TY - GEN
T1 - Sequential experimental designs for stochastic kriging
AU - Chen, Xi
AU - Zhou, Qiang
N1 - Publisher Copyright:
© 2014 IEEE.
PY - 2015/1/23
Y1 - 2015/1/23
N2 - Recently the stochastic kriging (SK) methodology proposed by Ankenman et al. (2010) has emerged as an effective metamodeling tool for approximating a mean response surface implied by a stochastic simulation. Although fruitful results have been achieved through bridging applications and theoretical investigations of SK, there lacks a unified account of efficient simulation experimental design strategies for applying SK metamodeling techniques. In this paper, we propose a sequential experimental design framework for applying SK to predicting performance measures of complex stochastic systems. This framework is flexible; i.e., it can incorporate a variety of design criteria. We propose several novel design criteria under the proposed framework, and compare the performance with that of classic non-sequential designs. The evaluation uses illustrative test functions and the well-known M/M/1 and the (s, S) inventory system simulation models.
AB - Recently the stochastic kriging (SK) methodology proposed by Ankenman et al. (2010) has emerged as an effective metamodeling tool for approximating a mean response surface implied by a stochastic simulation. Although fruitful results have been achieved through bridging applications and theoretical investigations of SK, there lacks a unified account of efficient simulation experimental design strategies for applying SK metamodeling techniques. In this paper, we propose a sequential experimental design framework for applying SK to predicting performance measures of complex stochastic systems. This framework is flexible; i.e., it can incorporate a variety of design criteria. We propose several novel design criteria under the proposed framework, and compare the performance with that of classic non-sequential designs. The evaluation uses illustrative test functions and the well-known M/M/1 and the (s, S) inventory system simulation models.
UR - http://www.scopus.com/inward/record.url?scp=84940562269&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84940562269&partnerID=8YFLogxK
U2 - 10.1109/WSC.2014.7020209
DO - 10.1109/WSC.2014.7020209
M3 - Conference contribution
AN - SCOPUS:84940562269
T3 - Proceedings - Winter Simulation Conference
SP - 3821
EP - 3832
BT - Proceedings of the 2014 Winter Simulation Conference, WSC 2014
A2 - Tolk, Andreas
A2 - Yilmaz, Levent
A2 - Diallo, Saikou Y.
A2 - Ryzhov, Ilya O.
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2014 Winter Simulation Conference, WSC 2014
Y2 - 7 December 2014 through 10 December 2014
ER -