivities, because
the second order direct method equation has essentially the same form as
Eq. 2; only the inhomogeneity difers. The two equation, therefore, have
the same kernel, and the second order sensitivities can be written ( 1 3a,b)
02C(t) 02C(t)
0 0
-
K(t, t')-
o
- + K(t, s
)
X
j
k(s) ds,
I
j
Ik OI
j
Ik g
7.
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where Xjk is the inhomogeneity of Eq. 3. Equation 7 represents a highly
signifcant improvement over Eq. 3. The efort in evaluation of Eq. 7 lies
almost solely in the quadrature evaluation of the integral, a small expense,
whereas Eq. 3 requires an efort equivalent to solution of Eq. 1 for each
parameter set jk. In practice, the difculty of obtaining a sufcient grid of
points for evaluation of the integral in Eq. 7 makes calculation of higher
order coefcients problematic. Recent algorithmic improvements ( 1 8a,b)
have been suggested to facilitate this calculation.
TH AIM MTOD The analytically integrated Magnus (AIM) modifcation
of the Green'
s function method (17) improves upon the original GFM in
two areas. First, a specialized technique, the piecewise Magnus method
(PMM), is used for solution of the kernel Eq. 4, which handles the problem
as a matrix, rather than a succession of n, n-vector ODEs. The PMM
approximates the solution to Eq. 4 by a matrix exponential:

K(t+At,t) exp
.
J(s) ds
The exponential is handled by decomposing
1
.
At
.
J(s) ds
8.
into the diagonal matrix D of the eigenvalues, the matrix Z containing the
corresponding eigenvectors, and Z-1, and then applying (19)
K(t+At, t)' exp(ZDAtZ-1) = Z (exp DAt)Z-l. 9.
The total efort in the PMM solution of Eq. 4 is proportional to n
3
By
contrast, the efort expended in solution of Eq. 4 (or the adjoint Eq. 6), by
column (row) application of vector-ODE techniques such as Runge-Kutta
or Gear, is proportional to H. The additional factor of n signifcantly afects
the relative efciencies of the two approaches, favoring AIM for large
problems.
The second innovation in AIM is in evaluation of the integral in Eq. 5.
The PMM allows stepsizes At far too large for simple quadrature to be
efective, although this can be useful if only the Green's function is desired.
Equation 9, however, can be integrated analytically to give a closed-form
expression that automatically accounts for the curvature in K, i.e.
.
.
K(t+t,s) ds ZD-1 (exp D6t I)Z-14
A similar form may be calculated for any polynomial approximation to
of/o!j' and thus analytical approximations to the sensitivity integral are
produced. Because the Green's function form is used, AIM also has the
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efciency benefts for higher order coefcients discussed in the previous
section.
A computer code for the AIM algorithm is in distribution (20). A reaction
interpreter (21)@ which accepts chemical kinetics problems in almost format
free form, has been designed to accompany the code. The interpreter sets up
the pertinent equations automatically, and calls AIM for the calculation of
the linear sensitivities.
TH STEADY-STATE: ALGEBRAIC SYSTEMS In this section we consider the
problem of the sensitivity of the algebraic system f(c,)
=
0, which is the
steady state of the ODE system Eq. 1 . We do not, however, assume that the
dynamic relationship is known. For instance, the equations may be a
thermodynamic description of chemical equilibria, containing no rate data
whatsoever. The algebraic equations may be diferentiated with respect to
aj to give of/oaj+Joc/oaj 0, which implies

. 1 0.
oa j oa j
Irwin & O'Brien (22) note that if Newton iteration is used to solve the
original equations, J -1, or the LV decomposition of J, is available, and
Eq. 1 0 can be solved at the expense of a single matrix multiplication.
A slightly more complicated calculation may be undertaken if the
algebraic system is the t - 0 limit of a dynamic system. In this case, the
sensitivity coefcients are dynamic in nature, governed by Eq. 2. The
Jacobian and of/arj are time invariant in this context, so the sensitivities can
be written (M. A. Kramer, unpublished)
ac of OC of
(t) ~ J
_- + a(O) exp(Jt)-J -la.

O(j Vaj rj aj
1 1 .
The time profles of the sensitivity coefcients give the dynamic response of
the system to a diferential change in (
j
around the steady state.
COMPARISON OF LOCAL MTHODS In this section, we quote results of a
detailed computational study ( 10), which used a n 1 1 species, m -52
parameter model of CO oxidation as a basis for comparing local sensitivity
methods. In terms of total computation time, the AIM method was fastest,
by factors of 2,2.6, and 5.5 over the GFM, direct method (decoupled), and
fnite diference (FD) approaches, respectively. The efciency of the GFM
was markedly reduced by increasing the number of output times, to the
extent that an increase from one to ten output times increased compu
tational efort in the kernel calculation by 250%. Second-order coefcients
via the decoupled direct method were estimated to be fve times as
expensive as those calculated by AIM.
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POSSIBLE FUTURE IMPROVEMNTS Several authors have proposed to solve
Eq. 2 by combining the numerical schemes used to solve the model and the
sensitivities. These approaches depend on the fact that the local temporal
linearization of Eq. 2 is the same as that for Eq. 1 (i.e. the two systems have
the same Jacobian). Once J is calculated and inverted, this quantity can be
applied to the sensitivity equation, and by simply introducing a new
inhomogeneity the sensitivities may be propagated. Vemuri & Raefsky (23),
Irwin & O'Brien (22), and Lojek (24) have developed various aspects of this
approach. A question with this method concerns the fact that most stif
ODE solvers (25) will use the same Jacobian for several time steps.
Although this is adequate in predictor-corrector algorithms for solving the
kinetic equations, an accurate Jacobian is needed for the sensitivity
equations since it enters as a coefcient matrix in the equations. Research
remains to show if this is a serious practical matter calling for an updated
Jacobian at each time step. It is also worth noting that this method without
this complication can be implemented for steady state problems (see the
discussion blow).
A method of direct determination of the sensitivities of objective
functions is given by Segneur et al (30) and Cacuci (3). These approaches are
variants of the Green's function method. It should be noted that the
sensitivity of any diferentiable function or functional of c can be calculated
from the elementary sensitivities. Another promising method has recently
been proposed by J.-T. Hwang (private communication, 1982). By this
approach, the sensitivity equation is solved by temporal collocation and
ftting by Lagrange polynomials. It is clear that the high degree of interest in
sensitivity analysis will continue to motivate algorithmic studies, and
further improvements may be in the ofng.
SAMPLE APPLICATIONS AND DISCUSSION The following are common appli
cations of local sensitivity information ( 10) :
1. identifcation of governing/extraneous parameters and processes (8) ;
2. identifcation of missing model components (8, 26);
3. quantifcation of extent and sources of error (27) ;
4. mapping of parameter space (8, 28);
5. ftting of a model t6 data (29) ;
6. identifcation of steepest descent/ascent direction for optimization
routines (29);
7. sensitivity of objective functions (3, 30).
Most of these applications are conceptually simple. The magnitude of the
log-normalized sensitivity Ol'fc/i['1 indicates the relative importance of the
parameters to the concentrations. Thus the governing processes and those
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unimportant to the result can be identifed, and information can be used for
model reduction, by eliminating those reactions whose rate constants have
little or no efect on c, at all times (31-33). One can assess possible model
expansion by including the candidate processes in the sensitivity analysis
while setting the parameters associated with the expansion to zero. The
nominal solution to the model is undisturbed, but the sensitivities can still
be determined. If the linear sensitivities have large magnitudes, the
candidate process is probably an important addition to the model. Edelson
(32) used the sensitivities to pinpoint the rate constants in an alkane
pyrolysis model that contributed most to discrepancies between model and
experiment. This information is very useful in experimental planning, and
for assessing the signifcance of a modeling result. Sensitivity information
can also contribute directly to parameter identifcation-fnding the
parameter values that best ft given data-or to optimization of systems
with controllable parameters. Both of these problems are pervasive in
science and engineering, and have extensive literatures of their own. It
should be noted that algorithmic improvements in sensitivity methods have
a direct impact on these very important felds.
Global Methods
Given an uncertainty in the parameter vector the resulting uncertainty in
the concentration vector c(t) can be obtained using local sensitivity analysis
only if the variations of I about the reference value are small enough so that
a low order Taylor expansion of c(t) is valid (2,27). For large variations one
has to use global methods. The simplest of these consists of repeated
solution of the model equations using various values for the parameters, to
construct the solution surface in parameter space, that is c(t, ) as a function
of (parametrized by t). The choice of the parameters to be varied in this
procedure can be made in a systematic way by using factorial design
techniques and response surface methods (33). However, as the number of
species and parameters increases this procedure becomes cumbersome and
time-consuming. In such cases an approach based on a combination of
both global and local sensitivity analysis might be more efective. Two
methods for global sensitivity analysis are discussed here: stochastic
sensitivity analysis and the FAST method. The related topic of scaling local
sensitivity information is taken up later in the review.
STOCHASTIC SENSITIVITY ANALYSIS If one assumes that the spread in values
of the parameters due to uncertainties about their "true" values can be
represented by means of a probability distribution, then the sensitivity
analysis problem consists of determining the probability distribution for
the values of the concentrations induced by the probability distribution for
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the parameters. Seinfeld & co-workers (34a) have addressed this problem
by studying the Liouville-like equation satisfed by the probability
distribution for the concentrations. A small change in the form of the
equations for the concentrations allows for a unifed treatment of
uncertainties in the initial conditions and in the parameters (like rate
constants) that enter in the kinetic equations themselves. Consider the
chemically reacting system described by Eq. 1, which can be rewritten as
! F(x, t), x(O) xc, 12.
where x is the n + m vector whose components are the M species concen
trations and the m parameters entering in f(c, t) in Eq. 1 (i.e. Xi
Ci
for i
1, . . . , n and Xi+n (i for i
1, . . . , m). Also F
i
(X, t)
/(c, t) for
i l,oo . ,n and F
i
+n 0 for i
1,oo.,m. Thus dx
i
+Jdt 0 for i
1_oo . , m_
which is a statement of the fact that the parameters are time independent
and therefore X
i
+n(t) = x?+m i = 1 , ... , m. The hypothesis that the un
certainties regarding the optimal values of the parameters (including initial
conditions) can be represented by probability distributions implies that the
initial conditions XO in Eq. 12 are random variables with a probability
distribution P o(XO). Let P(x, t) be the probability distribution of x(t) [notice
that x(t) is also a random variable since it is a function of the random
variable x]. This probability distribution is to be used to compute averages
of functions of x(t):
<g(x(t)))
dx P(x, t)g(x). 1 3.
It can be shown (34a,b) that P(x, t) satisfes the following partial diferential
equation
oP(x, t)
-
a
-
t

