Extension of latin hypercube samples with correlated variables.

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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 ... continued below

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48 p.

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Hora, Stephen Curtis; Helton, Jon Craig & Sallaberry, Cedric J. November 1, 2006.

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Description

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.

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48 p.

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  • Report No.: SAND2006-6135
  • Grant Number: AC04-94AL85000
  • DOI: 10.2172/902218 | External Link
  • Office of Scientific & Technical Information Report Number: 902218
  • Archival Resource Key: ark:/67531/metadc885396

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Office of Scientific & Technical Information Technical Reports

Reports, articles and other documents harvested from the Office of Scientific and Technical Information.

Office of Scientific and Technical Information (OSTI) is the Department of Energy (DOE) office that collects, preserves, and disseminates DOE-sponsored research and development (R&D) results that are the outcomes of R&D projects or other funded activities at DOE labs and facilities nationwide and grantees at universities and other institutions.

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  • November 1, 2006

Added to The UNT Digital Library

  • Sept. 22, 2016, 2:13 a.m.

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  • July 25, 2017, 9:24 a.m.

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Hora, Stephen Curtis; Helton, Jon Craig & Sallaberry, Cedric J. Extension of latin hypercube samples with correlated variables., report, November 1, 2006; United States. (digital.library.unt.edu/ark:/67531/metadc885396/: accessed October 18, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT Libraries Government Documents Department.