Application-driven sequential designs for simulation experiments: Kriging metamodelling

Jack Kleijnen () and W C M van Beers
Additional contact information
W C M van Beers: Center for Economic Research (CentER), Tilburg University (UvT)

Journal of the Operational Research Society, 2004, vol. 55, issue 8, 876-883

Abstract: Abstract This paper proposes a novel method to select an experimental design for interpolation in simulation. Although 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; that is, 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 either sequential designs based on an approximate Kriging prediction variance formula or designs with prefixed sample sizes.

Keywords: simulation; statistics; stochastic; regression; methodology (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jors.2601747 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jorsoc:v:55:y:2004:i:8:d:10.1057_palgrave.jors.2601747

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/41274

DOI: 10.1057/palgrave.jors.2601747

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald and Jonathan Crook

More articles in Journal of the Operational Research Society from Palgrave Macmillan, The OR Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().