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Generalized Integrated Brownian Fields for Simulation Metamodeling

Author

Listed:
  • Peter Salemi

    () (Operations Research Department, The MITRE Corporation, Bedford, Massachusetts 01730)

  • Jeremy Staum

    () (Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208)

  • Barry L. Nelson

    () (Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208)

Abstract

In operations research, stochastic simulations are often used to model complex systems. Simulation runs can be time-consuming to execute, especially when there are many scenarios that need to be evaluated, or the scenarios to be evaluated cannot be anticipated in advance of when the results are needed. Simulation metamodels are statistical models built using the simulation output at a small set of scenarios and can be used to predict the value of the response surface for any scenario, simulated or not. Thus, simulation metamodels can provide support for real-time decision making and sensitivity analysis. Gaussian process (GP) regression is a popular technique for metamodeling; GP regression represents the unknown response surface as the realization of a Gaussian random field (GRF). Specifying the proper GRF is crucial for effective metamodeling. In “Generalized Integrated Brownian Fields for Simulation Metamodeling”, Salemi, Staum, and Nelson propose a novel class of GRFs called generalized integrated Brownian fields. These GRFs have several desirable properties, including differentiability that can be customized in each coordinate direction, no mean reversion, and the Markov property. These properties are shown to lead to better metamodels than those obtained from standard choices for the GRF.

Suggested Citation

  • Peter Salemi & Jeremy Staum & Barry L. Nelson, 2019. "Generalized Integrated Brownian Fields for Simulation Metamodeling," Operations Research, INFORMS, vol. 67(3), pages 874-891, May.
  • Handle: RePEc:inm:oropre:v:67:y:2019:i:3:p:874-891
    DOI: 10.1287/opre.2018.1804
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    File URL: https://doi.org/10.1287/opre.2018.1804
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    References listed on IDEAS

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