Simulation optimization using stochastic kriging with robust statistics
提出一种使用稳健统计估计量的随机克里金法，用于处理仿真模型中非高斯响应数据，在标准假设不成立时仍能高效优化。
Metamodels are widely used as fast surrogates to facilitate the optimization of simulation models. Stochastic kriging (SK) is an effective metamodeling tool for a mean response surface implied by stochastic simulation. In SK, it is usually assumed that the experimental data are normally distributed and uncontaminated. However, these assumptions can be easily violated in many practical applications. This paper proposes a new type of SK for simulation models that may have non-Gaussian responses; this new SK uses robust estimators of location (or central tendency) and scale (or variability) that are well-known in the literature on robust statistics. Statistical properties of the robust estimators used in this paper are briefly analyzed and the performances of the proposed methods are compared through numerical examples of different features. The comparison results show that the proposed robust SK with the robust estimators is quite efficient, no matter whether the standard assumptions hold or not.