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# 3.3 Black-Box Metamodels of Simulation Models

DOE treats the simulation model as a black box; i.e., only the inputs and outputs are observed and analyzed. For example, in the simulation of the statistic (in Sect. 3.2) the simulation inputs (listed in Step 1) are (mean), (variance), (sample size), and (number of macro-replicates); this is probably a tactical factor that is not of interest to the user. Suppose the user is interested in the quantile of the distribution function of the statistic in case of nonnormality. A black box representation of this example is:

 (3.3)

where denotes the mathematical function implicitly defined by the simulation program (outlined in steps 1 through 6 in Sect. 3.2); and now denote the parameters of the nonnormal distribution of the input (for example, denotes how many exponential distributions with parameter are summed to form an Erlang distribution); denotes the seed of the pseudorandom numbers.

One possible metamodel of the black box model in (3.3) is a Taylor series approximation - cut off after the first-order effects of the three factors, :

 (3.4)

where is the metamodel predictor of the simulation output in (3.3); denotes the parameters of the metamodel in (3.4), and is the noise - which includes both lack of fit of the metamodel and intrinsic noise caused by the pseudorandom numbers.

Besides the metamodel specified in (3.4), there are many alternative metamodels. For example, taking the logarithm of the inputs and outputs in (3.4) makes the first-order polynomial approximate relative changes; i.e., the parameters , , and become elasticity coefficients.

There are many - more complex - types of metamodels. Examples are Kriging models, neural nets, radial basis functions, splines, support vector regression, and wavelets; see the various chapters in Part III - especially Chaps. III.5 (by Loader), III.7 (Müller), III.8 (Cizek), and III.15 (Laskov and Müller) - and also Clarke, Griebsch, and Simpson (2003) and Antioniadis and Pham (1998). I, however, will focus on two types that have established a track record in simulation:

• linear regression models (see Sect. 3.4)
• Kriging (see Sect. 3.5).
To estimate the parameters of whatever metamodel, the analysts must experiment with the simulation model; i.e., they must change the inputs (or factors) of the simulation, run the simulation, and analyze the resulting input/output data. This experimentation is the topic of the next sections.

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