Stochastic Intrinsic Kriging for Simulation Metamodelling

Research output: Working paperDiscussion paperOther research output

518 Downloads (Pure)

Abstract

We derive intrinsic Kriging, using Matherons intrinsic random functions which eliminate the trend in classic Kriging. We formulate this intrinsic Kriging as a metamodel in deterministic and random simulation models. For random simulation we derive an experimental design that also specifies the number of replications that varies with the input combinations. We compare intrinsic Kriging and classic Kriging in several numerical experiments with deterministic and random simulations. These experiments suggest that intrinsic Kriging gives more accurate metamodel, in most experiments.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Pages1-19
Number of pages19
Volume2014-054
Publication statusPublished - 8 Sep 2014

Publication series

NameCentER Discussion Paper
Volume2014-054

Keywords

  • Gaussian process
  • Kriging
  • intrinsic Kriging
  • metamodel
  • computer experiment
  • simulation

Cite this

Mehdad, E., & Kleijnen, J. P. C. (2014). Stochastic Intrinsic Kriging for Simulation Metamodelling. (pp. 1-19). (CentER Discussion Paper; Vol. 2014-054). Tilburg: Operations research.