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Kriging Metamodeling in Simulation: A Review

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Author Info
Kleijnen, J.P.C. (Tilburg University, Center for Economic Research)

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Abstract

This article reviews Kriging (also called spatial correlation modeling). It presents the basic Kriging assumptions and formulas contrasting Kriging and classic linear regression metamodels. Furthermore, it extends Kriging to random simulation, and discusses bootstrapping to estimate the variance of the Kriging predictor. Besides classic one-shot statistical designs such as Latin Hypercube Sampling, it reviews sequentialized and customized designs. It ends with topics for future research.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-13.

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Date of creation: 2007
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Handle: RePEc:dgr:kubcen:200713

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Find related papers by JEL classification:
C0 - Mathematical and Quantitative Methods - - General
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C9 - Mathematical and Quantitative Methods - - Design of Experiments

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  1. Kleijnen, J.P.C. & Beers, W.C.M. van, 2003. "Application-driven sequential designs for simulation experiments: kriging metamodeling," Discussion Paper 33, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Kleijnen, Jack P. C. & van Beers, Wim C. M., 2005. "Robustness of Kriging when interpolating in random simulation with heterogeneous variances: Some experiments," European Journal of Operational Research, Elsevier, vol. 165(3), pages 826-834, September. [Downloadable!] (restricted)
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  1. Kleijnen, J.P.C. & Beers, W.C.M. van & Nieuwenhuyse, I. van, 2008. "Constrained Optimization in Simulation: A Novel Approach," Discussion Paper 2008-95, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Bettonvil, B.W.M. & Castillo, E. del & Kleijnen, J.P.C., 2007. "Statistical Testing of Optimality Conditions in Multiresponse Simulation-based Optimization (Revision of 2005-81)," Discussion Paper 2007-45, Tilburg University, Center for Economic Research. [Downloadable!]
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