The generalization of Latin hypercube sampling

• Published in: Reliability engineering & system safety Vol. 148; pp. 96 - 108
• Main Authors: Shields, Michael D., Zhang, Jiaxin
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.04.2016
• Subjects: Design engineering; Estimates; Latin hypercube sampling; Mathematical models; Monte Carlo simulation; Reliability engineering; Sampling; Strategy; Stratified sampling; Uncertainty quantification; Variance; Stratified sampling; Uncertainty quantification; Latin hypercube sampling; Monte Carlo simulation
• ISSN: 0951-8320; 1879-0836
• DOI: 10.1016/j.ress.2015.12.002

Latin hypercube sampling (LHS) is generalized in terms of a spectrum of stratified sampling (SS) designs referred to as partially stratified sample (PSS) designs. True SS and LHS are shown to represent the extremes of the PSS spectrum. The variance of PSS estimates is derived along with some asymptotic properties. PSS designs are shown to reduce variance associated with variable interactions, whereas LHS reduces variance associated with main effects. Challenges associated with the use of PSS designs and their limitations are discussed. To overcome these challenges, the PSS method is coupled with a new method called Latinized stratified sampling (LSS) that produces sample sets that are simultaneously SS and LHS. The LSS method is equivalent to an Orthogonal Array based LHS under certain conditions but is easier to obtain. Utilizing an LSS on the subspaces of a PSS provides a sampling strategy that reduces variance associated with both main effects and variable interactions and can be designed specially to minimize variance for a given problem. Several high-dimensional numerical examples highlight the strengths and limitations of the method. The Latinized partially stratified sampling method is then applied to identify the best sample strategy for uncertainty quantification on a plate buckling problem. •Latin hypercube sampling is generalized in terms of a spectrum of stratified sample designs.•The Partially Stratified Sampling (PSS) method is proposed as this generalization.•A new method, Latinized Stratified Sampling (LSS), is proposed that is both stratified and Latin.•Merging the PSS and LSS methods into a unified approach enables large reductions in variance.•The method reduces variance associated with both main effects and interaction effects.