Optimal allocation of runs in a simulation metamodel with several independent variables

Authors:
John D Lamb;Russell C. H Cheng
Affiliations:
Canterbury Business School, University of Kent at Canterbury, Canterbury, Kent, CT2 7PE, UK;Department of Mathematics, University of Southampton, Highfield, Southampton, SO17 1BJ, UK
Venue:
Operations Research Letters
Year:
2002

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Improved Design of Queueing Simulation Experiments with Highly Heteroscedastic Responses

Operations Research

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Abstract

Cheng and Kleijnen (Oper. Res. 47(5) (1999) 762) propose a very general regression metamodel for modelling the output of a queuing system. Its main limitations are that the regression function is based on a polynomial and that it can use only one independent variable. These limitations are removed here. We derive an explicit formula for the optimal way of assigning simulation runs to the different design points.