Issues in the optimal design of computer simulation experiments

  • Authors:

  • Werner Müller;Milan Stehlík

  • Affiliations:

  • Department of Applied Statistics, Johannes-Kepler-University Linz, Freistädter Straße 315, A-4040 Linz, Austria;Department of Applied Statistics, Johannes-Kepler-University Linz, Freistädter Straße 315, A-4040 Linz, Austria

  • Venue:
  • Applied Stochastic Models in Business and Industry - Computer Experiments versus Physical Experiments
  • Year:
  • 2009

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Abstract

Output from computer simulation experiments is often approximated as realizations of correlated random fields. Consequently, the corresponding optimal design questions must cope with the existence and detection of an error correlation structure, issues largely unaccounted for by traditional optimal design theory. Unfortunately, many of the nice features of well-established design techniques, such as additivity of the information matrix, convexity of design criteria, etc., do not carry over to the setting of interest. This may lead to unexpected, counterintuitive, even paradoxical effects in the design as well as the analysis stage of computer simulation experiments. In this paper we intend to give an overview and some simple but illuminating examples of this behaviour. Copyright © 2009 John Wiley & Sons, Ltd.