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A method for the updating of stochastic kriging metamodels

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  • Kamiński, Bogumił

Abstract

Two standard approaches to predicting the expected values of simulation outputs are either execution of the simulation itself or the use of a metamodel. In this work we propose a methodology that enables both approaches to be combined. When a prediction for a new input is required the procedure is to augment the metamodel forecast with additional simulation outputs for a given input. The key benefit of the method is that it is possible to reach the desired prediction accuracy at a new input faster than in the case when no initial metamodel is present. We show that such a procedure is computationally simple and can be applied to, for instance, web-based simulations, where response time to user actions is often crucial.

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  • Kamiński, Bogumił, 2015. "A method for the updating of stochastic kriging metamodels," European Journal of Operational Research, Elsevier, vol. 247(3), pages 859-866.
    • Handle: RePEc:eee:ejores:v:247:y:2015:i:3:p:859-866
    DOI: 10.1016/j.ejor.2015.06.070
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    References listed on IDEAS

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    Cited by:

    1. Kleijnen, Jack P.C., 2017. "Regression and Kriging metamodels with their experimental designs in simulation: A review," European Journal of Operational Research, Elsevier, vol. 256(1), pages 1-16.
    2. Rodriguez, Sergio & Ludkovski, Michael, 2020. "Probabilistic bisection with spatial metamodels," European Journal of Operational Research, Elsevier, vol. 286(2), pages 588-603.
    3. Chen, Xi & Zhou, Qiang, 2017. "Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation," European Journal of Operational Research, Elsevier, vol. 262(2), pages 575-585.

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