V
(F(x, t)P(x, t)), P
{
x,
O
)
P
o{
x)
.
14.
The boundary conditions are obtained by demanding that J dx P(x, t)
1.
Once P(x, t) is calculated, sensitivity information can be obtained by
studying the surface defned by P(x, t
)
(t fxed) in x space. This can be a
diffcult task for (n
+
m) 1, and therefore it is useful to study reduced
probability distributions obtained by integrating P(x, t) over a subset of the
components of x.
TH FAST METHOD The Fourier Amplitude Sensitivity Test (FAST) method
is closely related to stochastic sensitivity analysis. The basic idea was
introduced by Bortner & Hochstim (35) and 'its present form is due to
Shuler, Cukier & co-workers (6, 36, 37). In the FAST method the
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uncertainty in the parameters is also represented by assuming that the
values of the parameters are distributed according to a given probability
distribution function. Each parameter is assumed to be statistically
independent from all others. The parameters are written in the form
-= -exp(ll
p
)
where the independent random variables II
p
'
p = 1, ... , m, have a prob
ability distribution
m
P(
I
) -
|
P ifl
p
)

p
;l
The concentrations are functions of the random variables fl
p
and the
average concentration can be expressed as an integral weighted by the
probability distribution P(I). By writing fl
p
-G
p
(sin(w
p
s)), where the w
p
are a set of incommensurate frequencies, it is possible to reduce the
averaging over the ensemble of f
'
S to an average over the s variable. The
incommensurability of the frequencies w
p
assures that curve f
p
G
p
(sin(w
p
s)) is space-flling; that is, it passes arbitrarily close to any pre
selected point in parameter space for which the joint distribution
m
does not vanish. The transformation functions G
p
must be chosen so that
the fraction of the total arc length of the curve that lies between the values fl
p
and f
p
+ df
p
is equal to P
p
(f
p
) df
p
. It is found that G ix) is uniquely
determined by
P
p
through the following equation
dG
n
(1-x2)PiGix))
dx
P
-1,
GiO) -O.
In practice, questions of computational feasibility prevent the use of
incommensurate frequencies. Schuler and co-workers used widely dis
parate integer frequencies that are chosen to mimic as closely as possible a
space-flling curve. The advantage in using integer frequencies is that the
concentrations are then periodic functions of s with period 2n and thus the
s-average is reduced to an integral over s with 0:: s < 2n. However, in this
case the curve f
p
= G
p
(sin(w
p
s)) cannot fll the f-space, as it is by necessity
a closed curve. The curve fl
p
G
P
(sin(w
p
s)) is called a search curve and s is
called a search parameter. This procedure can be used to construct the
response surface for the averaged concentrations in the space formed by the
-, p = 1, ... , m. The FAST method thus provides a pattern search
procedure that requires a smaller number of sampling points than the more
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conventional Monte Carlo methods (7). Schuler and co-workers use the fact
that now the concentrations are periodic functions of s to defne the
following Fourier coefcients
1
(i) m
Anw (t) - - ds dt, p(s)) cos(nw
p
s),
p
n
1
(
i
)
_ .
Bnw (t) - - ds Ci(t, p,(S)) sm(nw
p
s),
p
n
n = 0,1, ... 15.
n
-
1,2, . . . 16.
These Fourier coefcients are the major sensitivity measures in the FAST
method. Thus, for example, if Ai1
p
and Bi1
p
are zero for all p
-
1, 2, . . . , then
the concentration C
i
is insensitive to the values of the pth parameter at the
nth harmonic w
p
' The interpretation of the Fourier coefcients as sensitivity
measures rests on the assumption that the Fourier coeffcients of a given
fundamental and all its harmonics separate the efects of each parameter
uncertainty on the concentrations. For integer frequencies this is only
approximately true. However, the errors made by using integer frequencies
can be quantitatively predicted and controlled. The labor of performing
such calculations can be considerable due to the need for repeated solutions
of the kinetic equations at a large number of points in order to evaluate the
oscillating integrals in Eqs. 15 and 16.
Stochastic Systems
The concentrations of participating species in a chemically reacting system
are fuctuating quantities due to the aleatory nature of the intermolecular
processes. The magnitude of the concentration fuctuations usually is ofthe
order of the inverse of the volume of the system. Thus, for macroscopic
systems, the fuctuations are often negligible and the deterministic kinetic
equations provide an accurate description of the behavior of the concen
trations. However, there are situations in which, even for macroscopic
systems, fuctuations are important. A typical case occurs when chemical
instabilities develop in the system. In this case large-scale fuctuations,
spanning macroscopic volumes comparable to the volume of the system,
can be amplifed and cause a transition to a state distinct from the initial one
(38). If the system possesses multiple steady states and is initially very close
to an unstable steady state then the transition to one of the stable steady
states can be driven by the fuctuations (39). Another case of considerable
practical importance is in the study of kinetic processes in micellar systems
where the reacting molecules are characterized by lengths that are not
orders of magnitude smaller than a characteristic dimension of thc volume
in which the chemical reactions take place (40). It is important to
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distinguish these stochastic phenomena and their use of averaging from the
parameter distribution averaging methods of the last section.
A convenient framework for the description of fuctuations in chemical
kinetics involves the use of stochastic diferential equations (39). These
equations are similar in structure to the deterministic ones, except for the
addition of noise terms. The noise terms attempt to describe the changes in
the concentrations that happen on a much faster time scale than the
relaxation times for the chemical processes under study. The strength of the
noise depends on the instantaneous values of the concentrations, because
the probability of a given reaction occurring in the system depends on the
concentrations of the species involved. The quantities of interest are not the
solutions of the equations themselves, but the average values, variances,
and correlations of the concentrations. The formalism presented here is not
restricted to kinetic problems, but provides a framework for sensitivity
studies of any system whose state variables obey stochastic diferential
equations with either additive or multiplicative white noise.
The kinetic and sensitivity analysis problem in stochastic chemical
kinetics can be addressed as follows. Suppose that for a certain set of
reference values of the parameters all the expectation values of products of
the concentrations can be determined. These expectation values are
correlation functions that can be obtained by solving the stochastic
diferential equations of chemical kinetics and averaging appropriate
products of solutions. For a well-stirred mixture of M species the equations
for the concentrations ci(t) are
d
d
Ci
-H
e, 1
) + pii
e
, o)it), c;(O) -c,
t
j
= 1
1 7.
where ei(t) is a delta correlated Gaussian stochastic process (41) (i.e. white
noise), with
18.
The matrix p(e
,
1) can be found from the fuctuation-dissipation analysis of
Keizer (42) and Grossmann (43),
0
L
P
i
k
(
C,I
)
Pjk
(
C,I
)
=
%{
c,
I
),
19.
k=l
where q is a symmetric, positive semidefnite matrix that can be written in
terms of the forward and backward rates for the elementary reactions
included in the rate vector fin Eq. 17. Assuming that the concentrations are
expressed in (number ofmolecules)j(unit volume) and that the forward and
backward rates nk and nb for the kth elementary reaction are measured in
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(molecules/unit volume)/(unit time), the rate vector f and the variance
matrix q can be written as (42)
l|
c
,) -
L
,[,(
c
,),(c,)],
20.
,
-i
21 .
where M i s the number of elementary reactions, v,i s the stoichiometric
coefcient of species i in the reaction k, and n is the volume containing the
chemically reacting system under study.
From a mathematical point of view the stochastic process |t)induces a
new stochastic process c
(
t)through the mediation of Eq. 17. The statistical
properties of ,(t) plus the dynamical properties incorporated in Eq. 17
(including initial conditions) uniquely determine the statistical properties of
c
(
t),which allows for the computation of average values, variances, and
correlations of the concentrations. A rigorous link has been established
between this model and another popular phenomenological description of
fuctuations, the birth and death formalism (44). Essentially, it can be shown
that Eq. 17 constitutes a difusion approximation to a corresponding
master equation in the birth and death formalism (45). The larger the system
is, the better is the approximation.
In stochastic chemical kinetics the objects of interest are of the form
(![c))
where ![c)is, in general, a functional of the concentration vector

