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Kriging for Interpolation in Random Simulation


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  • Beers, W.C.M. van
  • Kleijnen, J.P.C.

    (Tilburg University, Center for Economic Research)


Whenever simulation requires much computer time, interpolation is needed. There are several interpolation techniques in use (for example, linear regression), but this paper focuses on Kriging.This technique was originally developed in geostatistics by D.G.Krige, and has recently been widely applied in deterministic simulation.This paper, however, focuses on random or stochastic simulation.Essentially, Kriging gives more weight to 'neighbouring' observations.There are several types of Kriging; this paper discusses - besides Ordinary Kriging - a novel type, which 'detrends' data through the use of linear regression.Results are presented for two examples of input/output behaviour of the underlying random simulation model: A perfectly specified detrending function gives the best predictions, but Ordinary Kriging gives quite acceptable results; traditional linear regression gives the worst predictions.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2001-74.

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Date of creation: 2001
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Handle: RePEc:dgr:kubcen:200174

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Keywords: simulation; statistics; stochastic processes; methodology; linear regression;

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  1. Groenendaal, W.J.H. van & Kleijnen, J.P.C., 1997. "On the assessment of economic risk: Factorial design versus Monte Carlo methods," Open Access publications from Tilburg University urn:nbn:nl:ui:12-73903, Tilburg University.
  2. Kleijnen, J.P.C., 1997. "Experimental Design for Sensitivity Analysis, Optimization and Validation of Simulation Models," Discussion Paper 1997-52, Tilburg University, Center for Economic Research.
  3. Kleijnen, J.P.C. & Groenendaal, W.J.H. van, 1992. "Simulation: A statistical perspective," Open Access publications from Tilburg University urn:nbn:nl:ui:12-388278, Tilburg University.
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