Title :
Common random numbers and stochastic kriging
Author :
Chen, Xi ; Ankenman, Bruce ; Nelson, Barry L.
Author_Institution :
Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA
Abstract :
We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.
Keywords :
number theory; statistical analysis; stochastic processes; gradient estimation; metamodeling technique; parameter estimation; prediction; random number; stochastic kriging; variance reduction technique; Computational modeling; Correlation; Estimation; Noise; Predictive models; Response surface methodology; Stochastic processes;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location :
Baltimore, MD
Print_ISBN :
978-1-4244-9866-6
DOI :
10.1109/WSC.2010.5679095
