Common random numbers and stochastic kriging

Xi Chen; Bruce Ankenman; Barry L. Nelson

doi:10.1109/WSC.2010.5679095

Common random numbers and stochastic kriging

Xi Chen^*, Bruce Ankenman, Barry L. Nelson

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

9 Scopus citations

Abstract

We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.

Original language	English (US)
Title of host publication	Proceedings of the 2010 Winter Simulation Conference, WSC'10
Pages	947-956
Number of pages	10
DOIs	https://doi.org/10.1109/WSC.2010.5679095
State	Published - 2010
Event	2010 43rd Winter Simulation Conference, WSC'10 - Baltimore, MD, United States Duration: Dec 5 2010 → Dec 8 2010

Publication series

Name	Proceedings - Winter Simulation Conference
ISSN (Print)	0891-7736

Other

Other	2010 43rd Winter Simulation Conference, WSC'10
Country/Territory	United States
City	Baltimore, MD
Period	12/5/10 → 12/8/10

ASJC Scopus subject areas

Software
Modeling and Simulation
Computer Science Applications

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10.1109/WSC.2010.5679095

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title = "Common random numbers and stochastic kriging",

abstract = "We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.",

author = "Xi Chen and Bruce Ankenman and Nelson, {Barry L.}",

year = "2010",

doi = "10.1109/WSC.2010.5679095",

language = "English (US)",

isbn = "9781424498666",

series = "Proceedings - Winter Simulation Conference",

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booktitle = "Proceedings of the 2010 Winter Simulation Conference, WSC'10",

note = "2010 43rd Winter Simulation Conference, WSC'10 ; Conference date: 05-12-2010 Through 08-12-2010",

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TY - GEN

T1 - Common random numbers and stochastic kriging

AU - Chen, Xi

AU - Ankenman, Bruce

AU - Nelson, Barry L.

PY - 2010

Y1 - 2010

N2 - We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.

AB - We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.

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U2 - 10.1109/WSC.2010.5679095

DO - 10.1109/WSC.2010.5679095

M3 - Conference contribution

AN - SCOPUS:79951618447

SN - 9781424498666

T3 - Proceedings - Winter Simulation Conference

SP - 947

EP - 956

BT - Proceedings of the 2010 Winter Simulation Conference, WSC'10

T2 - 2010 43rd Winter Simulation Conference, WSC'10

Y2 - 5 December 2010 through 8 December 2010

ER -

Common random numbers and stochastic kriging

Abstract

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