IDEAS home Printed from https://ideas.repec.org/a/pal/jorsoc/v54y2003i3d10.1057_palgrave.jors.2601492.html
   My bibliography  Save this article

Kriging for interpolation in random simulation

Author

Listed:
  • W C M van Beers

    (Tilburg University (UVT))

  • J P C Kleijnen

    (Tilburg University (UVT))

Abstract

Whenever simulation requires much computer time, interpolation is needed. Simulationists use different interpolation techniques (eg linear regression), but this paper focuses on Kriging. This technique was originally developed in geostatistics by DG Krige, and has recently been widely applied in deterministic simulation. This paper, however, focuses on random or stochastic simulation. Essentially, Kriging gives more weight to ‘neighbouring’ observations. There are several types of Kriging; this paper discusses—besides Ordinary Kriging—a novel type, which ‘detrends’ data through the use of linear regression. Results are presented for two examples of input/output behaviour of the underlying random simulation model: Ordinary and Detrended Kriging give quite acceptable predictions; traditional linear regression gives the worst results.

Suggested Citation

  • W C M van Beers & J P C Kleijnen, 2003. "Kriging for interpolation in random simulation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(3), pages 255-262, March.
    • Handle: RePEc:pal:jorsoc:v:54:y:2003:i:3:d:10.1057_palgrave.jors.2601492
    DOI: 10.1057/palgrave.jors.2601492
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jors.2601492
    File Function: Abstract
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1057/palgrave.jors.2601492?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kleijnen, J.P.C. & van Groenendaal, W.J.H., 1992. "Two-stage versus sequential sample-size determination in regression analysis of simulation experiments," Research Memorandum FEW 572, Tilburg University, School of Economics and Management.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Janssen, Hans, 2013. "Monte-Carlo based uncertainty analysis: Sampling efficiency and sampling convergence," Reliability Engineering and System Safety, Elsevier, vol. 109(C), pages 123-132.
    2. Van Groenendaal, Willem J. H. & Kleijnen, Jack P. C., 2002. "Deterministic versus stochastic sensitivity analysis in investment problems: An environmental case study," European Journal of Operational Research, Elsevier, vol. 141(1), pages 8-20, August.
    3. Jamal Ouenniche & Aristotelis Boukouras & Mohammad Rajabi, 2016. "An Ordinal Game Theory Approach to the Analysis and Selection of Partners in Public–Private Partnership Projects," Journal of Optimization Theory and Applications, Springer, vol. 169(1), pages 314-343, April.
    4. Kleijnen, J.P.C., 2006. "White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice," Other publications TiSEM d8c37ad3-f9a5-4824-986d-2, Tilburg University, School of Economics and Management.
    5. van Groenendaal, W.J.H., 2003. "Group decision support for public policy planning," Other publications TiSEM eecbe70b-1ce7-4885-903f-6, Tilburg University, School of Economics and Management.
    6. Kleijnen, J.P.C., 2007. "Simulation Experiments in Practice : Statistical Design and Regression Analysis," Discussion Paper 2007-09, Tilburg University, Center for Economic Research.
    7. Russell C. H. Cheng & Jack P. C. Kleijnen, 1999. "Improved Design of Queueing Simulation Experiments with Highly Heteroscedastic Responses," Operations Research, INFORMS, vol. 47(5), pages 762-777, October.
    8. Zhang, X.L. & van Groenendaal, W.J.H., 2001. "The Role of Institutional Support in Energy Technology Diffusion in Rural China," Discussion Paper 2001-6, Tilburg University, Center for Economic Research.
    9. Borgonovo, E. & Gatti, S. & Peccati, L., 2010. "What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions," European Journal of Operational Research, Elsevier, vol. 205(1), pages 227-236, August.
    10. 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.
    11. Vonk Noordegraaf, Antonie & Nielen, Mirjam & Kleijnen, Jack P. C., 2003. "Sensitivity analysis by experimental design and metamodelling: Case study on simulation in national animal disease control," European Journal of Operational Research, Elsevier, vol. 146(3), pages 433-443, May.
    12. Dennehy, C. & Lawlor, P.G. & Gardiner, G.E. & Jiang, Y. & Shalloo, L. & Zhan, X., 2017. "Stochastic modelling of the economic viability of on-farm co-digestion of pig manure and food waste in Ireland," Applied Energy, Elsevier, vol. 205(C), pages 1528-1537.
    13. Mike Hewitt & Janosch Ortmann & Walter Rei, 2022. "Decision-based scenario clustering for decision-making under uncertainty," Annals of Operations Research, Springer, vol. 315(2), pages 747-771, August.
    14. Borgonovo, Emanuele & Plischke, Elmar, 2016. "Sensitivity analysis: A review of recent advances," European Journal of Operational Research, Elsevier, vol. 248(3), pages 869-887.
    15. 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.
    16. Clazien J. De Vos & Helmut W. Saatkamp & Mirjam Nielen & Ruud B. M. Huirne, 2006. "Sensitivity Analysis to Evaluate the Impact of Uncertain Factors in a Scenario Tree Model for Classical Swine Fever Introduction," Risk Analysis, John Wiley & Sons, vol. 26(5), pages 1311-1322, October.
    17. Patrizio, P. & Chinese, D., 2016. "The impact of regional factors and new bio-methane incentive schemes on the structure, profitability and CO2 balance of biogas plants in Italy," Renewable Energy, Elsevier, vol. 99(C), pages 573-583.
    18. van Calker, K. J. & Berentsen, P. B. M. & de Boer, I. M. J. & Giesen, G. W. J. & Huirne, R. B. M., 2004. "An LP-model to analyse economic and ecological sustainability on Dutch dairy farms: model presentation and application for experimental farm "de Marke"," Agricultural Systems, Elsevier, vol. 82(2), pages 139-160, November.
    19. Kleijnen, J.P.C., 1997. "Experimental Design for Sensitivity Analysis, Optimization and Validation of Simulation Models," Discussion Paper 1997-52, Tilburg University, Center for Economic Research.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:jorsoc:v:54:y:2003:i:3:d:10.1057_palgrave.jors.2601492. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.