A methodology for fitting and validating metamodels in simulation

Jack P.C. Kleijnen and R.G. Sargent
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R.G. Sargent: Tilburg University, Center for Economic Research

No 116, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: This expository paper discusses the relationships among metamodels, simulation models, and problem entities. A metamodel or response surface is an approximation of the input/output function implied by the underlying simulation model. There are several types of metamodel: linear regression, splines, neural networks, etc. This paper distinguishes between fitting and validating a metamodel. Metamodels may have different goals: (i) understanding, (ii) prediction, (iii) optimization, and (iv) verification and validation. For this metamodeling, a process with thirteen steps is proposed. Classic design of experiments (DOE) is summarized, including standard measures of fit such as the R-square coefficient and cross-validation measures. This DOE is extended to sequential or stagewise DOE. Several validation criteria, measures, and estimators are discussed. Metamodels in general are covered, along with a procedure for developing linear regression (including polynomial) metamodels.

Date: 1997
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Related works:
Journal Article: A methodology for fitting and validating metamodels in simulation (2000)
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