Hierarchical Subset Latin Hypercube Sampling for correlated random vectors

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F09%3APU86025" target="_blank" >RIV/00216305:26110/09:PU86025 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Hierarchical Subset Latin Hypercube Sampling for correlated random vectors
Original language description
In this paper, we suggest principles of a novel simulation method for analyses of functions g(X) of a random vector X, suitable for the cases when the evaluation of g(X) is very expensive. The method is based on Latin Hypercube Sampling strategy. The paper explains how the statistical, sensitivity and reliability analysis of g(X) can be divided into a hierarchical sequence of simulations with (subsets of samples of a random vector X) such that (i) the favourable properties of LHS are retained (low number of simulations needed for significant estimations of statistics of g(X) with a low variability of the estimation); (ii) all subsets can anytime be merged into one set while keeping its consistency (i.e. the simulation process can be halted e.g., hen reaching a certain prescribed statistical significance of the estimations). An important aspect of the method is that it efficiently simulates subsets samples of random vectors with focus on their correlation structure. The procedure is qui
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
First International Conference on Soft Computing Technology in Civil, Structural and Environmental Engineering
ISBN
978-1-905088-33-1
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
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Publisher name
Neuveden
Place of publication
Funchal, Madeira, Portugal
Event location
Funchal. Madeira
Event date
Sep 1, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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