Stochastic kriging for simulation metamodeling

@article{Ankenman2008StochasticKF,
  title={Stochastic kriging for simulation metamodeling},
  author={Bruce E. Ankenman and Barry L. Nelson and Jeremy Staum},
  journal={2008 Winter Simulation Conference},
  year={2008},
  pages={362-370}
}
We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting. Our goal is to provide flexible, interpolation-based metamodels of simulation output performance measures as functions of the controllable design or decision variables. To accomplish this we characterize both the intrinsic uncertainty inherent in a stochastic simulation and the extrinsic uncertainty about the unknown response surface. We use… CONTINUE READING

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