Kriging metamodeling in simulation: A review
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 for sensitivity analysis and optimization. It ends with topics for future research.
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- D. Huang & T. Allen & W. Notz & N. Zeng, 2006. "Global Optimization of Stochastic Black-Box Systems via Sequential Kriging Meta-Models," Journal of Global Optimization, Springer, vol. 34(3), pages 441-466, 03.
- van Beers, Wim C.M. & Kleijnen, Jack P.C., 2008.
"Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping,"
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Elsevier, vol. 186(3), pages 1099-1113, May.
- van Beers, W.C.M. & Kleijnen, J.P.C., 2004. "Customized Sequential Designs for Random Simulation Experiments : Kriging Metamodelling and Bootstrapping," Discussion Paper 2004-63, Tilburg University, Center for Economic Research.
- van Beers, W.C.M. & Kleijnen, J.P.C., 2005. "Customized Sequential Designs for Random Simulation Experiments : Kriging Metamodelling and Bootstrapping," Discussion Paper 2005-55, Tilburg University, Center for Economic Research.
- Siem, A.Y.D. & den Hertog, D., 2007. "Kriging Models That Are Robust With Respect to Simulation Errors," Discussion Paper 2007-68, Tilburg University, Center for Economic Research.
- den Hertog, D. & Kleijnen, J.P.C. & Siem, A.Y.D., 2004. "The Correct Kriging Variance Estimated by Bootstrapping," Discussion Paper 2004-46, Tilburg University, Center for Economic Research.
- 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.
- Kleijnen, Jack P. C. & Sargent, Robert G., 2000.
"A methodology for fitting and validating metamodels in simulation,"
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Elsevier, vol. 120(1), pages 14-29, January.
- Kleijnen, J.P.C. & Sargent, R., 1997. "A Methodology for Fitting and Validating Metamodels in Simulation," Discussion Paper 1997-116, Tilburg University, Center for Economic Research.
- Jeremy Oakley, 2004. "Estimating percentiles of uncertain computer code outputs," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 53(1), pages 83-93.
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