Extension of latin hypercube samples with correlated variables.

Technical Report · Tue Oct 31 23:00:00 EST 2006

DOI:https://doi.org/10.2172/902218· OSTI ID:902218

Hora, Stephen Curtis ^[1]; Helton, Jon Craig ^[2]; Sallaberry, Cedric J. PhD. ^[3]

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1. University of Hawaii at Hilo, HI
2. Arizona State University, Tempe, AZ
3. .

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.

• Research Organization: Sandia National Laboratories
• Sponsoring Organization: USDOE
• DOE Contract Number: AC04-94AL85000
• OSTI ID: 902218
• Report Number(s): SAND2006-6135
• Country of Publication: United States
• Language: English

Related Subjects

99 GENERAL AND MISCELLANEOUS
COMPUTER CALCULATIONS
DATA COVARIANCES
Experimental design.
MATRICES
Monte Carlo method.
SENSITIVITY ANALYSIS
Uncertainty-Mathematical models.