Journal
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
Volume 54, Issue 3, Pages 255-262Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1057/palgrave.jors.2601492
Keywords
simulation; statistics; stochastic; regression; methodology
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Whenever simulation requires much computer time, interpolation is needed. Simulationists use different interpolation techniques (eg linear regression), but this paper focuses on Kriging. This technique was originally developed in geostatistics by DG Krige, and has recently been widely applied in deterministic simulation. This paper, however, focuses on random or stochastic simulation. Essentially, Kriging gives more weight to 'neighbouring' observations. There are several types of Kriging; this paper discusses-besides Ordinary Kriging-a novel type, which 'detrends' data through the use of linear regression. Results are presented for two examples of input/output behaviour of the underlying random simulation model: Ordinary and Detrended Kriging give quite acceptable predictions; traditional linear regression gives the worst results.
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