Direct Covariate Evidence versus Kriging Borrowing

Authors

  • Gavin Allen Author
  • Ethan Morris Author
  • Daniel Roberts Author

Abstract

Covariate-indexed design selection can use a kriging surface to prepare recommendations for future states. Validation should distinguish directly observed states from locations supported mostly through covariance. It examines the actions that change across that boundary, with local uncertainty and population weights retained. Smooth fit alone does not establish transport of the decision relationship. This focused synthesis develops an empirical comparison that preserves the terminal action, observation process, and total verification cost. Its proposed tests are prospective; no new simulation run, model-training result, or intervention effect is reported.

References

C. Li, S. Gao, and J. Du, “On the Convergence Rates of Stochastic Kriging Assisted-Simulation with Covariates,” INFORMS Journal on Computing, vol. 35, no. 2, pp. 386–402, 2023.

J. Du, S. Gao, and C.-H. Chen, “Selecting the Optimal System Design under Covariates,” Proceedings of the 2019 IEEE International Conference on Automation Science and Engineering, pp. 547–552, 2019.

Frazier, Peter I., Warren B. Powell, and Savas Dayanik. “A Knowledge-Gradient Policy for Sequential Information Collection.” SIAM Journal on Control and Optimization, vol. 47, no. 5, 2008, pp. 2410–2439. https://doi.org/10.1137/070693424.

Rasmussen, Carl Edward, and Christopher K. I. Williams. Gaussian Processes for Machine Learning. MIT Press, 2006. https://gaussianprocess.org/gpml/.

Sacks, Jerome, William J. Welch, Toby J. Mitchell, and Henry P. Wynn. “Design and Analysis of Computer Experiments.” Statistical Science, vol. 4, no. 4, 1989, pp. 409–423. https://doi.org/10.1214/ss/1177012413.

Bertsimas, Dimitris, and Melvyn Sim. “The Price of Robustness.” Operations Research, vol. 52, no. 1, 2004, pp. 35–53. https://doi.org/10.1287/opre.1030.0065.

Campi, Marco C., and Simone Garatti. “The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs.” SIAM Journal on Optimization, vol. 19, no. 3, 2008, pp. 1211–1230. https://doi.org/10.1137/07069821X.

Glasserman, Paul. Monte Carlo Methods in Financial Engineering. Springer, 2004. https://doi.org/10.1007/978-0-387-21617-1.

Ankenman, Bruce, Barry L. Nelson, and Jeremy Staum. “Stochastic Kriging for Simulation Metamodeling.” Operations Research, vol. 58, no. 2, 2010, pp. 371–382. https://doi.org/10.1287/opre.1090.0754.

Kim, Seong-Hee, and Barry L. Nelson. “A Fully Sequential Procedure for Indifference-Zone Selection in Simulation.” ACM Transactions on Modeling and Computer Simulation, vol. 11, no. 3, 2001, pp. 251–273. https://doi.org/10.1145/502109.502111.

Downloads

Published

2026-01-31

Issue

Section

Articles