Questions tagged [latin-hypercube]

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How to compute sobol indices from a multi-variate regression model?

I have a dataset that consists of 300 input variables, 200 response variables, and 15000 samples. These response variables are basically a profile of 200 different values of the same response and they ...
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1answer
33 views

Using Latin Hypercube Sampling with a condition that the sum of two variables should be less than one

I am building an experimental design with 4 variables defined on (0,1). In notation, $x_i \in [0,1]$ with $ i=1,..., 4$). Two of these variables must satisfy the condition that $x_1 + x_2 \leq 1$. ...
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1answer
74 views

Stratified sampling / QMC simulation for compound Poisson rv

I have a rv $X$ of the form $$ X=\sum_{i=1}^N Y_i, $$ where $N$ is a discrete rv (often, but not always, Poisson) and $Y_1,\ldots,Y_N$ are continuous random variables, iid and independent from $N$. I ...
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1answer
79 views

Dividing CDF rather than PDF equally in Latin Hypercube Sampling

Returning back to the basics of Latin Hypercube Sampling, I wanted to ask why LHS is a division of CDF into N intervals rather than PDF. I'm having some trouble understanding what the difference is ...
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2answers
175 views

Effectiveness of Latin Hypercube Sampling

I have a question regarding the disccusion on the effectiveness of LHS in multiple dimensions, linked below. {Is Latin hypercube sampling effective in multiple dimensions?} According to the accepted ...
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1answer
191 views

Convergence of random sample vs. Latin Hypercube Sampling

Latin Hypercube Sampling, by concept, should be able to yield convergence of an estimate of output at a lower number of samples than random sampling. With the model I am working on, I'm continuously ...
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1answer
91 views

Is there a way to check if sample obeys the Latin Hypercube Sampling rule?

I was wondering if there is a way to check if a certain sample of a large size obeys the Latin Hypercube Sampling rule. I know that for smaller samples, I can easily visualize the sample points to see ...
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1answer
60 views

Number of parameter sets generated by latin hyercube sampling

In MATLAB, X = lhsdesign(n,p) generates a latin hypercube sample of n number of random parameter sets (n values on each of p variables). By the definition of latin hypercube sampling, there is a much ...
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0answers
44 views

How to generate a design for a response surface with a discrete input random variable?

I'm trying to generate a design of experiments for fitting a response surface for a quantity $Y$ such that, $Y = f(X_1, ..., X_6)$. I'm open to a factorial design as well as a random design. $X_1,..., ...
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1answer
117 views

Taking samples of data using Latin Hypercube Sampling

Info: Newbie in Latin Hypercube Sampling (LHS) I have a number of variables/parameters that have different number of elements: $A = [1,2,3],$ $B = [1,2],$ and $C = [1,2,3,4]$ From these arrays I ...
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3answers
103 views

Is a group of random hypercube samples equivalent to a single latin hypercube with more samples?

Let's say, for the sake of argument, that you want a latin hypercube sample with 1,000 samples. For a later computational step, it would be more convenient to have a group of ten sets of 100 samples ...
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1answer
124 views

Stopping rule for Latin hypercube sampling (LHS)

I'm a rookie of the statistics environment. I am looking for a "stopping rule" (or number of simulations required to get convergence) for Latin Hypercube Sampling (LHS) simulations. Normally, for ...
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1answer
298 views

Latin hypercube sampling with categorical variables

I would like to run sensitivity analyses on my agent-based model. My model has 20 parameters that I need to vary. I generated 8 artificial landscapes that vary in resource aggregation (r) and my model ...
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1answer
103 views

Algorithmic or structural limitations of space-filling Latin hypercube sampling

I'm new to Latin hypercube sampling, and am trying to understand if the somewhat odd sampling that results from the Matlab function lhsdesign is a limitation of the ...
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1answer
97 views

Latin Hypercube around set points

Is there a method for constructing a LHC around set points? For example, I want to test a component in a system and I have enough time to run 20 conditions. I expect that in the system, the component ...
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0answers
592 views

Can a Latin Hypercube Sampling design include constraints relating the variables?

I am trying to generate an experimental design using a Latin hypercube on three dimensions. I'm using MATLAB's lhsdesign(), but my question is about lhs sampling in general. Two of my three variables,...
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94 views

Method for Sampling High Dimensionality Simulation (similar to Latin Hypercube Sampling)

I need to calculate the expected outputs (Yj) from a large non-linear simulation model (Mj) which takes 2^N possible input strings (Bi), each with known probability fi (simple binomial). N is ...
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1answer
1k views

Is it valid to use latin-hypercube sampling in parallel sampling?

I am sampling from a model 10 times in series, doing this in 50 parallel processes. I am using LHS to generate samples each set of ten samples, although each of the 50 parallel runs' samples are ...
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1answer
2k views

When is Latin Hypercube Sampling (LHS) a good idea?

In this paper: http://salserver.org.aalto.fi/vanhat_sivut/Opinnot/Mat-2.4108/pdf-files/emat08.pdf [1] equation 6 shows that if $\operatorname{ cov} \left(f\left(x_1\right),f\left(x_2\right)\right)$ is ...
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1answer
588 views

Why using MCMC, not LHS (Latin Hypercube Sampling)?

Let's say I have to find the posterior distribution of a Bayesian estimate. Why should I use an MCMC chain of length 10,000 but not do a Latin Hypercube Sampling of 10,000 samples and calculate* the ...
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0answers
39 views

Design on irregular domain

I am trying to get a design over some input parameters for a computer model, saying an input vector $X=(X_1,...,X_k)$. The domain of $X$ is irregular, not a hypercube (so I guess conventional Latin ...
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2answers
182 views

Introductory Statistics and Basic Experimental Designs for Computer Scientists

I'm looking books on Introductory Statistics and Basic Experimental Statistics (Designs) for Computer Scientists. I'd highly appreciate if you point out few. Thanks Edited Actually I've been given ...
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0answers
111 views

Offshore Wind Assessment

Does anyone know if Latin Hypercube sampling can be effective in the statistical analysis of offshore wind time series in order to reproduce random wind fields with a small amount of observed data? ...
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2answers
2k views

Latin Hypercube Sampling Asymptotics

I am trying to construct a proof for a problem I am working on and one of the assumptions that I am making is that the set of points I am sampling from is dense over the entire space. Practically, I ...
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1answer
1k views

Increase the sample size of a Latin Hypercube study?

I want to create a climate model ensemble, testing 5 parameters (real, uniformly distributed between two values), using a latin hypercube approach. The problem is that I'm not sure how many ...
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1answer
396 views

Are non-square latin hypercubes viable?

At https://github.com/OpenMDAO/OpenMDAO-Framework/issues/599 it is stated that non-square Latin Hypercube experimental design is not well defined (I assume that for higher dimensions that means ...
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3answers
5k views

Is Latin hypercube sampling effective in multiple dimensions?

I am currently using a Latin Hypercube Sampling (LHS) to generate well-spaced uniform random numbers for Monte Carlo procedures. Although the variance reduction that I obtain from LHS is excellent for ...
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0answers
465 views

Choosing the number of latin hypercube samples [closed]

I'm using latin hypercube sampling to draw parameter values for an epidemiological simulation model (about 30 parameters, following various distributions), and so far I haven't been able to find any ...