Extension of Latin hypercube samples with correlated variables

C.J. Sallaberry, J.C. Helton and S.C. Hora

Reliability Engineering and System Safety, 2008, vol. 93, issue 7, 1047-1059

Abstract: 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.

Keywords: Experimental design; Latin hypercube sample; Monte Carlo analysis; Rank correlation; Sample size extension; Sensitivity analysis; Uncertainty analysis (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:93:y:2008:i:7:p:1047-1059

DOI: 10.1016/j.ress.2007.04.005

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