Detail publikace

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

VOŘECHOVSKÝ, M.

Originální název

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

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

Latin Hypercube Sampling, statistical, Monte Carlo

Autoři

VOŘECHOVSKÝ, M.

Rok RIV

2012

Vydáno

3. 10. 2012

Místo

Austria, Vienna

ISBN

978-0-415-62126-7

Kniha

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

Strany od

2403

Strany do

2410

Strany počet

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"
}