Application-driven sequential designs for simulation experiments: kriging metamodeling

Jack P.C. Kleijnen and W.C.M. van Beers
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W.C.M. van Beers: Tilburg University, Center for Economic Research

No 33, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: This paper proposes a novel method to select an experimental design for interpolation in simulation. Though the paper focuses on Kriging in deterministic simulation, the method also applies to other types of metamodels (besides Kriging), and to stochastic simulation. The paper focuses on simulations that require much computer time, so it is important to select a design with a small number of observations. The proposed method is therefore sequential. The novelty of the method is that it accounts for the specific input/output function of the particular simulation model at hand; i.e., the method is application-driven or customized. This customization is achieved through cross-validation and jackknifing. The new method is tested through two academic applications, which demonstrate that the method indeed gives better results than a design with a prefixed sample size.

Keywords: metamodels (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cbe, nep-cmp and nep-ecm
Date: 2003
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200333

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