Latin supercube sampling for very high-dimensional simulations. (English) Zbl 0917.65022

Owen, Art B.

ACM Trans. Model. Comput. Simul. 8, No. 1, 71-102 (1998).

MSC:

65D32	Numerical quadrature and cubature formulas
65C05	Monte Carlo methods
11K45	Pseudo-random numbers; Monte Carlo methods
11K38	Irregularities of distribution, discrepancy

Keywords:

high-dimensional quadrature; integration; Latin hypercube; lattice methods; low discrepancy sequences; orthogonal array sampling; quasi-Monte Carlo; \((t,m,s)\)-nets; Latin supercube sampling; high-dimensional simulations