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A methodology for fitting and validating metamodels in simulation

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  • Kleijnen, Jack P. C.
  • Sargent, Robert G.

Abstract

This expository paper discusses the relationships among metamodels, simulation models, and problem entities. A metamodel or response surface is an approximation of the input/output function implied by the underlying simulation model. There are several types of metamodel: linear regression, splines, neural networks, etc. This paper distinguishes between fitting and validating a metamodel. Metamodels may have different goals: (i) understanding, (ii) prediction, (iii) optimization, and (iv) verification and validation. For this metamodeling, a process with thirteen steps is proposed. Classic design of experiments (DOE) is summarized, including standard measures of fit such as the R-square coefficient and cross-validation measures. This DOE is extended to sequential or stagewise DOE. Several validation criteria, measures, and estimators are discussed. Metamodels in general are covered, along with a procedure for developing linear regression (including polynomial) metamodels.
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Suggested Citation

  • Kleijnen, Jack P. C. & Sargent, Robert G., 2000. "A methodology for fitting and validating metamodels in simulation," European Journal of Operational Research, Elsevier, vol. 120(1), pages 14-29, January.
    • Handle: RePEc:eee:ejores:v:120:y:2000:i:1:p:14-29
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    1. Kleijnen, J.P.C., 1995. "Sensitivity analysis and optimization of system dynamics models : Regression analysis and statistical design of experiments," Other publications TiSEM 87ee6ee0-592c-4204-ac50-6, Tilburg University, School of Economics and Management.
    2. Kleijnen, Jack P. C. & Standridge, Charles R., 1988. "Experimental design and regression analysis in simulation: An FMS case study," European Journal of Operational Research, Elsevier, vol. 33(3), pages 257-261, February.
    3. Jack P. C. Kleijnen & Bert Bettonvil & Willem Van Groenendaal, 1998. "Validation of Trace-Driven Simulation Models: A Novel Regression Test," Management Science, INFORMS, vol. 44(6), pages 812-819, June.
    4. Kleijnen, Jack P. C., 1995. "Verification and validation of simulation models," European Journal of Operational Research, Elsevier, vol. 82(1), pages 145-162, April.
    5. van Groenendaal, W.J.H. & Kleijnen, J.P.C., 1997. "On the assessment of economic risk : Factorial design versus Monte Carlo methods," Other publications TiSEM fd2a2307-0812-4543-8151-7, Tilburg University, School of Economics and Management.
    6. Kleijnen, Jack P. C., 1995. "Statistical validation of simulation models," European Journal of Operational Research, Elsevier, vol. 87(1), pages 21-34, November.
    7. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    8. Bettonvil, Bert & Kleijnen, Jack P. C., 1997. "Searching for important factors in simulation models with many factors: Sequential bifurcation," European Journal of Operational Research, Elsevier, vol. 96(1), pages 180-194, January.
    9. Jack P. C. Kleijnen, 1992. "Regression Metamodels for Simulation with Common Random Numbers: Comparison of Validation Tests and Confidence Intervals," Management Science, INFORMS, vol. 38(8), pages 1164-1185, August.
    10. Saltelli, A. & Andres, T. H. & Homma, T., 1995. "Sensitivity analysis of model output. Performance of the iterated fractional factorial design method," Computational Statistics & Data Analysis, Elsevier, vol. 20(4), pages 387-407, October.
    11. van Ham, G. & Rotmans, J. & Kleijnen, J.P.C., 1992. "Techniques for sensitivity analysis of simulation models : A case study of the CO2 greenhouse effect," Other publications TiSEM 71317a03-3399-4554-83cb-4, Tilburg University, School of Economics and Management.
    12. Kleijnen, J.P.C., 1995. "Statistical validation of simulation models : A case study," Other publications TiSEM 4da192cf-c3f4-40a4-aea4-5, Tilburg University, School of Economics and Management.
    13. Kleijnen, J.P.C. & Bettonvil, B.W.M., 1997. "Searching for important factors in simulation models with many factors : Sequential bifurcation," Other publications TiSEM be826993-22f9-4cb3-89df-3, Tilburg University, School of Economics and Management.
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