Combined correlation methods for metamodel estimation in multipopulation simulation experiments

Abstract

In this paper we examine two variance-reduction strategies for estimating the parameters of a simulation metamodel that are based on the reduction of the variances of the mean of the responses across the design points that comprise the simulation experiment through the effective combination of well known variance-reduction techniques. In the first strategy, Combined Method I, we extend a combined approach of antithetic variates and control variates that we have developed in an earlier paper for a single design point simulation experiment. In Combined Method I, we perform h independent paris of simulation runs at each design point; and on the second run of each such pair, we use random number streams to drive the non-control variate components that are antithetic to the corresponding streams of the first run of the pair. The random number streams that drive the control variate components are randomly selected across all simulation runs. In Combined Method II, we extend Combined Method I to incorporate the ...