and the brackets indicate an ensemble average. Particularly important
quantities are the average value and the variance of c
(t),
22.
The sensitivity coefcient of (![c]) with respect to a parameter z is
defned as
a
Sp = !c]) 23.
utp
It can be shown (46) that
c![c]

:-_ .+
_(![c]
)|)
(
c
(),(),} ,
24.
where
-i
cj
()

cj,(a)
(
c
()((-
)
^) -
i
j
, () /
()
c
i
_ ,()
. 25.
In Eq. 25 2 1 if a cf and 2
r
0 otherwise. The frst term on the right-
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hand side of Eq. 24 is zero when I[c)is not explicitly dependent on O. For
the special case ![c)= Eq. 24 reduces to
S

=
s+
it -
)|
)
y
c
(),(
),. 26.
The evaluation of the sensitivity coefcient S does not require the solution
of any other diferential equation besides Eq. 17. This is to be contrasted
with the deterministic case in which the evaluation of the sensitivity
coefcients requires not only the solution of the diferential equations for
the concentrations but also the solution of the diferential equations obeyed
by the sensitivity coefcients. A particular realization of the stochastic
variable is denoted where M is an index labeling the sample
trajectory in question. The sample trajectories (
t
)
can be obtained by
means of a random number generator. For each sample trajectory a(t)
numerical integration of Eq. 1 7 yields a sample trajectory .which is a
particular realization of the stochastic variable .Thus, if
!
[c,
) is a
functional of the stochastic variables .and , then
1
W
(
!
[,]) - lim
_ ![c`,'|
W N a=l
27.
Therefore, afer generating the "|t) and obtaining the .from Eq. 1 7,
(![c))and S can be obtained by means of Eq. 27.
A quasilinear approximation to the above theory can be obtained by
expanding in powers of the inverse system volume and keeping only the
lowest order terms. In this approach one can calculate , and
(c,(t)c
)
t') as well as their sensitivities without performing any stochastic
trajectories simultation (46). In the quasilinear approximation it is possible
to obtain this information in terms of the deterministic concentrations c
and of the deterministic Green's function K.
SPACE-TIME SYSTEMS: ELEMENTARY
SENSITIVITIES
Basic Equations
There are a variety of fundamentally and practically important chemically
reacting systems in which the kinetics are intrinsically coupled to transport
or mixing process. Examples can be found in atmospheric chemistry,
combustion processes, biologcal systems, industrial design, etc. As an
illustration of these problems we confne ourselves to difusion in a
chemically reacting system. Thus, in a one-dimensional chemically reacting
and difusing system, the concentrations must satisfy the following kinetic
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equations as an extension of Eq. 1,
ac. a
2
at
'
-
Di
ax
2
Ci + h(e, I).
28.
In more general circumstances the difusion constant Di for the ith species
may also be a function of space, time, and species concentration (47).
Assuming the range of the problem is A_ X X
2
the concentrations are
taken to fulfl the following linear initial and boundary conditions.
e(x, 0)
eO(x),
The elementary sensitivity coefcients are defned as
a
Siix, t) -:-c,(x, t).
v(p
29.
30.
31.
In the above equation !p indicates any parameter appearing in Eqs. 28-30.
Diferentiation of Eqs. 28-30 leads to the following equation for Sip(X, t):
a a
2
a
li
-
a
Si
P
(X, t) -Di-
a
2
Siix, t) +
L
-
a
Sjp(X, t) + 9iix, t),
t X j
C
j
S
.
( 0) -
aci(x)
,px,
a ' Ip
32.
33.
34.
Thus the sensitivity coefcient Si
i
x, t) satisfes a linear, inhomogeneous,
partial diferential equation with initial condition given by Eq. 33 and
boundary conditions defned by Eq. 34. The right-hand side ofEq. 34 can be
written as
The inhomogeneous term in Eq. 32 is
aD. a2c. a
gii
x
, t) --
a
,
+
-f
e
,
I).
Ip vX VIp
35.
36.
The linearity of the equation for the sensitivity coefcient allows for writing
its solution in terms of a Green's function (48). The Green's function of
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interest here obeys the following equations:
8 ( "
)
8
2
( "
)
8
;
Kij\x,t ; x,t = Di;
K
iJ\x,t; x ,t + L ;-
u
t
uX
k=l
u
Ck
^ /(c(x
, t), r)K
k
ix
, t ;
x', t') + !ij!(x -x')!(t -t'),
37.
J
-
1,2,
lim Kiix,t+e ; x',t) !ij!(x-x').
8
38.
39.
Besides the boundary conditions given by Eq. 38, K;ix
,
t; x', t') also
satisfes similar conditions with respect to the variable
x'. Using the Green's
function one obtains the following expression for the sensitivity coefcient :
X2 0
Si
p(X
, t) = dt' dx'
.L
Kiix, t
;
x',
t')
gjp(X'
, t'),
X| }F J
X2 P
ocO(x')
+ dx' L
K
iix,
t
;x',O)
-
X| j= J !p
+ dt
'
( l)
l
_
K
i}(X
,t
;xwt')h;iX/'t')]
In the last term of the above equation one has
m 1
Kiix, t ; xl" t') = -
1
Kiix, t ;
Xw t'),
Ai"
if At" = and Al" -0,
K
iJ{x, t ;
x
/.'
t') = -
KiJ{x, t ; x', t')
] ,
Aj/ uX
X
'
=Xp
if All = 0 and
A
f
l
-
0
.
40.
41.
42.
If both AII and Arl are nonzero then any of the above expressions for
Ki
ix, t ; x
l
' t) can be used because in this case these two expressions will be
identical due to the boundary conditions satisfed by KiJ
{x, t ; x', t') with
respect to its second variable x'.
The Green's function Ki
ix, t ; x', t') like the one used in the temporal case
satisfes a group property of considerable practical importance:
P
X2
K
. (
x
t

