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A methodology for fitting and validating metamodels in simulation

Listed author(s):
  • Kleijnen, Jack P. C.
  • Sargent, Robert G.

This expository paper discusses the relationships among metamodels, simulation models, and problem entities. A metamodel or response surface is an approximation of the input/output function implied by the underlying simulation model. There are several types of metamodel: linear regression, splines, neural networks, etc. This paper distinguishes between fitting and validating a metamodel. Metamodels may have different goals: (i) understanding, (ii) prediction, (iii) optimization, and (iv) verification and validation. For this metamodeling, a process with thirteen steps is proposed. Classic design of experiments (DOE) is summarized, including standard measures of fit such as the R-square coefficient and cross-validation measures. This DOE is extended to sequential or stagewise DOE. Several validation criteria, measures, and estimators are discussed. Metamodels in general are covered, along with a procedure for developing linear regression (including polynomial) metamodels.

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File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(98)00392-0
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 120 (2000)
Issue (Month): 1 (January)
Pages: 14-29

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Handle: RePEc:eee:ejores:v:120:y:2000:i:1:p:14-29
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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  1. Kleijnen, J.P.C., 1995. "Sensitivity analysis and optimization of system dynamics models : Regression analysis and statistical design of experiments," Discussion Paper 1995-4, Tilburg University, Center for Economic Research.
  2. Jack P. C. Kleijnen & Bert Bettonvil & Willem Van Groenendaal, 1998. "Validation of Trace-Driven Simulation Models: A Novel Regression Test," Management Science, INFORMS, vol. 44(6), pages 812-819, June.
  3. Kleijnen, Jack P. C., 1995. "Verification and validation of simulation models," European Journal of Operational Research, Elsevier, vol. 82(1), pages 145-162, April.
  4. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  5. Jack P. C. Kleijnen, 1992. "Regression Metamodels for Simulation with Common Random Numbers: Comparison of Validation Tests and Confidence Intervals," Management Science, INFORMS, vol. 38(8), pages 1164-1185, August.
  6. Kleijnen, Jack P. C. & Standridge, Charles R., 1988. "Experimental design and regression analysis in simulation: An FMS case study," European Journal of Operational Research, Elsevier, vol. 33(3), pages 257-261, February.
  7. van Groenendaal, W.J.H. & Kleijnen, J.P.C., 1997. "On the assessment of economic risk : Factorial design versus Monte Carlo methods," Other publications TiSEM fd2a2307-0812-4543-8151-7, Tilburg University, School of Economics and Management.
  8. Bettonvil, Bert & Kleijnen, Jack P. C., 1997. "Searching for important factors in simulation models with many factors: Sequential bifurcation," European Journal of Operational Research, Elsevier, vol. 96(1), pages 180-194, January.
  9. Saltelli, A. & Andres, T. H. & Homma, T., 1995. "Sensitivity analysis of model output. Performance of the iterated fractional factorial design method," Computational Statistics & Data Analysis, Elsevier, vol. 20(4), pages 387-407, October.
  10. van Ham, G. & Rotmans, J. & Kleijnen, J.P.C., 1992. "Techniques for sensitivity analysis of simulation models : A case study of the CO2 greenhouse effect," Other publications TiSEM 71317a03-3399-4554-83cb-4, Tilburg University, School of Economics and Management.
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