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Obtaining minimum-correlation Latin hypercube sampling plans using an IP-based heuristic. (English) Zbl 0840.62060
Summary: The objective of Latin Hypercube Sampling is to determine an effective procedure for sampling from a (possibly correlated) univariate population to estimate the distribution function (or at least a significant number of moments) of a complicated function of its variables. The typical application involves a computer-based model in which it is largely impossible to find a way (closed form or numerical) to do the necessary transformations of variables and where it is expensive to run in terms of computing resources and time. Classical approaches to hypercube sampling have used sophisticated stratified sampling techniques; but such sampling may provide incorrect measures of the output parameters’ variances or covariances due to correlation between the sampling pairs.
We offer a strategy which provides a sampling specification minimizing the sum of the absolute values of the pairwise differences between the true and sampled correlation pairs. We show that optimal plans can be obtained for even small sample sizes. We consider the characteristics of permutation matrices which minimize the sum of correlations between column pairs and then present an effective heuristic for solution. This heuristic generally finds plans which match the correlation structure exactly. When it does not, we provide a hybrid lagrangian/heuristic method, which empirically has found the optimal solution for all cases tested.

MSC:
62H99 Multivariate analysis
62D05 Sampling theory, sample surveys
90C90 Applications of mathematical programming
90C10 Integer programming
90C06 Large-scale problems in mathematical programming
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