x
' t') -
"
K

(x t

x
"
t
")
K (
x
"
t
'
"
x' t') dx
"
IJ' , " L. tK ' " kJ" " ,
k= 1
X,
43.
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.
where the intermediate time t" is arbitrary and assumes values in the
interval t > ti > t'.
The sensitivity coeffcients
Sip(X
, t) have similar meaning, interpretation,
and uses, along with their counterparts in the purely temporal case. Higher
order sensitivity coefcients can be obtained by further diferentiation of the
equations for the S
ip
(X, t); their meanings and uses are also analogous to
their counterparts in the temporal case.
Thus far little computational work has been performed on sensitivity
analysis in space-time systems (49), and it is not clear whether the formal
Green's function solution presented in Eq. 40 represents the best approach.
The direct method could be employed, but even more promising may be an
extension of implicit integration techniques based on the material pre
sented below.
The Steady State Limit
The steady state limit of Eq. 28 arises in a number of physical situations.
Furthermore, many numerical algorithms for solving space-time partial
diferential equations utilize the implicit integration method, which entails
efectively solving a steady spatial boundary value problem at each time
step. For all of these reasons, it is useful to examine carefully the
characteristics of sensitivity analysis in steady kinetic systems.
The steady state kinetic equations are simply achieved by setting the lef
hand side of Eq. 28 equal to zero,
a2
Di
8
x
2
Ci+.(
C,
r
) -O
.
44.
The boundary conditions have the same form as those in Eq. 30. Problems
defned this way have been frequently solved by returning to Eq. 28 and
numerically integrating in time through the transient period into the steady
state limit. It is our purpose here to consider that Eq. 44 be directly
approached rather than its transient forebears. The sensitivity analysis of
Eq. 44 can be achieved as usual by taking appropriate variations of the
equation. The resulting equations for the frst-order sensitivity coefcients
have the following form:
8
2
a
li
DiSip(X) + :Sjp(X) +gip(X
) -
0
uX j UCj
with boundary conditions
J ( 2
Ai"
a
x
Sip (X,,) + Ai"Sip(X,,)
-h
ip(x,,),
J = 1,2
45.
46.
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.
where ,and g
ip
have the same form indicated in Eqs. 35 and 36. Assuming
that the solution to Eq. 44 for the species concentration vectors is available,
the solution to Eq. 45 could be sought by a spatial Green
'
s function
technique. Although this method is especially valuable in the pure temporal
case, it appears most effcient to take a diferent approach in the present
circumstances as described below.
The optimum way of solving Eq. 45 is closely connected with the choice
of procedure for solving Eq. 44. Ideally, one would like bqth solution
algorithms to be chosen simultaneously for joint optimization. In this
regard, there is a happy coincidence, and for these reasons we frst describe
the particular way of solving Eq. 44 before dealing directly with Eq. 45.
Because Eq. 44 is typically nonlinear, these equations must be locally
linearized in order to take advantage of available iterative numerical
algorithms. For example, suppose we have an approximate solution vector
en at the nth level of iteration and we seek an improved vector at the n
+
1
level. Equation 44 is frst linearized about en to produce
D
a
2
A
n
" ali A
n
R
"
i G
X2
t
Ci
+
G
C
]
t
Cj
i 47.
where Aci .ci+1(x)-ci(x) and the residual on the right-hand side is
a
2
R
i -
D
i
G
X2 c
i + l(e
n
, a) 48.
The iteration set up in Eqs. 47 and 48 is referred to as the Newton method,
and algorithms are available for its implementation when the equations are
discretized (e.g. by fnite diferences) (50). These latter discretized equations
can be compactly written as
.
/nAcn Rn 49.
where n is the discretized form of the linear diferential operator on the
left-hand side ofEq. 47. It is important to note that the full Jacobian /" will
generally depend on the nth approximation to the solution vector. In
principle this Jacobian needs to be updated at each step of the iteration, but
in practice efcient algorithms may only do this at a minimum number of
times in order to cut computational costs. However, a Jacobian evaluated
at the fnal level of solution will be required.
The signifcance of the Newton algorithm outlined above is clearly
apparent upon comparing Eq. 45 for the sensitivity coefcients and Eq. 47.
The operator of both of these equations is identical and they only difer in
their inhomogeneities. An actual operating procedure would consist of frst
solving Eq. 49 to an acceptable level of accuracy followed by solving the
analogous discretized form of the sensitivity equation in Eq. 45.
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.
Achievement of the task of solving the latter equation can be accomplished
at virtually no overhead beyond the original cost of solving Eq. 44 due to
the identical form of the sensitivity and linearized kinetic equations. In
particular, at the last iteration step --N for Eq. 49, the Jacobian fN and
its decomposition (essentially for inversion) will be available for use in
treating the sensitivity equations. Since formation of the Jacobian and its
decomposition constitute almost all of the computational efort, the
solution of the sensitivity equations is in hand from the process of solving
the original kinetic system. The system spatial Green's function can also.be
obtained by this procedure, which requires j ust calculating
(f
N
)
3_
Although K is not being used here to calculate the general sensitivities, it is
still useful to examine since elements of the matrix are of importance for
system stability considerations. Finally, it is useful to point out that this
overall algorithm depends critically on using a Newton iteration method
for the initial kinetic equations in order that the coefcient matrix coincide
with exactly the natural Jacobian in the sensitivity equations. In addition,
the Jacobian fN must be of sufcient accuracy to assure good quality
sensitivity information.
The procedure outlined above is a variant of what is referred to above as
the direct method. The idea of joining sensitivity analysis with Newton
iteration solvers for the original kinetic equations has been discussed a
number of times recently (22,51, 52), (c. L. Irwin, private communication;
A. Dunker (49); Y. Reuven, H. Rabitz, M. Smooke, to be published). This
approach may well lead to the fastest algorithms available for sensitivity
analysis, because it draws on the intimate workings of the original kinetic
equation numerical procedure. This observation also implies that funda
mental changes in how the original kinetic equations are solved would
probably have an immediate impact on how to treat the sensitivity
equations.
DERIVED SENSITIVITIES
Conventionally the concentrations are regarded as dependent variables
and the parameters as independent variables. However, there are situations
in the modeling of particular kinetic experiments in which an interchange of
the role of dependent and independent variables among the concentrations
and parameters leads to new insights on the chemistry of the system under
study. For example, when a particular species concentration is easily
monitored and a particular rate constant is to be determined, a natural
choice is to assign the concentration of that species at a particular time as an
independent variable and the rate constant as the dependent one. The
derived sensitivity coefcients are the sensitivities of the new set of
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dependent varibles with respect to the new set of independent variables
(13a,b). The decision of which concentrations and parameters to inter
change is a most important one and should be carefully tailored to the
particular experiment or modeling calculation of interest. Often it is useful
to investigate the sensitivity of a particular rate constant that is to be
determined with respect to other rate constants or monitored species
concentrations. For example, a derived sensitivity like OIp/OI
q
, where Ip is
one of the new dependent variables and I
q
is one of the new independent
variables, gives information on the correlation of the system parameters.
Suppose that several species concentrations,
Ci, i 1, . . . , s, may be easily
monitored in a particular experiment and several of the parameters, Ip,
p 1, . . . , s, are treated as unknown. One can then use the derived
sensitivities to investigate the relationships between the unknown par
ameters and the monitored concentrations and known parameters.
The diferential dci(t) of Ci(t) (as a function of at time t) can be written as
m
de;(t) L
Sip(t) dIp- 50.
p
=
l
To obtain the derived sensitivities the new set of independent variables is
taken to be {Ci(t), i = 1, . . . , s ; lp, P = s +I, . . . , m} and the new set of
dependent variables is {lp, P = 1, . . . , s ; e;(t), i = s + 1, ... , n}. Notice that it
is necessary that s ,; n and s ,; M. A straightforward application of the rules
of multivariate calculus yields the derived sensitivities. The procedure is
entirely analogous to the one used to exchange variables in thermo
dynamics (53). For the derived sensitivity coefcients one frst obtains
(a)
i = 1, . . . , s, p = 1, . . . , s
D p;(t) (S -
l(t pi, 51.
where Dpi(t) i s the partial derivative of l
p
(a dependent variable) with respect
to Ci (an independent variable). The matrix S - let) is the inverse of the s ^ h
matrix Set) whose elements are the relevant elementary se
n
sitivity co
effcients Sip(t). The parameters and concentrations that are to be inter
changed must be chosen such that S has an inverse. The remaining derived
sensitivities are
(b)
p
=
I, . . . , s, q = s +I, . . . M
3
Dp
i
t)
- L
(S-
l
(t
p
i
S
ii
t),

52.
where Dp
i
t) is the partial derivative of lp (a dependent variable) with
respect to l
q
(an independent variable).
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.
(
c) j = s +I, . . . , n, i = I, . . . , s
Dj;(t)
L
Sjp(t) (S -
1
(t))p;,
p
= 1
53.
where Dji(t) is the partial derivative of cj (a dependent variable) with respect
to L_ (an independent variable).
(d) j = s +1, . . . , n, q = s + 1, . . . M
Djq
(t) = S
jq
(t)
- L L
S
j
p(t) (
S-
l
(t))P
i
S
iq
(t)
,
54.
p
= 1
i
= 1
where Djit) is the partial derivative of cj (a dependent variable) with respect
to I
q
(an independent variable).
This formulation of the derived sensitivity problem can also be extended
to the case of space-time systems such as the ones discussed in the last
section. In this case the derived sensitivity coefcients are parametrically
dependent on both space and time coordinates and Eqs. 51-54 hold with
Si
v
Ct) replaced by Sip(X, t) in Eq. 31 . The case in which the parameters
themselves are functions of the space and time variables is discussed below.
With space and time dependent parameters one can go beyond the present
discussion by interchanging dependent and independent variables over the
whole space-time domain of the problem.
The concept of derived sensitivity can be further generalized by
considering as new independent variables, not some of the concentrations
at a particular point in time, but averages of these concentrations
with carefully chosen weight functions. More explicitly one can defne
(R. Guzman, H. Rabitz, 1 982, in preparation) the quantities
Cij " dt ci(t)it), 55.
where each j (t) is typically defned to vanish outside a fnite time range.
For example, the j (t) might be the characteristic function over a sequence
of time intervals [tj, tj+ 1], that is j (t) = 1 if t E [tj, tj+ 1] and j (t) = 0
otherwise for j 1, . . . , 1. A similar defnition can be introduced for space
time systems. Derived sensitivities can then be introduced by treating some
of the parameters (p as dependent variables and an equal number of the Cij
as independent variables. The derived sensitivities are then obtained from
dCj dtit)
p
t Sip(t) dIp 56.
The procedure is entirely analogous to the previous discussion, with
Sdtj (t)Si
v
Ct) playing the role that Si
P
(t) played there. This "tile function
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method" allows for probing the interrelationship of parameters and
monitored concentrations by using a much larger data set than is possible
to utilize in the case of the previously defned derived sensitivities. This is so
because in that case one uses the values of some concentrations at a
particular instant of time, whereas in the tile function method one uses
i nformation about the behavior of the concentrations over fnite time
intervals (analogous statements are, of course, true for space time systems).
The familiar least square technique is a related, but diferent, approach to
bringing in a large data set for extraction of system parameter information
(see Eq. 60 below and the following discussion).
The full physical meaning and utility of derived sensitivities remains to be
established. Thus far two kinetic studies [(13a,b) R. Yetter, E. Eslava, and
H. Rabitz, in preparation)] have been performed. One of these studies
(13a,b) concerned the modeling and sensitivity analysis of the oxidation of
CO in the presence of formaldehyde. The work was motivated by the
experimental work of Vardanyan and co-workers (54), which aimed to
establish rates for the reactions
Kp
OH+CO C02 +H '
K1 0
H02 +CO C02 +0H
out of a multistep mechanism. The actual measurements were of [H02]
and [C02] and the desired statistical variance of kiO (and similarly for k9) is
given by
" (iklO)
2
var(k
l
O)

