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Estimating the Variance of the Predictor in Stochastic Kriging

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  • Kleijnen, J.P.C.

    (Tilburg University, Center For Economic Research)

  • Mehdad, Ehsan

    (Tilburg University, Center For Economic Research)

Abstract

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  • Kleijnen, J.P.C. & Mehdad, Ehsan, 2015. "Estimating the Variance of the Predictor in Stochastic Kriging," Discussion Paper 2015-041, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:dbbd2fa2-eccf-4f71-be9b-cb15f9ebad30
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    1. Roustant, Olivier & Ginsbourger, David & Deville, Yves, 2012. "DiceKriging, DiceOptim: Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 51(i01).
    2. Ehsan Mehdad & Jack P C Kleijnen, 2015. "Classic Kriging versus Kriging with bootstrapping or conditional simulation: classic Kriging’s robust confidence intervals and optimization," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 66(11), pages 1804-1814, November.
    3. Lihua Sun & L. Jeff Hong & Zhaolin Hu, 2014. "Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search," Operations Research, INFORMS, vol. 62(6), pages 1416-1438, December.
    4. Bruce Ankenman & Barry L. Nelson & Jeremy Staum, 2010. "Stochastic Kriging for Simulation Metamodeling," Operations Research, INFORMS, vol. 58(2), pages 371-382, April.
    5. Jack P.C. Kleijnen, 2015. "Design and Analysis of Simulation Experiments," International Series in Operations Research and Management Science, Springer, edition 2, number 978-3-319-18087-8, September.
    6. Russell R. Barton & Barry L. Nelson & Wei Xie, 2014. "Quantifying Input Uncertainty via Simulation Confidence Intervals," INFORMS Journal on Computing, INFORMS, vol. 26(1), pages 74-87, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    kriging; Gaussian process; predictor variance; plug-in; bootstrap;
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