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Bootstrapping and Conditional Simulation in Kriging : Better Confidence Intervals and Optimization
Kleijnen, Jack P.C.; Mehdad, E. - Tilburg University, Center for Economic Research - 2013
Abstract: This paper investigates two related questions: (1) How to derive a confidence interval for the output of a combination of simulation inputs not yet simulated? (2) How to select the next combination to be simulated when searching for the optimal combination? To answer these questions,...
Persistent link: https://www.econbiz.de/10011091634
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Classic Kriging versus Kriging with Bootstrapping or Conditional Simulation : Classic Kriging's Robust Confidence Intervals and Optimization (Revised version of CentER DP 2013-038)
Kleijnen, Jack P.C.; Mehdad, E. - Tilburg University, Center for Economic Research - 2014
yet simulated. These predictions and their variances are used by efficient global optimization"(EGO), to balance local and …
Persistent link: https://www.econbiz.de/10011144439