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Application-driven Sequential Designs for Simulation Experiments: Kriging Metamodeling

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Author Info

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

    (Tilburg University, Center for Economic Research)

Abstract

This paper proposes a novel method to select an experimental design for interpolation in simulation.Though the paper focuses on Kriging in deterministic simulation, the method also applies to other types of metamodels (besides Kriging), and to stochastic simulation.The paper focuses on simulations that require much computer time, so it is important to select a design with a small number of observations.The proposed method is therefore sequential.The novelty of the method is that it accounts for the specific input/output function of the particular simulation model at hand; i.e., the method is application-driven or customized.This customization is achieved through cross-validation and jackknifing.The new method is tested through two academic applications, which demonstrate that the method indeed gives better results than a design with a prefixed sample size.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-33.

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Date of creation: 2003
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Handle: RePEc:dgr:kubcen:200333

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Web page: http://center.uvt.nl

Related research

Keywords: experimental design; simulation; interpolation; sampling; sensitivity analysis; metamodels;

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Cited by:
  1. Dam, E.R. van & Husslage, B.G.M. & Hertog, D. den, 2004. "One-Dimensional Nested Maximin Designs," Discussion Paper 2004-66, Tilburg University, Center for Economic Research.

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