Controlling Sources of Inaccuracy in Stochastic Kriging

TL;DR

This paper develops guidelines for experimental design to improve the accuracy of stochastic kriging models used in simulation, by analyzing and controlling various sources of error.

Contribution

It introduces a decomposition of prediction error in stochastic kriging and proposes broad design principles to control each error component effectively.

Findings

Balanced space-filling and replication strategies improve accuracy.

Design properties depend on stochastic and process variability.

Higher input density is recommended in more active regions for non-stationary models.

Abstract

Scientists and engineers commonly use simulation models to study real systems for which actual experimentation is costly, difficult, or impossible. Many simulations are stochastic in the sense that repeated runs with the same input configuration will result in different outputs. For expensive or time-consuming simulations, stochastic kriging \citep{ankenman} is commonly used to generate predictions for simulation model outputs subject to uncertainty due to both function approximation and stochastic variation. Here, we develop and justify a few guidelines for experimental design, which ensure accuracy of stochastic kriging emulators. We decompose error in stochastic kriging predictions into nominal, numeric, parameter estimation and parameter estimation numeric components and provide means to control each in terms of properties of the underlying experimental design. The design properties implied for each source of error are weakly conflicting and broad principles are proposed. In brief, space-filling properties "small fill distance" and "large separation distance" should balance with replication at distinct input configurations, with number of replications depending on the relative magnitudes of stochastic and process variability. Non-stationarity implies higher input density in more active regions, while regression functions imply a balance with traditional design properties. A few examples are presented to illustrate the results.