Stochastic Intrinsic Kriging for Simulation Metamodelling

Ehsan Mehdad, J.P.C. Kleijnen

Research output: Working paperDiscussion paperOther research output

444 Downloads (Pure)

Abstract

Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of Kriging; the classic type is so-called universal Kriging, which includes ordinary Kriging. These classic types require estimation of the trend in the input-output data of the underlying simulation model; this estimation deteriorates the Kriging metamodel. We therefore consider so-called intrinsic Kriging originating in geostatistics, and derive intrinsic Kriging for deterministic and random simulations. Moreover, for random simulations we derive experimental designs that specify the number of replications that varies with the input combination of the simulation model. To compare the performance
of intrinsic Kriging and classic Kriging, we use several numerical experiments with deterministic simulations and random simulations. These experiments show that intrinsic Kriging gives better metamodels, in most experiments.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages22
Volume2015-038
Publication statusPublished - 22 Jul 2015

Publication series

NameCentER Discussion Paper
Volume2015-038

Fingerprint

kriging
simulation
experiment
geostatistics
experimental design

Keywords

  • simulation
  • gaussian process
  • Kriging
  • intrinsic random functions
  • metamodel

Cite this

Mehdad, E., & Kleijnen, J. P. C. (2015). Stochastic Intrinsic Kriging for Simulation Metamodelling. (CentER Discussion Paper; Vol. 2015-038). Tilburg: CentER, Center for Economic Research.
Mehdad, Ehsan ; Kleijnen, J.P.C. / Stochastic Intrinsic Kriging for Simulation Metamodelling. Tilburg : CentER, Center for Economic Research, 2015. (CentER Discussion Paper).
@techreport{00bed9cbd34c4e9893efe805fce63fa0,
title = "Stochastic Intrinsic Kriging for Simulation Metamodelling",
abstract = "Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of Kriging; the classic type is so-called universal Kriging, which includes ordinary Kriging. These classic types require estimation of the trend in the input-output data of the underlying simulation model; this estimation deteriorates the Kriging metamodel. We therefore consider so-called intrinsic Kriging originating in geostatistics, and derive intrinsic Kriging for deterministic and random simulations. Moreover, for random simulations we derive experimental designs that specify the number of replications that varies with the input combination of the simulation model. To compare the performanceof intrinsic Kriging and classic Kriging, we use several numerical experiments with deterministic simulations and random simulations. These experiments show that intrinsic Kriging gives better metamodels, in most experiments.",
keywords = "simulation, gaussian process, Kriging, intrinsic random functions, metamodel",
author = "Ehsan Mehdad and J.P.C. Kleijnen",
year = "2015",
month = "7",
day = "22",
language = "English",
volume = "2015-038",
series = "CentER Discussion Paper",
publisher = "CentER, Center for Economic Research",
type = "WorkingPaper",
institution = "CentER, Center for Economic Research",

}

Mehdad, E & Kleijnen, JPC 2015 'Stochastic Intrinsic Kriging for Simulation Metamodelling' CentER Discussion Paper, vol. 2015-038, CentER, Center for Economic Research, Tilburg.

Stochastic Intrinsic Kriging for Simulation Metamodelling. / Mehdad, Ehsan; Kleijnen, J.P.C.

Tilburg : CentER, Center for Economic Research, 2015. (CentER Discussion Paper; Vol. 2015-038).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Stochastic Intrinsic Kriging for Simulation Metamodelling

AU - Mehdad, Ehsan

AU - Kleijnen, J.P.C.

PY - 2015/7/22

Y1 - 2015/7/22

N2 - Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of Kriging; the classic type is so-called universal Kriging, which includes ordinary Kriging. These classic types require estimation of the trend in the input-output data of the underlying simulation model; this estimation deteriorates the Kriging metamodel. We therefore consider so-called intrinsic Kriging originating in geostatistics, and derive intrinsic Kriging for deterministic and random simulations. Moreover, for random simulations we derive experimental designs that specify the number of replications that varies with the input combination of the simulation model. To compare the performanceof intrinsic Kriging and classic Kriging, we use several numerical experiments with deterministic simulations and random simulations. These experiments show that intrinsic Kriging gives better metamodels, in most experiments.

AB - Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of Kriging; the classic type is so-called universal Kriging, which includes ordinary Kriging. These classic types require estimation of the trend in the input-output data of the underlying simulation model; this estimation deteriorates the Kriging metamodel. We therefore consider so-called intrinsic Kriging originating in geostatistics, and derive intrinsic Kriging for deterministic and random simulations. Moreover, for random simulations we derive experimental designs that specify the number of replications that varies with the input combination of the simulation model. To compare the performanceof intrinsic Kriging and classic Kriging, we use several numerical experiments with deterministic simulations and random simulations. These experiments show that intrinsic Kriging gives better metamodels, in most experiments.

KW - simulation

KW - gaussian process

KW - Kriging

KW - intrinsic random functions

KW - metamodel

M3 - Discussion paper

VL - 2015-038

T3 - CentER Discussion Paper

BT - Stochastic Intrinsic Kriging for Simulation Metamodelling

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Mehdad E, Kleijnen JPC. Stochastic Intrinsic Kriging for Simulation Metamodelling. Tilburg: CentER, Center for Economic Research. 2015 Jul 22. (CentER Discussion Paper).