The influence of correlation functions on stochastic kriging metamodels

Authors:
Wei Xie;Barry Nelson;Jeremy Staum
Affiliations:
Northwestern University, Evanston, IL;Northwestern University, Evanston, IL;Northwestern University, Evanston, IL
Venue:
Proceedings of the Winter Simulation Conference
Year:
2010

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Abstract

The correlation function plays a critical role in both kriging and stochastic kriging metamodels. This paper will compare various correlation functions in both spatial and frequency domains, and analyze the influence of the choice of correlation function on prediction accuracy by experimenting with three tractable examples with differentiable and non-differentiable response surfaces: the M/M/1 queue, multi-product M/G/1 queue and 3-station Jackson network. The twice or higher-order continuously differentiable correlation functions demonstrate a promising capability to fit both differentiable and non-differentiable multi-dimensional response surfaces.