Enhancing stochastic kriging for queueing simulation with stylized models

Haihui Shen, L. Jeff Hong and Xiaowei Zhang

IISE Transactions, 2018, vol. 50, issue 11, 943-958

Abstract: Stochastic kriging is a popular metamodeling technique to approximate computationally expensive simulation models. However, it typically treats the simulation model as a black box in practice and often fails to capture the highly nonlinear response surfaces that arise from queueing simulations. We propose a simple, effective approach to improve the performance of stochastic kriging by incorporating stylized queueing models that contain useful information about the shape of the response surface. We provide several statistical tools to measure the usefulness of the incorporated stylized models. We show that even a relatively crude stylized model can substantially improve the prediction accuracy of stochastic kriging.

Date: 2018
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DOI: 10.1080/24725854.2018.1465242

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