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
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.
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