Multivariate versus univariate Kriging metamodels for multi-response simulation models

@article{Kleijnen2014MultivariateVU,
  title={Multivariate versus univariate Kriging metamodels for multi-response simulation models},
  author={Jack P. C. Kleijnen and Ehsan Mehdad},
  journal={European Journal of Operational Research},
  year={2014},
  volume={236},
  pages={573-582}
}
To analyze the input/output behavior of simulation models with multiple responses, we may apply either univariate or multivariate Kriging (Gaussian process) metamodels. In multivariate Kriging we face a major problem: the covariance matrix of all responses should remain positive-definite; we therefore use the recently proposed “nonseparable dependence” model. To evaluate the performance of univariate and multivariate Kriging, we perform several Monte Carlo experiments that simulate Gaussian… CONTINUE READING

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