if
i
var(f;), 57.
where f = ([H02], [C02], k1, . , ks, kl l , , k2S), and the derivative sensi
tivity is to be calculated by keeping all fi, j : 1, fxed. In this way the error
in k9 and kt @ was estimated based on errors in the measurements and the
parameters in the model. Derived sensitivities deserve careful further study,
as they may have signifcant application to a number of experimental and
theoretical problems, including experimental design.
SENSITIVITY CONSIDERATIONS RELEVANT TO
THE ANALYSIS OF LABORATORY DATA
Sensitivity analysis can be valuable for modeling in chemical kinetics, but
ultimately there is the need to connect models with real laboratory or feld
situations. The natural question therefore arises concerning how to best
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utilize sensitivity analysis for joining of mathematical modeling and
laboratory observations. The last section on derived sensitivities deals with
an aspect of this topic, but the full answer to this question is not yet
available. The three subsections below treat additional aspcts of this
matter.
Feature Sensitivity Analysis
For the sake of illustration this section is confned to consideration of
purely temporal systems, although an exactly parallel analysis may be
considered for space or joint space-time problems. To understand the role
of feature sensitivity analysis, consider the schematic concentration profle
shown in Figure 1, where the chemical species concentration exhibits a
maximum as a function of time. This behavior, for example, would be
typical of a transient reactive radical species in many systems. In addition to
the concentration profle, we also have the ability to calculate a full
sensitivity curve (eRkl) as a function of time for any appropriate
parameter a. Such a detailed sensitivity curve ofen can obscure experi
mentally interesting simple features in a profle such as in Figure 1. For
example, the location of the concentration maximum t*, its amplitude
h,
and the width Y all represent simple characterizing features of the profle.
Such characteristic features are often adequate for describing the essential
aspects of laboratory observable profles, and each concentration is
expected to have its own particular set of feature parameters. The general
point is that any physically meaningful observable feature (including those
requiring a convolution with a laboratory resolution function) can be
considered for subsequent feature sensitivity analysis.
Just as we have referred to the collection of input kinetic parameters as
the vector of characteristic output feature parameters will be called f. The
C
O
O
c
w
L
c
O
L
t i me
Figure 1 A schematic illustration of a concentration profle as a function of time. Also shown
are the feature parameters defned as the time t
*
locating the concentration maximum, the
amplitude h of the concentration maximum, and the width W ofthe maximum feature. Because
the profle is asymmetric with respect to t
*
, both a left and right half width could also be
defned.
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number of interesting features, and hence the length of the f-vector, need
not have any specifc relation to the number of input variables associated
with the a-vector. However, the implication behind this analysis is that the
concentration profles have two equivalent forms
e;(t, I) = Ci(t, f) 58.
This equation implies a functional relationship between the input and out
put vectors
59.
The need to consider diferent characteristic parameters at the input and
output level of a kinetic problem refects the fact that both ends of the
problem have their own natural variables.
In practice, the dependence of f on the input parameters a cannot be fully
established since the kinetic calculations are always performed at some
operating point aO in the input parameter space. However, we can readily
ask for the f-vector at this reference point f = f(aO) and its gradient
(8PJ8c
)
o. Thus far, two distinct procedures have been developed to obtain
the feature sensitivity coefcients ,c/,c-,The frst procedure (55) is based
on ftting with an priori functional form and the second method (56) is
referred to as a pointwise analysis. Both approaches are discussed
separately below.
The approach to feature sensitivity analysis based on ftting consists of
choosing ajudicious functional form ci(t, f) explicitly containing the feature
parameters and ftting this form by, for example, least squares to the kinetic
profle over an appropriate time interval t
l
t t
2
containing the features
of interest
60.
The minimization of the residual R
i
with respect to the feature parameters
will determine these parameters at the nominal point f(IO) in the input
space of variables. Deviations about this norminal point can be explored by
taking an additional derivative ofEq. 60 with respect to an input parameter
r,. This procedure will produce the following explicit solution for the
desired feature sensitivity coefcients
61 .
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where
62.
63.
The choice of functional form ci(t, f
) is central to this procedure. The form
should be a balance between fexibility and simplicity in order to ensure a
good ft as well as a unique meaning to the feature parameters. This overall
procedure was implemented (55) for the system of oscillating chemical
reactions suggested by Lotka in which the period, amplitude, and phase of
the oscillator were examined.
The above analysis should be applicable to a number of chemical
problems, but a more general and often simpler procedure (56) consists of
the following pointwise analysis. Typically, the features in a kinetic system
can be characterized by some point or points on a kinetic profle (or perhaps
its integral transform). For example, the feature parameters shown in
Figure 1 are of this type. An such feature parameters can ultimately be
characterized in terms of a functional of the original kinetic profl.
dt Fldt, o), t]
64.
where the function Fj depends on the particular feature of interest. The
desired feature sensitivity coefcient can be obtained directly by diferen
tiation of the integral in Eq. 64
_J dt _J _'

OF . ac.
oal OCi oal
'
65.
In practice, the identifcation of the function I and evaluation of the
integral in Eq. 65 can usually be done quite simply to make this a very
transparent procedure. For example, if we desire the sensitivity of the time
t* in Figure 1 with respect to the system variables then the function F
becomes
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where the Dirac delta function ensures the constraint that the concen
tration extrema be identifed by the concentration profle having zero time
slope. Utilization of this expression in Eqs. 64 and 65 fnally yields the
feature sensitivity coeffcient
Similar expressions can be obtained for most any feature of concern and
this method has been illustrated for the wet oxidation of CO (57). The
approach encompassed by Eqs. 64 and 65 can also be viewed as an objective
function analysis. Such an objective function approach has been taken by
Cacuci (3).
Sensitivity Analysis ofExperimental Data
This section concerns the role of sensitivity analysis for unravelling the
relationship between model input and actual observables generated in a
real laboratory experiment. A number of matters arise when considering
the comparison of a kinetic model with experimental data. The usual
approach to this problem consists of ftting the model parameters, or some
subset of them, to the available data by a least squares type procedure. In
addition, when a partial set of experiments has been performed, a relevant
question concerns which new experiment would be useful to augment the
available set. Certain of the derived sensitivity concepts are related to this
matter as described below.
The connection between experiment and model is made at the level of
defning a minimizing functional. For purposes of illustration we can take a
least squares functional of the same general form as Eq. 60
66.
where is an experimental concentration profle. Demanding that the
residual be minimized with respect to the input parameter vector implies a
functional relationship
.between the system parameters and

the experimental data. Information about this relationship can be explored
by taking a functional derivative with respect to the data curve to produce
the following result
"
B
- _ .
'
I
J
aC .
J J
67.
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where
Bj/
'
dt
,
O
C
;
(t
'
O
C
;(t" .
'
I_
-[ciXP(t') -c;(t', I)]
The similar structure of Eqs. 67 and 61 is quite evident. The functional

derivative apparent in Eq. 67 is a direct measure of how a given parameter
depends on the concentration profle at a particular point in time. This can
be useful for refnement of experiments by identifying which time regions
are important for further study.
A special class of derived sensitivities may be arrived at by utilizing the
above model-experimental data sensitivities. In particular, from Eq. 67 we
may deduce
,a) ,. SII
ociXP(t') ociXP(t')
68.
The utility of this equation arises from considering theoretical concen
tration profles cit, e) that were in the model but not included in the least
squares analysis of the available data. The question then arises concerning
which of these additional theoretical profles is least dependent on the
available expeimental curves. This identifcation from Eq. 68 would be
helpful in a process of experimental design for choosing the next profle to
determine in the laboratory (58).
Sensitivity Analysis and Model Parameter Uncertainty
A traditional role of sensitivity analysis has been its contribution to the
error analysis of parameter determination when ftting experimental data
to a model (1, 27). For our purposes here we assume that the numerical
calculations involved in solving the model equations contain no statistical
errors themselves. Under these conditions we can defne the statistical
contribution to the covariance matrix of the parameters
bI
COV(
I/I
!'
)l
stat
-
dt dt'
( ,
' J ) )

