Title :
Relative error stochastic kriging
Author :
Tongarlak, Mustafa H. ; Ankenman, Bruce E. ; Nelson, Barry L.
Author_Institution :
Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA
Abstract :
We use stochastic kriging to build predictors with bounded relative error over the design space. We propose design strategies that guide sequential algorithms with and without adaptation to the data to make allocation and stopping decisions such that a prespecified relative precision is realized with some confidence. We also present an empirical evaluation of the proposed design strategies.
Keywords :
design engineering; statistical analysis; allocation decisions; design space; relative error stochastic kriging; sequential algorithms; stopping decisions; Algorithm design and analysis; Computational modeling; Prediction algorithms; Resource management; Response surface methodology; Stochastic processes; Vectors;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2011 Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
978-1-4577-2108-3
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2011.6148056
