Kriging metamodeling in simulation: a review. (English) Zbl 1157.90544

Kleijnen, Jack P. C.

Eur. J. Oper. Res. 192, No. 3, 707-716 (2009).

Summary: This article reviews Kriging (also called spatial correlation modeling). It presents the basic Kriging assumptions and formulas-contrasting Kriging and classic linear regression metamodels. Furthermore, it extends Kriging to random simulation, and discusses bootstrapping to estimate the variance of the Kriging predictor. Besides classic one-shot statistical designs such as Latin Hypercube Sampling, it reviews sequentialized and customized designs for sensitivity analysis and optimization. It ends with topics for future research.

MSC:

90C31	Sensitivity, stability, parametric optimization
62L05	Sequential statistical design

Keywords:

Kriging; metamodel; response surface; interpolation; optimization; design

Software:

BACCO; EGO; bootstrap; DACE

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