MathGroup Archive 2009

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Latin Hypercube and other sampling algorithm


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


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