t
bI!,
^ cov [cXP(t)cXP
(t')]
.
c
iXP(t
')
' J
69.
The sensitivities contained in the integrand are just those calculated from
Eq. 67. In this equation, the covariance of the experimental data must be
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available. Typically, the nonlocal character of that information will not be
available and it will be simply taken as diagonal with time. The
nonfunctional analog of this equation is illustrated in Eq. 57.
Errors in the parameters can also be introduced due to the discrepancy
between the experimental and model concentration profles. We assume
here that this discrepancy is due to a failing of the model and not to
systematic errors in the experimental data. Utilizing this logic, one can
generate an estimate of the parameter covariance matrix arising from
model experimental discrepancies
or
COV(r1r1,)lmod . dt dt'
(
/
)
I
J
" " uCI t, r
70.
where ([r//f;(t, 0)) is a special theoretical functional derivative obtained
from solving Eq. 67 with
Note that these functional derivatives difer from those discussed below. In
essence, the present set are not obtained as derived sensitivities but rather
by a least squares type method. The total covariance for the model
parameters is now seen to have two components arising from statistical
errors in the data and errors introduced by the model.
STRUCTURAL ELEMENTS IN TEMPORAL
SENSITIVITIES
The discussions offeature sensitivity analysis in the last section provide the
background for the present topics. Here we review some work covering
special sensitivity aspects of oscillating and transient systems along with the
topic of parameter space scaling.
Limit cycle systems are of interest for a number of physical reasons and
they also exhibit a special aspect of sensitivity analysis. Quantities of
natural interest for oscillating systems, such as the sensitivities of amplitude,
period, and cycle phase, are not addressed by the elementary sensitivities
8c/8a. The period and phase sensitivities both have the general form 8t/8
r
j,
and thus we are motivated to consider t as a function of system parameters.
In a limit cycle, the steady-state periodic orbit is independent of the initial
conditions c(
O
). A perturbation of ci
O) can only affect the phase of the orbit,
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once the limit cycle is attained. This phase sensitivity is given by (59)
_ t
.

hm ., -d ' 7l.
[' ~@
The limit only need be observed to the extent that a problem-dependent

transient period is passed. The sensitivity of the phase to noninitial
condition parameters is obtained by again making a dependent variable.
,_ ,
.
72.
The coefcient .is a measure of the phase lead or lag, in time units,
resulting from the change in the parameter .This quantity is the
coefcient of unbounded growth (secularity) of the sensitivity
- , 73.
. .< .d
where the subscript c indicates the secular free sensitivity. Tomovic (1) and
others (e.g. 60) have identifed ., ..,where is the period of the
limit cycle. This linear growth of .with time is an approximation ofEq.
72 that properly accounts for the overall accumulation of phase lead or lag
from cycle to cycle. In either case, the secular free sensitivity is periodic for
greater than the transient time of the sensitivity coeffcient, and it was
shown to represent accurately the sensitivity of the phase-space (time
implicit) shape of the limit cycle. The phase sensitivity can be used to fnd the
sensitivity of the cycle period, since the accumulated phase lead or lag after
one revolution about the limit cycle is equal to this quantity (59, 61)
0'
7

+')
.,
O
.j
.,

.
. .
74
.
Larter (62) has discussed the relationship between noninitial condition
sensitivities and the subject of structural stability (63) of the limit cycle. An
oscillation is said to be structurally stable if its "topological character" is
insensitive to parameter variations. This question can only be addressed
through the secular free sensitivities.
Nonlimit cycle and damped oscillators have many of the same sensitivity
characteristics discussed above. In the purely transient situation the same
secular behavior is present, but it does not manifest itself so dramatically.
For example, it can be shown that . ,.will typically exhibit
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secular growth in time. The behavior of transient kinetic systems en
compasses a wide class of dependencies and no general secular free
sensitivity analysis has thus far been accomplished, although certain
specifc models have been considered (64).
Structural Information in Parametric Scaling
It has been shown (64) that structural information can be used to great
advantages in parametric scaling, i.e. prediction of c(a+La) from the
nominal solution and the sensitivities. The Taylor series
75.
is the normal tool for the task. This series is usually truncated to low order
and the range LI in which the approximation is valid may be quite small.
Methods like Pade approximants (65) can be used, if a sufcient number of
sensitivities are available. Before discussing the methods of "feature"
scaling, it is necessary to discuss proper selection of scaling variables,
without which the feature scaling may not be efective. It has been argued
(64) that the Taylor series Eq. 75 is ofen a poor choice for scaling, because
unphysical states, e.g. negative concentrations or concentrations exceeding
mass conservation limits, may be predicted. The variable transformation
z ln
l
c -c/I , where c, is zero or another a priori known conservation
limit, may therefore be helpful. Writing a frst-order Taylor series in z and
solving for L one obtains
O
C
LI
c(O+LO) c/ +(c(o) -c/) exp
;
( )
.
vo c O -C,
76.
This formula was used with success by Dougherty et al ( 13a,b) and Hwang
( 1 8). An asymptotic approach to c, is predicted for large LI. Eslava et al (66)
in another physical context ofered a formula related to Eq. 76,
l+il -
Nne
C(I + LI) C(o)
aln.
77.
Both Eqs. 76 and 77 contain implicit higher order information, and thus
they can provide much enhanced convergence properties relative to the
Taylor series Eq. 75, by preventing unrealistic scaling predictions.
Feature scaling can signifcantly enlarge the parametric domain ad
dressed by the local sensitivities. We have seen in Eq. 61 that in certain cases
the elementary sensitivities can be decomposed into various structural
elements, given by the feature sensitivities ofJoOj. Given Eq. 58, the
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"natural" scaling is given by
of
, e(t, O + O)
e(t, f +
OO
O 78.
This formula is advantageous because it automatically incorporates
nonlinearities implicit in e(t, I). By contrast, the Taylor series is globally
linear in I. The extent to which this more general scaling can be realized is
dependent on the extent of the knowledge of c(t, f). For example, we have
already seen that the sensitivities associated with oscillatory systems may
be decomposed by isolating the period (') "feature" (see Eq. 73). The
'-feature scaling law is developed as follows. To a frst-order approxi
mation, the Taylor series for e(t
*
, I + I) can be written
de oc d OC(t, I
, C(t*
, I +I) C(t, I) +
dt
(t, I)M+
OI
(t, I)I +
dt
-- !1t
where 8t " t* -t. The increment 8t or t* may be chosen (64) so as to make
the "secular" term, t(olm:/ol) dc/dt disappear ; specifcally,
olm:
t t
I,
and therefore
e(t
*
, I +I)
C(t, I) +C
I
,
.
I. 79.
This scaling law solves the secularity problem, because (oe/ol), is periodic,
and gives very accurate parameter scaling for oscillatory problems
(
64). In
the same work another example involving transient kinetics of C2H6
pyrolysis was considered using Eqs. 75-77 along with a related feature
scaling approach.
FUNCTIONAL SENSITIVITY ANALYSIS
Elementary Sensitivity Densities
The discussion of the sensitivity analysis of space-time systems presented
above was concerned with the calculation of the sensitivity coefcients,
that is, the partial derivatives of the concentrations with respect to the
parameters. In that case the parameters were considered to be independent
of time and space coordinates. However, some of the parameters (or even
all) can have space and time dependence. When the parameters are
functions ofthe space and time coordinates the sensitivity analysis becomes
more complex than when the parameters are constants. Porter (67) was
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apparently the frst to consider this problem. He suggested that the
parameters be represented by expansions in orthogonal basis functions,
leading to a lumped parameter system, for which the sensitivity coefcients
can be obtained in a standard manner. As pointed out by Seinfeld and co
workers (68) in the case of spatially and temporally varying parameters, the
quantities of interest in sensitivity analysis are functional derivatives of the
concentrations with respect to the parameters. The functional derivatives
are defned such that the change in the concentrations, (Cj(x, t) due to small
perturbations OliX, t) in the parameters liX, t) are
( d d ,
J
c
j
(x
,
t)
( ' ') 80 uC
j
x, t
x t 1.
(
' '
)
ulp x , t , .
p= l ulp x , t
with the elementary sensitivity densities defned as
"
J
c
;(x, t)
S;ix, t; x , t )
(
'
)
+
ulp x , t
8 1 .
The name elementary sensitivity density is motivated by the relationship
that exists between the objects defned by Eq. 81 and the elementary
sensitivity coefcient (Eq. 3 1). When the parameters are independent of
space and time, the sensitivity derivatives are related to the densities by the
relation
S;p(x, t)
.
dt'
Sjp(x, t
; x', t'). 82.
It is important to realize that the elementary sensitivity densities can be
obtained even when the parameters are not space and time dependent.
Equations for the elementary sensitivity densities can be obtained from the
reaction-difusion equations for the concentrations by a procedure analog
ous to the one previously used to obtain the elementary sensitivity
coefcients. On a diferent approach, Koda & Seinfeld (69) obtained the
elementary sensitivity densities by using techniques of distributed para
meter optimal control theory. Cacuci (3) provides a very general and
mathematically rigorous discussion of the sensitivity theory for nonlinear
systems. The defnition of the "sensitivity of the system response" intro
duced by Cacuci is general enough to encompass the concepts of
elementary sensitivity coefcients and elementary sensitivity densities. The
formulation of the sensitivity theory presented in that work is centered on
evaluating the Gateaux diferential of the system response (i.e. a concent
ration). This quantity has been considered by Tomovic & Vukobratovic (1)
to be "the most general measure ofthe sensitivity of a response to variations
in the systems parameters." In the case of the concentrations for example,
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the Gateaux diferential is closely related to the variation (
c
i(X, t) intro
duced in Eq. 80. A proper defnition of the Gateaux diferential and its
relation to the sensitivity analysis is beyond the scope of this review and the
interested reader is referred to Cacuci
'
s article (3) for further information.
We confne ourselves to the problem of a chemically reacting system in
whieh difusion occurs (70, 71). The system is assumed to occupy a volume n
enclosed by a boundary surface a. It must be remarked here that this
formulation does not exclude the case of an open system in which incoming
and outgoing material fows exist. Such fows are specifed by the boundary
conditions (47). The species concentrations satisfy the following reaction
difusion equations
oc
T -V '
(Di(x
, t) VCi) +
.(
c
, k).
83.
The rate constants and other parameters entering in ./ are collectively
labeled kix, t), p = 1, . . . f. In addition /; could be an explicit function of x
and t through externally imposed conditions. D
i
(x, t) is the space and time
dependent difusion tensor for the ith species. A difusion tensor is used
instead of a difusion coeffcient in order to take into account the possibility
of spatially anisotropic media. Equation 82 is to be solved subject to the
following initial and boundary conditions
C;(X, O) = c(x),
Ar(s, t)n ' Di
(s, t) VCi(S, t) + Ar(s, t)
c
/(s, t) -ai(S, t),
84a.
84b.
where n . D i(S, t) V Ci(S, t) is the component of the difusion fux of the ith
species normal to the boundary surface 0. The coefcients A:(s, t) and ai(s, t)
may depend on time and may vary over the surface 0; this is indicated by
their possible dependence on the vector s, which denotes a point on the
surface a.
In problems involving moving boundaries (i.e. a time dependent 0) one
usually can, at least for simple geometries, fnd a suitable time dependent
coordinate transformation that accompanied by a corresponding re
defnition ofthe difusion and boundary condition coefcients preserves the
form of Eqs. 82-84 but with a time independent enclosing surface (70). In
the following it is assumed that in problems involving moving boundaries
such a transformation has been carried out. This is necessary in order to
apply the Green's function method to obtain the elementary sensitivity
densities. Moving boundaries arise naturally in the study of vertical
difusion and chemical reaction in the atmosphere ; a typical example is
provided by trajectory models describing simultaneous vertical diffusion
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and chemical reaction of air pollutants in an air parcel adjacent to the
ground (68).
The set of all parameters entering in Eqs. 82-84 is denoted {cp(x
,
t)
,
P = 1, . . . , m}. This includes not only the k
n
(x,
t) but also the components of
D;(x, t) as well as the initial and boundary condition coeffcients. An
important point here is that the defnition of the elementary sensitivity
density in Eq. 8 1 treats all parameters on an equal basis, and it considers all
parameters to be space-time dependent. The freedom still exists to choose
CCi(X
,
t) to have any arbitrary space and/or time dependence (or
independence).
Since functional diferentiation commutes with the partial derivatives in
Eqs. 83-84 the elementary sensitivity densities are found to satisfy the
following linear, nonhomogeneou
s
, reaction-diffusion equations
n
L L;i
x,
t)
Sj
p(x,
t
;
x'
, t') -g;p(x,
t
;
x', t')
,
j

