Generalized Integrated Brownian Fields for Simulation Metamodeling

DOI10.1287/opre.2018.1804zbMath1444.90003OpenAlexW2942894493MaRDI QIDQ5126638

Peter L. Salemi, Jeremy Staum, Barry L. Nelson

Publication date: 20 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2018.1804

zbMATH Keywords

krigingMarkov propertymean reversionGaussian process regressionGaussian random fieldssimulation metamodelingstochastic kriging

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10)

Related Items (3)

Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces ⋮ Statistical Tests for Cross-Validation of Kriging Models ⋮ 10 Kriging: methods and applications

Uses Software

• EGO

Cites Work

• Unnamed Item
• Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments
• Stochastic partial differential equations. A modeling, white noise functional approach
• Efficient global optimization of expensive black-box functions
• A Markov property for Gaussian processes with a multidimensional parameter
• Design and analysis of computer experiments. With comments and a rejoinder by the authors
• Robustness of kriging when interpolating in random simulation with heterogeneous variances: some experiments
• Asymptotic analysis via Mellin transforms for small deviations in \(L^2\)-norm of integrated Brownian sheets
• Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search
• Stochastic Kriging for Simulation Metamodeling
• Kriging for interpolation in random simulation
• Fast Simulation of Multifactor Portfolio Credit Risk
• Joint Inventory and Pricing Decisions for an Assortment
• The effects of common random numbers on stochastic kriging metamodels
• Enhancing Stochastic Kriging Metamodels with Gradient Estimators

This page was built for publication: Generalized Integrated Brownian Fields for Simulation Metamodeling