successfully adopted to credibility theory in the actuarial literature. The objective of this work is to develop robust and …

This chapter surveys two methods for the optimization of real-world systems that are modelled through simulation. These … experiment; this design fixes the input combinations of the simulation model. These regression models uses a sequence of local …-estimated through sequential designs. "Robust" optimization may use RSM or Kriging, and accounts for uncertainty in simulation inputs …

simulated system. EGO treats the simulation model as a black-box, and balances local and global searches. In deterministic … simulation, EGO uses ordinary Kriging (OK), which is a special case of universal Kriging (UK). In our EGO variant we use … intrinsic Kriging (IK), which eliminates the need to estimate the parameters that quantify the trend in UK. In random simulation …

An important goal of simulation is optimization of the corresponding real system. We focus on simulation models with …, we treat the simulation model as a black box. We assume that the simulation is computationally expensive; therefore, we … use an inexpensive metamodel (approximation, emulator, surrogate) of the simulation model. A popular metamodel type is a …