Analyzing simulation experiments with common random numbers
Management Science
Correlated simulation experiments in first-order response surface design
Operations Research
Stochastic kriging for simulation metamodeling
Proceedings of the 40th Conference on Winter Simulation
Stochastic Kriging for Simulation Metamodeling
Operations Research
The effects of common random numbers on stochastic kriging metamodels
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Convex and monotonic bootstrapped kriging
Proceedings of the Winter Simulation Conference
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We use a collection of simple models to examine the interaction between the variance reduction technique of common random numbers and a new simulation metamodeling technique called stochastic kriging. We consider the impact of common random numbers on prediction, parameter estimation and gradient estimation.