Stochastic Kriging for Simulation Metamodeling
From MaRDI portal
Publication:3100474
DOI10.1287/opre.1090.0754zbMath1342.62134OpenAlexW2163286960MaRDI QIDQ3100474
Bruce E. Ankenman, Jeremy Staum, Barry L. Nelson
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1090.0754
Related Items (88)
Prediction of non-stationary response functions using a Bayesian composite Gaussian process ⋮ Generalized polynomial chaos-informed efficient stochastic kriging ⋮ Bayesian Optimization Allowing for Common Random Numbers ⋮ Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces ⋮ Actor-Critic–Like Stochastic Adaptive Search for Continuous Simulation Optimization ⋮ A method for the updating of stochastic Kriging metamodels ⋮ Phenomenological forecasting of disease incidence using heteroskedastic Gaussian processes: a dengue case study ⋮ Predicting the Output From a Stochastic Computer Model When a Deterministic Approximation is Available ⋮ Adaptive design for Gaussian process regression under censoring ⋮ Batch-sequential design and heteroskedastic surrogate modeling for delta smelt conservation ⋮ Stochastic resource allocation using a predictor-based heuristic for optimization via simulation ⋮ Large-scale local surrogate modeling of stochastic simulation experiments ⋮ ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Stochastic Optimization ⋮ A robust simulation optimization algorithm using kriging and particle swarm optimization: Application to surgery room optimization ⋮ Surrogate-based feasibility analysis for black-box stochastic simulations with heteroscedastic noise ⋮ A Multilevel Simulation Optimization Approach for Quantile Functions ⋮ Combined Global and Local Search for Optimization with Gaussian Process Models ⋮ Interpreting stochastic agent-based models of cell death ⋮ Regression Models Augmented with Direct Stochastic Gradient Estimators ⋮ KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ Simulation-based transfer function modeling for transient analysis of general queueing systems ⋮ Probabilistic bisection with spatial metamodels ⋮ Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation ⋮ Gaussian Processes with Input Location Error and Applications to the Composite Parts Assembly Process ⋮ Stochastic natural frequency of composite conical shells ⋮ Technical note—Knowledge gradient for selection with covariates: Consistency and computation ⋮ Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models ⋮ A Clustered Gaussian Process Model for Computer Experiments ⋮ Integrated parameter and tolerance design based on a multivariate Gaussian process model ⋮ Calibration of Inexact Computer Models with Heteroscedastic Errors ⋮ Stochastic simulation uncertainty analysis to accelerate flexible biomanufacturing process development ⋮ Composite Gaussian process models for emulating expensive functions ⋮ Multi-fidelity meta-modeling for reservoir engineering - application to history matching ⋮ Robust optimization with uncertainty using a stochastic multivariate Gaussian process model ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ A spectral surrogate model for stochastic simulators computed from trajectory samples ⋮ Moderate deviations inequalities for Gaussian process regression ⋮ Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement ⋮ Quantifying Input Uncertainty via Simulation Confidence Intervals ⋮ Denoising Monte Carlo sensitivity estimates ⋮ Expected improvement in efficient global optimization through bootstrapped Kriging ⋮ Generalized Integrated Brownian Fields for Simulation Metamodeling ⋮ Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach ⋮ Faster Kriging: Facing High-Dimensional Simulators ⋮ Some Monotonicity Results for Stochastic Kriging Metamodels in Sequential Settings ⋮ A unified framework for stochastic optimization ⋮ Stochastic intrinsic Kriging for simulation metamodeling ⋮ Including a Nugget Effect in Lifted Brownian Covariance Models ⋮ Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios ⋮ Uncertainty quantification of stochastic simulation for black-box computer experiments ⋮ A novel nested stochastic Kriging model for response noise quantification and reliability analysis ⋮ pBO-2GP-3B: a batch parallel known/unknown constrained Bayesian optimization with feasibility classification and its applications in computational fluid dynamics ⋮ Emulation of Stochastic Simulators Using Generalized Lambda Models ⋮ A new loss function for multi-response optimization with model parameter uncertainty and implementation errors ⋮ Regression and Kriging metamodels with their experimental designs in simulation: a review ⋮ Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise ⋮ Cases for the nugget in modeling computer experiments ⋮ Global sensitivity analysis of stochastic computer models with joint metamodels ⋮ Comparison of Gaussian process modeling software ⋮ Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs ⋮ Stochastic kriging with biased sample estimates ⋮ Emulators for stochastic simulation codes ⋮ Stochastic optimization with adaptive restart: a framework for integrated local and global learning ⋮ An extended two-stage sequential optimization approach: properties and performance ⋮ A survey on kriging-based infill algorithms for multiobjective simulation optimization ⋮ Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments ⋮ Robust Optimization in Simulation: Taguchi and Krige Combined ⋮ A multiobjective stochastic simulation optimization algorithm ⋮ 10 Kriging: methods and applications ⋮ Parallel Gaussian process surrogate Bayesian inference with noisy likelihood evaluations ⋮ Locally induced Gaussian processes for large-scale simulation experiments ⋮ Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation ⋮ A framework for data-driven analysis of materials under uncertainty: countering the curse of dimensionality ⋮ Parameter and Uncertainty Estimation for Dynamical Systems Using Surrogate Stochastic Processes ⋮ On the inference of applying Gaussian process modeling to a deterministic function ⋮ Analyzing stochastic computer models: a review with opportunities ⋮ Constrained optimization in expensive simulation: novel approach ⋮ Importance sampling and its optimality for stochastic simulation models ⋮ Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement ⋮ Global Sensitivity Analysis and Wasserstein Spaces ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data ⋮ Sequential Design for Ranking Response Surfaces ⋮ Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk ⋮ Gradient Extrapolated Stochastic Kriging ⋮ Calibration, Validation, and Prediction in Random Simulation Models ⋮ Error estimation properties of Gaussian process models in stochastic simulations
This page was built for publication: Stochastic Kriging for Simulation Metamodeling