Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems

J.C. Helton, F.J. Davis
2003 Reliability Engineering & System Safety  
The following techniques for uncertainty and sensitivity analysis are briefly summarized: Monte Carlo analysis, differential analysis, response surface methodology, Fourier amplitude sensitivity test, Sobol' variance decomposition, and fast probability integration. Desirable features of Monte Carlo analysis in conjunction with Latin hypercube sampling are described in discussions of the following topics: (i) properties of random, stratified and Latin hypercube sampling, (ii) comparisons of
more » ... m and Latin hypercube sampling, (iii) operations involving Latin hypercube sampling (i.e., correlation control, reweighting of samples to incorporate changed distributions, replicated sampling to test reproducibility of results), (iv) uncertainty analysis (i.e" cumulative distribution functions, complementary cumulative distribution functions, box plots), (v) sensitivity analysis (i.e., scatterplots, regression analysis, correlation analysis, rank transformations, searches for nonrandom patterns), and (vi) analyses involving stochastic (i.e., aleatory) and subjective (i.e., epistemic) uncertainty.
doi:10.1016/s0951-8320(03)00058-9 fatcat:qozdsedxoraifbgsyckw4aajvi