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SSRN Electronic Journal
Article . 2007 . Peer-reviewed
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Kriging Models that are Robust with Respect to Simulation Errors

Authors: Siem, A.Y.D.; Hertog, D. den;

Kriging Models that are Robust with Respect to Simulation Errors

Abstract

In the field of the Design and Analysis of Computer Experiments (DACE) meta-models are used to approximate time-consuming simulations. These simulations often contain simulation-model errors in the output variables. In the construction of meta-models, these errors are often ignored. Simulation-model errors may be magnified by the meta-model. Therefore, in this paper, we study the construction of Kriging models that are robust with respect to simulation-model errors. We introduce a robustness criterion, to quantify the robustness of a Kriging model. Based on this robustness criterion, two new methods to find robust Kriging models are introduced. We illustrate these methods with the approximation of the Six-hump camel back function and a real life example. Furthermore, we validate the two methods by simulating artificial perturbations. Finally, we consider the influence of the Design of Computer Experiments (DoCE) on the robustness of Kriging models.

Country
Netherlands
Related Organizations
Keywords

Kriging, Kriging;robustness;simulation-model error, Kriging; robustness; simulation-model error, robustness, simulation-model error, jel: jel:C60

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    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Top 10%
Top 10%
Average
bronze