Common random numbers and stochastic kriging

Xi Chen*, Bruce E Ankenman, Barry L Nelson

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

7 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 languageEnglish (US)
Title of host publicationProceedings of the 2010 Winter Simulation Conference, WSC'10
Pages947-956
Number of pages10
DOIs
StatePublished - Dec 1 2010
Event2010 43rd Winter Simulation Conference, WSC'10 - Baltimore, MD, United States
Duration: Dec 5 2010Dec 8 2010

Other

Other2010 43rd Winter Simulation Conference, WSC'10
CountryUnited States
CityBaltimore, MD
Period12/5/1012/8/10

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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  • Cite this

    Chen, X., Ankenman, B. E., & Nelson, B. L. (2010). Common random numbers and stochastic kriging. In Proceedings of the 2010 Winter Simulation Conference, WSC'10 (pp. 947-956). [5679095] https://doi.org/10.1109/WSC.2010.5679095