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Kriging for interpolation in random simulation. (English) Zbl 1171.65305

Summary: Whenever simulation requires much computer time, interpolation is needed. Simulationists use different interpolation techniques (e.g., linear regression), but this paper focuses on Kriging. This technique was originally developed in geostatistics by Krige, and has recently been widely applied in deterministic simulation. This paper, however, focuses on random or stochastic simulation. Essentially, Kriging gives more weight to ‘neighbouring’ observations. There are several types of Kriging; this paper discusses – besides ordinary Kriging – a novel type, which ‘detrends’ data through the use of linear regression. Results are presented for two examples of input/output behaviour of the underlying random simulation model: Ordinary and detrended Kriging give quite acceptable predictions; traditional linear regression gives the worst results.

MSC:

65C20 Probabilistic models, generic numerical methods in probability and statistics
62J05 Linear regression; mixed models

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