Variance Reduction Analysis

This paper presents an algorithm for optimal data collection in random fields, the so-called variance reduction analysis, which is an extension of kriging. The basis of variance reduction analysis is an information response function (i.e., the amount of information gain at an arbitrary point due to a measurement at another site). The ranking of potential sites is conducted using an information ranking function. The optimal number of new points is then identified by an economic gain function. The selected sequence of sites for further sampling shows a high degree of stability with respect to noisy inputs.