Unbiased metamodeling via likelihood ratios

Metamodeling has been a topic of longstanding interest in stochastic simulation because of the usefulness of metamodels for optimization, sensitivity, and real- or near-real-time decision making. Experiment design is the foundation of classical metamodeling: an effective experiment design uncovers the spatial relationships among the design/decision variables and the simulation response; therefore, more design points, providing better coverage of space, is almost always better. However, metamodeling based on likelihood ratios (LRs) turns the design question on its head: each design point provides an unbiased prediction of the response at any other location in space, but perhaps with such inflated variance as to be counterproductive. Thus, the question becomes more which design points to employ for prediction and less where to place them. In this paper we take the first comprehensive look at LR metamodeling, categorizing both the various types of LR metamodels and the contexts in which they might be employed.