Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 343259
Title Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping
Author(s) Beers, W.C.M. van; Kleijnen, J.P.C.
Source Tilburg : Tilburg University (CentER Discussion Paper 55) - 24 p.
Department(s) Operations Research and Logistics
MGS
Publication type Scientific report
Publication year 2005
Abstract This paper proposes a novel method to select an experimental design for interpolation in random simulation, especially discrete event simulation. (Though the paper focuses on Kriging, this design approach may also apply to other types of metamodels such as linear regression models.) Assuming that simulation requires much computer time, it is important to select a design with a small number of observations (or simulation runs). The proposed method is therefore sequential. Its novelty is that it accounts for the specific input/output behavior (or response function) of the particular simulation at hand; i.e., the method is customized or application-driven. A tool for this customization is bootstrapping, which enables the estimation of the variances of predictions for inputs not yet simulated. The new method is tested through two classic simulation models: example 1 estimates the expected steady-state waiting time of the M/M/1 queueing model; example 2 estimates the mean costs of a terminating (s, S) inventory simulation. For these simulations the novel design indeed gives better results than Latin Hypercube Sampling (LHS) with a prefixed sample of the same size.
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