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Extension of Latin hypercube samples with correlated variables

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  • Sallaberry, C.J.
  • Helton, J.C.
  • Hora, S.C.

Abstract

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.

Suggested Citation

  • Sallaberry, C.J. & Helton, J.C. & Hora, S.C., 2008. "Extension of Latin hypercube samples with correlated variables," Reliability Engineering and System Safety, Elsevier, vol. 93(7), pages 1047-1059.
    • Handle: RePEc:eee:reensy:v:93:y:2008:i:7:p:1047-1059
    DOI: 10.1016/j.ress.2007.04.005
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    Cited by:

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    2. Hou, Tianfeng & Nuyens, Dirk & Roels, Staf & Janssen, Hans, 2019. "Quasi-Monte Carlo based uncertainty analysis: Sampling efficiency and error estimation in engineering applications," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    3. Vikram V. Garg & Roy H. Stogner, 2017. "Hierarchical Latin Hypercube Sampling," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 673-682, April.
    4. Sui Peng & Huixiang Chen & Yong Lin & Tong Shu & Xingyu Lin & Junjie Tang & Wenyuan Li & Weijie Wu, 2019. "Probabilistic Power Flow for Hybrid AC/DC Grids with Ninth-Order Polynomial Normal Transformation and Inherited Latin Hypercube Sampling," Energies, MDPI, vol. 12(16), pages 1-21, August.
    5. Bui, Ha & Sakurahara, Tatsuya & Pence, Justin & Reihani, Seyed & Kee, Ernie & Mohaghegh, Zahra, 2019. "An algorithm for enhancing spatiotemporal resolution of probabilistic risk assessment to address emergent safety concerns in nuclear power plants," Reliability Engineering and System Safety, Elsevier, vol. 185(C), pages 405-428.
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    7. Jin Xu & Jiajie Chen & Peter Z. G. Qian, 2015. "Sequentially Refined Latin Hypercube Designs: Reusing Every Point," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1696-1706, December.
    8. Shields, Michael D. & Teferra, Kirubel & Hapij, Adam & Daddazio, Raymond P., 2015. "Refined Stratified Sampling for efficient Monte Carlo based uncertainty quantification," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 310-325.
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    10. Zio, E. & Pedroni, N., 2009. "Functional failure analysis of a thermal–hydraulic passive system by means of Line Sampling," Reliability Engineering and System Safety, Elsevier, vol. 94(11), pages 1764-1781.
    11. Francesco Di Maio & Nicola Pedroni & Barnabás Tóth & Luciano Burgazzi & Enrico Zio, 2021. "Reliability Assessment of Passive Safety Systems for Nuclear Energy Applications: State-of-the-Art and Open Issues," Energies, MDPI, vol. 14(15), pages 1-17, August.
    12. Blatman, Géraud & Sudret, Bruno, 2010. "Efficient computation of global sensitivity indices using sparse polynomial chaos expansions," Reliability Engineering and System Safety, Elsevier, vol. 95(11), pages 1216-1229.

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