Bootstrapping and Conditional Simulation in Kriging: Better Confidence Intervals and Optimization
AbstractAbstract: This paper investigates two related questions: (1) How to derive a confidence interval for the output of a combination of simulation inputs not yet simulated? (2) How to select the next combination to be simulated when searching for the optimal combination? To answer these questions, the paper uses parametric bootstrapped Kriging and "conditional simulation". Classic Kriging estimates the variance of its predictor by plugging-in the estimated GP parameters so this variance is biased. The main conclusion is that classic Kriging seems quite robust; i.e., classic Kriging gives acceptable confidence intervals and estimates of the optimal solution.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2013-038.
Date of creation: 2013
Date of revision:
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Web page: http://center.uvt.nl
Simulation; Optimization; Kriging; Bootstrap;
Find related papers by JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C9 - Mathematical and Quantitative Methods - - Design of Experiments
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-28 (All new papers)
- NEP-ECM-2013-07-28 (Econometrics)
- NEP-ORE-2013-07-28 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kleijnen, J.P.C., 2008. "Review of the book [Design and Analysis of Simulation Experiments]," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4379049, Tilburg University.
- Kleijnen, J.P.C., 2007.
"Kriging Metamodeling in Simulation: A Review,"
2007-13, Tilburg University, Center for Economic Research.
- Kleijnen, Jack P.C., 2013. "Simulation-Optimization via Kriging and Bootstrapping: A Survey (Revision of CentER DP 2011-064)," Discussion Paper 2013-064, Tilburg University, Center for Economic Research.
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