Please use this identifier to cite or link to this item: https://doi.org/10.1109/WSC.2009.5429703
Title: A study on the effects of parameter estimation on kriging model's prediction error in stochastic simulations
Authors: Yin, J.
Ng, S.H. 
Ng, K.M. 
Issue Date: 2009
Source: Yin, J.,Ng, S.H.,Ng, K.M. (2009). A study on the effects of parameter estimation on kriging model's prediction error in stochastic simulations. Proceedings - Winter Simulation Conference : 674-685. ScholarBank@NUS Repository. https://doi.org/10.1109/WSC.2009.5429703
Abstract: In the application of kriging model in the field of simulation, the parameters of the model are likely to be estimated from the simulated data. This introduces parameter estimation uncertainties into the overall prediction error, and this uncertainty can be further aggravated by random noise in stochastic simulations. In this paper, we study the effects of stochastic noise on parameter estimation and the overall prediction error. A two-point tractable problem and three numerical experiments are provided to show that the random noise in stochastic simulations can increase the parameter estimation uncertainties and the overall prediction error. Among the three kriging model forms studied in this paper, the modified nugget effect model captures well the various components of uncertainty and has the best performance in terms of the overall prediction error. ©2009 IEEE.
Source Title: Proceedings - Winter Simulation Conference
URI: http://scholarbank.nus.edu.sg/handle/10635/72266
ISBN: 9781424457700
ISSN: 08917736
DOI: 10.1109/WSC.2009.5429703
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

14
checked on Dec 13, 2017

Page view(s)

19
checked on Dec 9, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.