The effects of common random numbers on stochastic kriging metamodels

DOI10.1145/2133390.2133391MaRDI QIDQ4635183zbMATHOpenAlexWikidataFDO

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

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)

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Cited in

(21)

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• Multivariate versus univariate Kriging metamodels for multi-response simulation models
• Some Monotonicity Results for Stochastic Kriging Metamodels in Sequential Settings
• Stochastic kriging with biased sample estimates
• Stochastic ceteris paribus simulations
• Sparse polynomial chaos expansion for universal stochastic kriging
• Estimating the Probability that a Function Observed with Noise Is Convex
• Bayesian Optimization Allowing for Common Random Numbers
• Enhancing response predictions with a joint Gaussian process model for stochastic simulation models
• Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
• A general purpose module using refined descriptive sampling for installation in simulation systems
• Enhancing stochastic kriging metamodels with gradient estimators
• Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
• Robust optimization in simulation: Taguchi and Krige combined
• Gradient Extrapolated Stochastic Kriging
• A multiobjective stochastic simulation optimization algorithm
• Calibration, validation, and prediction in random simulation models: Gaussian process metamodels and a Bayesian integrated solution
• Quantifying input uncertainty via simulation confidence intervals
• Generalized integrated Brownian fields for simulation metamodeling
• Efficient VaR and CVaR measurement via stochastic kriging
• Faster Kriging: facing high-dimensional simulators

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