Taylor Kriging Metamodeling for Stochastic Simulation Interpolation

Heping Liu and Yanli Chen
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Heping Liu: North Dakota State University, USA
Yanli Chen: Auburn University, USA

International Journal of Operations Research and Information Systems (IJORIS), 2011, vol. 2, issue 1, 82-95

Abstract: This paper applies a novel Kriging model to the interpolation of stochastic simulation with high computational expense. The novel Kriging model is developed by using Taylor expansion to construct a drift function for Kriging, thus named Taylor Kriging. The interpolation capability of Taylor Kriging for stochastic simulation is empirically compared with those of Simple Kriging and Ordinary Kriging according to two stochastic simulation cases. Results show that the interpolation of Taylor Kriging is more accurate than Simple Kriging and Ordinary Kriging. The authors analyze two key factors in stochastic simulation, simulation replications and variance, which influence the accuracy of Kriging interpolation, and obtain some important empirical results.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:igg:joris0:v:2:y:2011:i:1:p:82-95

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