Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 165, Issue 3, Pages 826-834Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2003.09.037
Keywords
simulation; metaheuristics; Kriging; regression; metamodel
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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. (c) 2004 Elsevier B.V. All rights reserved.
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