Stochastic Kriging for Simulation Metamodeling

Bruce Ankenman, Barry L. Nelson, Jeremy Staum
2010 Operations Research  
We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting. Our goal is to provide flexible, interpolation-based metamodels of simulation output performance measures as functions of the controllable design or decision variables. To accomplish this we characterize both the intrinsic uncertainty inherent in a stochastic simulation and the extrinsic uncertainty about the unknown response surface. We use
more » ... e surface. We use tractable examples to demonstrate why it is critical to characterize both types of uncertainty, derive general results for experiment design and analysis, and present a numerical example that illustrates the stochastic kriging method.
doi:10.1287/opre.1090.0754 fatcat:z7ofvyg5sbgslprdi6l7wb3jn4