Extension of Latin hypercube samples with correlated variables

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 2 m that contains the elements of the origi...

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Bibliographic Details
Published in:Reliability engineering & system safety 2008-07, Vol.93 (7), p.1047-1059
Main Authors: Sallaberry, C.J., Helton, J.C., Hora, S.C.
Format: Article
Language:English
Subjects:
Applied sciences
Exact sciences and technology
Experimental design
Latin hypercube sample
Mathematics
Monte Carlo analysis
Operational research and scientific management
Operational research. Management science
Probability and statistics
Rank correlation
Reliability theory. Replacement problems
Sample size extension
Sciences and techniques of general use
Sensitivity analysis
Statistics
Uncertainty analysis
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Description
Summary: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 2 m 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.
ISSN:0951-8320
1879-0836
DOI:10.1016/j.ress.2007.04.005