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Stochastic Kriging for Simulation Metamodeling
Stochastic Kriging for Simulation Metamodeling,10.1287/opre.1090.0754,Operations Research,B. Ankenman,B. L. Nelson,J. Staum
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Stochastic Kriging for Simulation Metamodeling
(
Citations: 6
)
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B. Ankenman
,
B. L. Nelson
,
J. Staum
Journal:
Operations Research
, vol. 58, no. 2, pp. 371382, 2010
DOI:
10.1287/opre.1090.0754
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or.journal.informs.org
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Citation Context
(5)
...We use stochastic kriging from
Ankenman, Nelson, and Staum (2010)
to produce the metamodel M. Stochastic kriging is an extension of kriging for deterministic computer experiments to stochastic simulation...
Russell R. Barton
,
et al.
A framework for input uncertainty analysis
...(Yin, Ng, and Ng 2008) and (
Ankenman, Nelson, and Staum 2010
) propose the modified nugget effect model and the stochastic kriging model respectively to address the more general heteroscedastic case...
...The general form of (1) is similar to the form proposed in (
Ankenman, Nelson, and Staum 2010
) when the defined intrinsic variance is estimated...
...When Re is diagonal, (1) reduces to the independent noise model adopted by (Yin, Ng, and Ng 2008) and (
Ankenman, Nelson, and Staum 2010
)...
Jun Yin
,
et al.
A Bayesian metamodeling approach for stochastic simulations
...For the latter noise we refer to [
2
], [23], and [32]...
Jack P. C. Kleijnen
,
et al.
Expected improvement in efficient global optimization through bootstra...
...We use stochastic kriging (
Ankenman, Nelson, and Staum 2010
), but our procedure works with many metamodeling techniques...
Ming Liu
,
et al.
Simulation on demand for pricing many securities
...The purpose of this paper is to undertake a similar analysis of the interaction of CRN and a new metamodeling technique called stochastic kriging (
Ankenman, Nelson, and Staum 2008, 2010
)...
...
Ankenman, Nelson, and Staum (2010)
used a twopoint problem with all parameters known to show that CRN increases the mean squared error (MSE) of the MSEoptimal predictor at a prediction point that has equal extrinsic spatial correlation with the two design points...
...We then extend the result given in Appendix A.2 in
Ankenman, Nelson, and Staum (2010)
for k ≥ 2 spatially uncorrelated design points and show that CRN inflates the MSE of prediction...
...We assume that the trend parameters are unknown whereas
Ankenman, Nelson, and Staum (2010)
assumed that all parameters are known...
...In this section we briefly review stochastic kriging as developed in
Ankenman, Nelson, and Staum (2010)
and the particular simplifications we exploit in this paper...
...Further, if the variance of the noise depends on x, then complicated experiment design techniques (e.g., as developed in
Ankenman, Nelson, and Staum 2010
) are needed to properly counteract the effects of the nonconstant variance...
...For estimation of all of the parameters see
Ankenman, Nelson, and Staum (2010)
...
Xi Chen
,
et al.
Common random numbers and stochastic kriging
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Citations
(6)
Cases for the nugget in modeling computer experiments
(
Citations: 2
)
Robert B. Gramacy
,
Herbert K. H. Lee
Journal:
Statistics and Computing
, pp. 110, 2010
A framework for input uncertainty analysis
(
Citations: 1
)
Russell R. Barton
,
Barry L. Nelson
,
Wei Xie
Conference:
Winter Simulation Conference  WSC
, pp. 11891198, 2010
A Bayesian metamodeling approach for stochastic simulations
(
Citations: 1
)
Jun Yin
,
Szu Hui Ng
,
Kien Ming Ng
Conference:
Winter Simulation Conference  WSC
, pp. 10551066, 2010
Expected improvement in efficient global optimization through bootstrapped kriging
(
Citations: 1
)
Jack P. C. Kleijnen
,
Wim van Beers
,
Inneke van Nieuwenhuyse
Journal:
Journal of Global Optimization
, pp. 115, 2010
Simulation on demand for pricing many securities
Ming Liu
,
Barry L. Nelson
,
Jeremy Staum
Conference:
Winter Simulation Conference  WSC
, pp. 27822789, 2010