Latin Hypercube and other sampling algorithm
- To: mathgroup at smc.vnet.net
- Subject: [mg96672] Latin Hypercube and other sampling algorithm
- From: ADL <alberto.dilullo at tiscali.it>
- Date: Fri, 20 Feb 2009 05:46:02 -0500 (EST)
Dear all, I made a search of the Group archive and on the internet, but I could not find examples of Mathematica code for generating efficient multi-dimensional Monte Carlo simulations, like the Latin Hypercube sampling scheme. With Mathematica, as far as I understand, the difficulty may be to generate the samples successively, without handling all at once the huge set of samples which might be generated for more than a few variables. Not having found any explicit reference to this topic in the standard functions, I also tried to look at the NIntegrate sampling schemes (there are a several) to see if any of them could be used for the purpose, but I could not reach a conclusion. Does anybody have a code, e.g., for generating Latin Hypercube samples one at a time for N variables divided into M sampling intervals? Thank you in advance. ADL