Article ID: | iaor20062339 |
Country: | Netherlands |
Volume: | 165 |
Issue: | 3 |
Start Page Number: | 826 |
End Page Number: | 834 |
Publication Date: | Sep 2005 |
Journal: | European Journal of Operational Research |
Authors: | Kleijnen Jack P.C., Beers Wim C.M., van |
Keywords: | heuristics, statistics: regression |
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 simultation runs. Numerical examples, however, suggest that ordinary Kriging is a robust interpolation method.