Extension of Latin hypercube samples with correlated variables
نویسندگان
چکیده
A procedure for extending the size of a Latin hypercube sample (LHS) with rank correlated variables is described and illustrated. The extension procedure starts with an LHS of size m and associated rank correlation matrix C and constructs a new LHS of size 2m that contains the elements of the original LHS and has a rank correlation matrix that is close to the original rank correlation matrix C. The procedure is intended for use in conjunction with uncertainty and sensitivity analysis of computationally demanding models in which it is important to make efficient use of a necessarily limited number of model evaluations. Published by Elsevier Ltd.
منابع مشابه
Asymptotically Valid Confidence Intervals for Quantiles and Values-at-Risk When Applying Latin Hypercube Sampling
Quantiles, which are also known as values-at-risk in finance, are often used as risk measures. Latin hypercube sampling (LHS) is a variance-reduction technique (VRT) that induces correlation among the generated samples in such a way as to increase efficiency under certain conditions; it can be thought of as an extension of stratified sampling in multiple dimensions. This paper develops asymptot...
متن کاملExtension of sample size in Latin Hypercube Sampling with correlated variables
Abstract. In this paper, we suggest principles of a novel simulation method for analyses of functions g (X) of a random vector X, suitable for the cases when the evaluation of g (X) is very expensive. The method is based on Latin Hypercube Sampling strategy. The paper explains how the statistical, sensitivity and reliability analysis of g (X) can be divided into a hierarchical sequence of simul...
متن کاملProbabilistic Lower Bounds for the Discrepancy of Latin Hypercube Samples
We provide probabilistic lower bounds for the star discrepancy of Latin hypercube samples. These bounds are sharp in the sense that they match the recent probabilistic upper bounds for the star discrepancy of Latin hypercube samples proved in [M. Gnewuch, N. Hebbinghaus. Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples. Preprint 2016.]. Toge...
متن کاملSampling analysis of concrete structures for creep and shrinkage with correlated random material parameters
The latin hypercube sampling method, which represents the most efficient way to determine the statistics of the creep and shrinkage response of structures, has previously been developed and used under the assumption that the random parameters of the creep and shrinkage prediction model are mutually independent. In reality they are correlated. On the basis of existing data, this paper establishe...
متن کاملA conditioned Latin hypercube method for sampling in the presence of ancillary information
This paper presents the conditioned Latin hypercube as a sampling strategy of an area with prior information represented as exhaustive ancillary data. Latin hypercube sampling (LHS) is a stratified random procedure that provides an efficient way of sampling variables from their multivariate distributions. It provides a full coverage of the range of each variable by maximally stratifying the mar...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Rel. Eng. & Sys. Safety
دوره 93 شماره
صفحات -
تاریخ انتشار 2008