Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping
This paper proposes a novel method to select an experimental design for interpolation in random simulation, especially discrete event simulation.(Though the paper focuses on Kriging, this design approach may also apply to other types of metamodels such as linear regression models.)Assuming that simulation requires much computer time, it is important to select a design with a small number of observations (or simulation runs).The proposed method is therefore sequential.Its novelty is that it accounts for the specific input/output behavior (or response function) of the particular simulation at hand; i.e., the method is customized or application-driven.A tool for this customization is bootstrapping, which enables the estimation of the variances of predictions for inputs not yet simulated.The new method is tested through two classic simulation models: example 1 estimates the expected steady-state waiting time of the M/M/1 queueing model; example 2 estimates the mean costs of a terminating (s, S) inventory simulation.For these simulations the novel design indeed gives better results than Latin Hypercube Sampling (LHS) with a prefixed sample of the same size.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Ferri, M. & Piccioni, M., 1992. "Optimal selection of statistical units : An approach via simulated annealing," Computational Statistics & Data Analysis, Elsevier, vol. 13(1), pages 47-61, January.
- Kleijnen, Jack P.C. & Deflandre, David, 2006. "Validation of regression metamodels in simulation: Bootstrap approach," European Journal of Operational Research, Elsevier, vol. 170(1), pages 120-131, April.
- Sridhar Bashyam & Michael C. Fu, 1998. "Optimization of (s, S) Inventory Systems with Random Lead Times and a Service Level Constraint," Management Science, INFORMS, vol. 44(12-Part-2), pages S243-S256, December.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:186:y:2008:i:3:p:1099-1113. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.