TY - JOUR

T1 - Enhancing stochastic kriging metamodels with gradient estimators

AU - Chen, X.

AU - Ankenman, B. E.

AU - Nelson, B. L.

PY - 2013/3

Y1 - 2013/3

N2 - Stochastic kriging is a new metamodeling technique for effectively representing the mean response surface implied by a stochastic simulation; it takes into account both stochastic simulation noise and uncertainty about the underlying response surface of interest. We show theoretically, through some simplified models, that incorporating gradient estimators into stochastic kriging tends to significantly improve surface prediction. To address the issue of which type of gradient estimator to use, when there is a choice, we briefly review stochastic gradient estimation techniques; we then focus on the properties of infinitesimal perturbation analysis and likelihood ratio/score function gradient estimators and make recommendations. To conclude, we use simulation experiments with no simplifying assumptions to demonstrate that the use of stochastic kriging with gradient estimators provides more reliable prediction results than stochastic kriging alone.

AB - Stochastic kriging is a new metamodeling technique for effectively representing the mean response surface implied by a stochastic simulation; it takes into account both stochastic simulation noise and uncertainty about the underlying response surface of interest. We show theoretically, through some simplified models, that incorporating gradient estimators into stochastic kriging tends to significantly improve surface prediction. To address the issue of which type of gradient estimator to use, when there is a choice, we briefly review stochastic gradient estimation techniques; we then focus on the properties of infinitesimal perturbation analysis and likelihood ratio/score function gradient estimators and make recommendations. To conclude, we use simulation experiments with no simplifying assumptions to demonstrate that the use of stochastic kriging with gradient estimators provides more reliable prediction results than stochastic kriging alone.

KW - stochastic simulation

KW - metamodeling

KW - gradient estimation

U2 - 10.1287/opre.1120.1143

DO - 10.1287/opre.1120.1143

M3 - Journal article

VL - 61

SP - 512

EP - 528

JO - Operations Research

JF - Operations Research

SN - 0030-364X

IS - 2

ER -