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Orthogonal array-based Latin hypercubes. (English) Zbl 0792.62066
Summary: We use orthogonal arrays (OA’s) to construct Latin hypercubes. Besides preserving the univariate stratification properties of Latin hypercubes, these strength \(r\) OA-based Latin hypercubes also stratify each \(r\)- dimensional margin. Therefore, such OA-based Latin hypercubes provide more suitable designs for computer experiments and numerical integration than do general Latin hypercubes. We prove that when used for integration, the sampling scheme with OA-based Latin hypercubes offers a substantial improvement over Latin hypercube sampling.

MSC:
62K99 Design of statistical experiments
65C99 Probabilistic methods, stochastic differential equations
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