Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping

This paper proposes a novel method to select an experimental design for interpolation in random simulation. (Though the paper focuses on Kriging, this method may also apply to other types of metamodels such as linear regression models.) Assuming that simulation requires much computer time, it is important to select a design with a small number of observations (or simulation runs). The proposed method is therefore sequential. Its novelty is that it accounts for the specific input/output behavior (or response function) of the particular simulation at hand; i.e., the method is customized or application-driven. A tool for this customization is bootstrapping, which enables the estimation of the variances of predictions for inputs not yet simulated. The new method is tested through the classic M/M/1 queueing simulation. For this simulation the novel design indeed gives better results than a Latin Hypercube Sampling (LHS) with a prefixed sample of the same size.