Common random numbers and stochastic kriging

Author

Chen, Xi ; Ankenman, Bruce ; Nelson, Barry L.

Author_Institution

Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA

fYear

2010

fDate

5-8 Dec. 2010

Firstpage

947

Lastpage

956

Abstract

We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.

Keywords

number theory; statistical analysis; stochastic processes; gradient estimation; metamodeling technique; parameter estimation; prediction; random number; stochastic kriging; variance reduction technique; Computational modeling; Correlation; Estimation; Noise; Predictive models; Response surface methodology; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Simulation Conference (WSC), Proceedings of the 2010 Winter

Conference_Location

Baltimore, MD

ISSN

0891-7736

Print_ISBN

978-1-4244-9866-6

Type

conf

DOI

10.1109/WSC.2010.5679095

Filename

5679095

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1913252