Stochastic kriging with biased sample estimates
From MaRDI portal
Publication:5176918
DOI10.1145/2567893zbMath1322.68248MaRDI QIDQ5176918
Publication date: 5 March 2015
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/2567893
metamodeling; nested simulation; optimal budget allocation; simulation output analysis; simulation theory; simulation experimental design
62H11: Directional data; spatial statistics
62L20: Stochastic approximation
62F07: Statistical ranking and selection procedures
62K20: Response surface designs
Related Items
A method for the updating of stochastic Kriging metamodels, Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation, A critical assessment of Kriging model variants for high-fidelity uncertainty quantification in dynamics of composite shells, Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise, Generalized polynomial chaos-informed efficient stochastic kriging, A novel nested stochastic Kriging model for response noise quantification and reliability analysis, A multiobjective stochastic simulation optimization algorithm, Efficient VaR and CVaR Measurement via Stochastic Kriging
Cites Work
- Unnamed Item
- Replication splitting and variance for simulating discrete-parameter stochastic processes
- Mean squared prediction error in the spatial linear model with estimated covariance parameters
- The design and analysis of computer experiments.
- Design and analysis of computer experiments. With comments and a rejoinder by the authors
- Bayesian Calibration of Computer Models
- Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
- Stochastic Kriging for Simulation Metamodeling
- A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
- Nested Simulation in Portfolio Risk Measurement
- Simulating Sensitivities of Conditional Value at Risk
- Approximations for Standard Errors of Estimators of Fixed and Random Effect in Mixed Linear Models
- Estimating percentage points by simulation
- The effects of common random numbers on stochastic kriging metamodels
- Efficient Risk Estimation via Nested Sequential Simulation
- Design and analysis of simulation experiments