The effects of common random numbers on stochastic kriging metamodels

DOI10.1145/2133390.2133391zbMATH Open1384.62174OpenAlexW1982539084WikidataQ130992416 ScholiaQ130992416MaRDI QIDQ4635183FDOQ4635183

Authors: Xi Chen, Bruce E. Ankenman, Barry L. Nelson 

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2133390.2133391

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zbMATH Keywords

variance reductionmetamodelingcommon random numberssimulation output analysissimulation theory

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Linear regression; mixed models (62J05) Random fields; image analysis (62M40) Random number generation in numerical analysis (65C10) Response surface designs (62K20)

Cited In (21)

• Some Monotonicity Results for Stochastic Kriging Metamodels in Sequential Settings
• Efficient VaR and CVaR Measurement via Stochastic Kriging
• Sparse polynomial chaos expansion for universal stochastic kriging
• A general purpose module using refined descriptive sampling for installation in simulation systems
• Estimating the Probability that a Function Observed with Noise Is Convex
• Gradient Extrapolated Stochastic Kriging
• Enhancing response predictions with a joint Gaussian process model for stochastic simulation models
• Stochastic ceteris paribus simulations
• Stochastic kriging with biased sample estimates
• Faster Kriging: Facing High-Dimensional Simulators
• A multiobjective stochastic simulation optimization algorithm
• Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation
• Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
• Robust optimization in simulation: Taguchi and Krige combined
• Quantifying Input Uncertainty via Simulation Confidence Intervals
• Bayesian Optimization Allowing for Common Random Numbers
• Enhancing stochastic kriging metamodels with gradient estimators
• Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs
• Multivariate versus univariate Kriging metamodels for multi-response simulation models
• Calibration, Validation, and Prediction in Random Simulation Models
• Generalized Integrated Brownian Fields for Simulation Metamodeling

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