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.
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.:
- 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.
- van Beers, W.C.M. & Kleijnen, J.P.C., 2005.
"Customized Sequential Designs for Random Simulation Experiments : Kriging Metamodelling and Bootstrapping,"
2005-55, Tilburg University, Center for Economic Research.
- van Beers, Wim C.M. & Kleijnen, Jack P.C., 2008. "Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping," European Journal of Operational Research, 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.
- 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.
- 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. & Sargent, Robert G., 2000.
"A methodology for fitting and validating metamodels in simulation,"
European Journal of Operational Research,
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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:192:y:2009:i:3:p:707-716. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.