This paper reviews the state of the art in five related types of analysis, namely (i) sensitivity or what-if analysis, (ii) uncertainty or risk analysis, (iii) screening, (iv) validation, and (v) optimization. The main question is: when should which type of analysis be applied; which statistical...

Kriging is a popular method for estimating the global optimum of a simulated system. Kriging approximates the input/output function of the simulation model. Kriging also estimates the variances of the predictions of outputs for input combinations not yet simulated. These predictions and their...

This article uses a sequentialized experimental design to select simulation input com- binations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer...

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,...