1
with initial conditions
Sip(X, O;
x', t') -
A
i
p(X
;
x'
,
t')
,
and boundary conditions
A
f(s, t)n . Di(s,
t)
. V Sip(S, t
;
x', t') + Ar(s, t)Sip(S, t
;
x, t')
= h
;p(s, t
;
x',
t').
The linear differential operator lis defned by
oj
L;
J{
x, t) -b
ij
o
t
-V (
Di(X, t) V) -
OC
j
'
The functions
g,
A
,
and h are
(
I
')
bDJX
,
t)
V ( )
oj ( ) (
')
gip X,
t
; X , t
(
)
c
i x, t + ;;u x-x u t -t
,
urp X , t urp
b
c
i(x)
A
;p(X
;
XI
,
t') -
( ' ')
'
ucp x ,
t
baJs, t) bANs
,
t)
)
h
;p(s, t
;
x',
t') =
( ' ')
_
')
n ' Di(s, t
urp x , t urp x , t
3
CD;(s, t)
. Vc;(s
,
t) -Ai (s
,
t)n "
( ) ucp x', t'
JA
i(s, t)
. V Ci(S, t) - "
( ' ')
c;(s, t).
urp x , t
85.
86.
87.
88.
89.
90.
91 .
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The functional derivatives indicated in Eqs. 90 and 91 are to be computed
as follows. In Eq. 90 consider c(x)as the initial (t
0) value of a subset of
the parameter set, thus c(x)
a(x, 0)for Pl < P

'
< Pl +N - 1. Similarly,
for the boundary condition terms, thus
o,
(s
,t)
a
(s
,t)
,
P
2
< P
"
<
P
2
+
N -
1
and analogous relations for Aj(s,t)and Aj(s,t),P
l
and P
2
will depend on
how one chooses to associate an a(x,t)to an actual parameter ofthe system
(the enumeration of the system parameters is, of course, arbitrary). With
this convention it follows that
oc(x) _ oa(x, 0) _ ( ) (
')

- c c x x c t ,
ca(x',t') ca(x',t')
co(s,t) _ ca(s,t) _ (
_
) (
') - - c c x c t t .
ca(x',t') ca(x',t')
92.
93.
As in the cases studied bove, the lnear diferential equation Eq. 85 for
the elementary sensitivity densities can be solved (at least formally) with the
help of an adequately defned Green's function. The Green's function of
interest here is such that
x,t)K
.
,
(
x,t ,x',t')
c
,
c(x-x')c(t
-
t'),
94.
. i
with homogeneous boundary conditions
Aj(s
,
t)a 0(s,t) VKs
,
t ,x',t)+Aj(s,t)Ks,t , x',t') 0 95.
A(s' t)a' 0'(s' t') V'Kx t s' t') +A(s' t')Kx t s' t')
0 96.
, , ,
,
, ,
and initial con
d
ition
lim K,(x,t+8 ; x',t')
c,c(
x
-x').
The solution to Eq. 85 can then be written as

S
(x t
x' t')
q
t
dx"
K

x t x t)
_
(x t
x' t')
P
,
, , IJ' " , JP `
, ,
U f
- :
97.
{dtdu" i Kx, t , s
, t)/(s, t , x', t'), 98.
,=
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where
M 1
K
(x, t
.
s
.
t)
A(s,t
,,
)
K
(x, |
s
,t) if A(s, t) o 0
and
- 1
1
K (x t
sIt tIt
)
=
( M D (s t)
t_
A( s,t)
J
VK_x, t , s, t') if A(s, t) = 0

