Robustness of Kriging when interpolating in random simulation with heterogeneous variances : some experiments

J.P.C. Kleijnen, W.C.M. Beers, van

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    64 Citations (Scopus)

    Abstract

    This paper investigates the use of Kriging in random simulation when the simulation output variances are not constant. Kriging gives a response surface or metamodel that can be used for interpolation. Because Ordinary Kriging assumes constant variances, this paper also applies Detrended Kriging to estimate a non-constant signal function, and then standardizes the residual noise through the heterogeneous variances estimated from replicated simulation runs. Numerical examples, however, suggest that Ordinary Kriging is a robust interpolation method.
    Original languageEnglish
    Pages (from-to)826-834
    Number of pages9
    JournalEuropean Journal of Operational Research
    Volume165
    Issue number3
    DOIs
    Publication statusPublished - 2005

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