Kriging Models that are Robust with Respect to Simulation Errors

CentER Discussion Paper Series No. 2007-68

29 Pages Posted: 5 Sep 2007

See all articles by A.Y.D. Siem

A.Y.D. Siem

Tilburg University - Department of Econometrics & Operations Research

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Date Written: August 2007

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.

Keywords: Kriging, robustness, simulation-model error

JEL Classification: C60

Suggested Citation

Siem, A.Y.D. and den Hertog, Dick, Kriging Models that are Robust with Respect to Simulation Errors (August 2007). Available at SSRN: https://ssrn.com/abstract=1012291 or http://dx.doi.org/10.2139/ssrn.1012291

A.Y.D. Siem (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

P.O.Box 90153
5000 LE Tilburg
Netherlands

Dick Den Hertog

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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