99.
1 00.
The above expressions for Ki assume that either A or A is identically
zero. If neither A nor A is identically zero then, due to the boundary
conditions stated in Eq. 96, both expressions are identical and one can use
Eq. 99 for Ki.
The Green's function Kis a concentration response function. It gives the
linear response of species i to the presence of a weak source of species j. If a
small amount of species .i is deposited on point xat time t this can be
represented by a source term of the form JJijJ(x x)o(t-t)included in the
right hand side of the reaction difusion equation. Thus, to frst order in
A, the change in the concentrations will be Oci(x, t) = zKx,t ; x,t).
Similarly the elementary sensitivity densities are generalized response
functions. The importance of the concentration response function can be
inferred from the fact that all other response functions are fundamentally
dependent on it. This interpretation illuminates the physical meaning of
sensitivity analysis and shows that the elementary sensitivity coefcients
and densities belong to a broad class of mathematical objects of con
siderable interest in statistical mechanics.
The concept of elementary sensitivity density (a frst-order functional
derivative) can be extended to include the notion of arbitrary order
functional sensitivity densities defned as arbitrary order functional
derivatives of a chemical species concentration with respect to the space
and time dependent parameters of the system (71 ). Going beyond the frst
order work described in this Section, the higher order sensitivity densities
contain interesting information and allow for large excursions from the
reference point in parameter space. The second derivatives provide
information on the structure of the critical points (points where the frst
derivative vanishes) in parameter space (i.e. they determine whether a
particular critical point is a local maximum, minimum, or saddle point).
Using the Green's function method it has been shown that the higher order
sensitivity densities can be obtained in a straightforward recursive manner
from the lower order ones. This recursive property should be useful in
practical numerical computations.
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.
Derived Sensitivity Densities
The elementary sensitivities densities are the mathematically and physically
natural gradients to consider when the species concentrations are de
pendent variables and the system parameters are independent variables.
However, circumstances can be envisioned in which some subset of the
concentrations is assumed to actually be measured and hence "known."
This latter subset of concentrations should now be considered as a part of
the set of independent variables. It is assumed that there are s :: M such
concentrations (C1, . . . , c., etc . . . ). Since the dynamical ties between the
dependent and independent variables are still the same, an equivalent
number of formerly independent variables must now be transferred to the
set of dependent variables. This procedure is similar to the one discussed
above, except that now it is desired to exchange the dependent variables
c;(x, t) (i = 1, . . . , s) as functions of space and time coordinates with the
independent variables rp(x, t) (p = 1 , . . . , s). This is possible only if the
exchanged objects belong to the same function space. Thus the parameters
that are to be interchanged should be defned over the whole space time
domain of the problem under study. This implies that these parameters are
the ones that enter explicitly in the body of the reaction-difusion equation
itself since the initial condition and boundary condition coeffcients are
uniquely defned only at t = 0 and on the boundaries of the system,
respectively. Suppose now that the new set of independent variables is taken
to be {c1(x, t), . . . , c.(x, t), __
1
(x, t), . . . , rm(x, t)} and that the new set of
dependent variables is {r1(
X
, t), . . . , rs(x, t), cs +(x, t), . . . , cn(x, t)} with s :: m
and s :: M. The derived sensitivity densities can be obtained by a procedure
analogous to the one used before to obtain derived sensitivity coefcients.
In this way one obtains (72)
(a) i = l, . . . , s, p = l, . . . , s
Dp;(x, t ; x',
(
) = s;(x, t ; x', t'), 101.
where Dp;(x, t; x', t'
) i s the functional derivative of rp(x, t) (p
= 1 , . . . ,s, a
dependent variable) with respect to c;(x', t') (i
=
1 , e e e s, an independent
variable). S-
1
is the operator inverse to the operator S whose kernel
consists of the elementary sensitivities S;p(x, t ;
x', t'), i = 1, . . . b. Thus, with
p, p
'
= 1, . . . , s, one has
dX d
t'
S
-. `
(
X
t
x'
(
)S

(x' (
x
"
t
"
)
. ]l l]
;=
1
= (pp,((x -x")((t -t'). 102.
The parameters chosen to be interchanged with the concentrations must be
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458 RBITZ, KRAMER & DACOL
such that the above inverse exists. The remaining derived densities are given
by the following equations.
(b)
p
= 1, . . . , S
, q
= S + 1, . . . , m
Dpix, t
;
x", t") = -
dX
dt
1 =1
x S
-.
1
(X t

x
'
t
'
)S
.
(X
'
t
"
X" t")
p
I ' "
lq , , , , 103.
where Dpix, t ; x", t") is the functional derivative of (p(x, t) ( 1, . . . , s, a
dependent variable) with respect to (ix", t") (q = S + 1, . . . , m, an in
dependent variable).
(c) i = s +I , . . . , n, j = 1, . . . , s
D
i
ix, t ;
x", t") =
d
x
'
d
t
' Jl Sip(X, t
;
x', t
')S;/
(x
', t' ;
x", t"), 10
.
where D;ix, t ; x", t") is the functional derivative of ci(x, t) (i s + 1, . . . , n, a
dependent variable) with respect to cix", t") (j 1 , . . . , s, an independent
variable).
(d) i = s +I , . . . , n, q = s + 1, . . . , m
Diq(x, t ; x/, t') = Siq(X, t ; XI, t') -
d
X1
d
t1

dX2
d
t2
p
t
1
it
1
S
i
P
(X, t ; X
l' t1)
x
S;/
(xh t1
;
x
2
, t2)SjiX2'
t
2 ; X', t') 105.
where Diix, t ; x
'
, t') is the functional derivative of C;(x, t) (i = s + 1, . . . , n, a
dependent variable) with respect to (q(x
'
, t
'
) (q = s + 1, . . . , m, an in
dependent variable). There is an obvious structural similarity between these
expressions for the derived sensitivity densities and the expressions
obtained for the derived sensitivity coefcients (Eqs. 51-54). It is important
to notice that, unlike the case for the elementary sensitivities, there is no
simple relation between the derived sensitivity coefcients and the derived
sensitivity densities. Although the elementary sensitivity coefcients can be
shown to be equal to the integral over the space time domain of the
corresponding elementary sensitivity densities (see Eq. 82), this is not true
for the derived sensitivities.
In order to get the derived sensitivity densities from the expressions
obtained above it is necessary to have obtained the elementary sensitivity
densities and to be able to invert the operator S. However, it is also possible
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to obtain these derived sensitivity densities as solutions to certain partial
diferential equations related to the reaction-difusion equation of interest.
These equations for the derived sensitivity densities can be obtained by
applying the operator lx,t) to the above expressions for the derived
sensitivity densities and then using the diferential equations for the
elementary sensitivity densities (73). These diferential equations can be
solved by a number of means, including the Green's function method, to
yield the derived sensitivities without frst calculating the elementary
sensitivities. This approach was illustrated for a model reaction-difusion
system (73).
It is possible to introduce the concept of higher order derived sensitivity
densities, defned as higher order functional derivatives of the new set of
dependent variables with respect to the new set of independent variables.
These objects allow for a more detailed probing ofthe relationships among
the system parameters and monitored concentrations. The fact that
the derived sensitivity densities satisfy linear algebraic and diferential
equations implies that the higher order derived sensitivity densities will
also satisfy similar equations. As with higher order elementary sensi
tivity densities, the Green's function method can be used to show that the
higher order derived sensitivity densities can be obtained in a straight
forward recursive manner from the lower order ones.
CONCLUSION
This review has covered sensitivity analysis as it applies to the feld of
chemical kinetics. There are a number of points to keep in mind in order to
appreciate fully the content of the review. First, although the subject of
sensitivity analysis has a rather long history (1), it is quite new as a formally
developed topic in the feld of chemical kinetics. The past few years have
seen a rapid development of many of the basic concepts along with
numerical techniques. The conceptual developments have tended to
outstrip actual practical applications, but the number of numerical
calculations is continuing to grow. It is our belief that systematic sensitivity
analysis should be adopted as a routine tool when performing kinetic
modeling. The technique can not only provide an immediate quantitative
measure of modeling error propagation, but perhaps more importantly it
can lead to detailed and often subtle physical insights concerning mech
anistic structure. Although it is true that a rough sense of many of these
matters can be achieved by merely performing repeated calculations while
"tuning up" the model, there is in fact no substitute for quantitative
measures of this information. For example, without the quantitative and
mathematically well-defned nature of sensitivity gradients, the rich variety
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of questions interrelating the system dependent and independent variables
cannot be addressed. A thorough sensitivity analysis does not come free,
but if one can aford to perform the original modeling calculations, then a
sensitivity analysis can also be aforded. In regard to the latter point, there is
still much room for improved numerical techniques, especially for space
and space-time problems. Nevertheless, while these basic developments will
continue to grow, the available numerical technology exists for performing
practical calculations, especially for purely temporal systems. Finally, it is
worth noting that one of the most exciting aspects of this subject is its
general applicability to a wide variety of problems. Literally, any mathema
tically described physical problem can be characterized by appropriate
input and output information connected by intermediate (dynamical)
equations. From this perspective many of the tools described in this review
have applications to other felds besides chemical kinetics.
ACKNOWLEDGMENT
The authors acknowledge support for this work from the Department of
Energy and the Ofce of Naval Research.
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Sensitivity Analysis in Chemical Kinetics

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Sensitivity Analysis in Chemical Kinetics

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Ann. Rev. Phys. Cher. 1983.

_- + a(O) exp(Jt)-J -la.

1, . . . , n and Xi+n (i for i

where ![c)is, in general, a functional of the concentration vector

.between the system parameters and

The similar structure of Eqs. 67 and 61 is quite evident. The functional

The limit only need be observed to the extent that a problem-dependent

a(x, 0)for Pl < P

The solution to Eq. 85 can then be written as

VK_x, t , s, t') if A(s, t) = 0

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