Publication detail

Extension of sample size in Latin Hypercube Sampling – methodology and software

VOŘECHOVSKÝ, M.

Original Title

Extension of sample size in Latin Hypercube Sampling – methodology and software

Type

conference paper

Language

English

Original 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 simulations with subsets of samples of a random vector X such that (i) the favorable properties of LHS are retained (low number of simulations needed for significant estimations of statistics of g(X) with a low variability of the estimation); (ii) all subsets can anytime be merged into one set while keeping its consistency (the simulation process can be halted e.g., when reaching a certain prescribed statistical significance of the estimations). An important aspect of the method is that it efficiently simulates subsets of samples of random vectors with focus on their correlation structure.

Keywords

Latin Hypercube Sampling, statistical, Monte Carlo

Authors

VOŘECHOVSKÝ, M.

RIV year

2012

Released

3. 10. 2012

Location

Austria, Vienna

ISBN

978-0-415-62126-7

Book

3rd Symposium on Life-Cycle and Sustainability of Civil Infrastructure Systems

Pages from

2403

Pages to

2410

Pages count

8

BibTex

@inproceedings{BUT98255,
  author="Miroslav {Vořechovský}",
  title="Extension of sample size in Latin Hypercube Sampling – methodology and software",
  booktitle="3rd Symposium on Life-Cycle and Sustainability of Civil Infrastructure Systems",
  year="2012",
  pages="2403--2410",
  address="Austria, Vienna",
  isbn="978-0-415-62126-7"
}