Latin hypercube sampling vs. importance sampling

#Latin hypercube sampling vs. importance sampling manual#
#Latin hypercube sampling vs. importance sampling code#

#Latin hypercube sampling vs. importance sampling manual#

The LHS manual referenced above explains the format of the input file in more detail.

Input file, e.g., unif.dat (example below) which is a simple example which generates 60 samples from four uniform random variables on the interval -1 to 1, or KEYWORD.DAT (which is included in the LHS source package), which is a more comprehensive example of possible random variable types and syntax.

Initialization file SIPRA.INI (example included in LHS source package).

Place the following files in the directory from which you run lhsdrv.exe and Wyss, G.D., 'A User's Guide to Sandia's Latin Hypercube Sampling Software: LHS UNIX Library Standalone Version, Sandia Technical Report SAND2004-2439, July 2004.

#Latin hypercube sampling vs. importance sampling code#

The LHS Fortran source code is included in packages/external/LHS. Once the package is unpacked, the lhsdrv or lhsdrv.exe binary is included in dakota/bin/. Shortencarier)Дownload: See Dakota Downloads for binary or source packages. LHS is distributed with Dakota and can be used as a distinct standalone capability.ДЄuthors: G. There is no upper bound in dimensions for which LHS is proven to be effective.Sandia's Latin Hypercube Sampling package predates Dakota, though is no longer distributed as a standalone package. These conclusions are all irrespective of the number of dimensions in the sample.

Owen 1997 says this is 'not much worse than' simple random sampling. A LHS of size $n > 1$ has variance in the non-additive estimator less than or equal to a simple random sample of size $(n-1)$. See here from the accepted answer, and also Stein 1987 and Owen 1997.ДЇor non-additive functions, the Latin hypercube sample may still provide benefit, but it is less certain to provide benefit in all cases. The conclusions in the literature are clear:ДЇor estimating the variance in functions which are 'additive' in the margins of the Latin hypercube, then the variance in the estimate of the function is always less than the equivalent sample size of simple random sample, regardless of the number of dimensions and regardless of sample size. If you read the chapter cited by the accepted answer here, they talk about effectiveness of variance reduction or efficiency being measured relative to some base algorithm like simple random sampling. The plots they showed were the confidence intervals for the mean of their cost function with increasing sample size for 1 dimension and 2 dimension. The original poster was looking for an amount of 'variance reduction' in the Latin hypercube. I interpret the literature cited in the accepted answer differently. Once you move outside the realm of additive functions, it's very hard to predict how much of an improvement you'll get. It also contains a number of references to the literature: some researchers have found that LHS substantially outperforms simple random sampling, whereas others have noted minimal improvements. This latter article also suggests a rule of thumb that LHS is most effective when at most 3 inputs/dimensions contribute most of the variation in the output.

I also note this blog post by Lonnie Chrisman which argues in favour of LHS as a default for sampling. Indeed, many researchers continue to use LHS regularly as a default sampling option. He seems to be considering the situation where it is trivial (by modern computing standards) to evaluate the output function at each sampled point in parameter space, so I don't think this article is a reason to avoid LHS. There's an interesting blog post by David Vose in which he explains why he doesn't implement LHS in his ModelRisk software. LHS is essentially never worse than simple random sampling, so you can always use LHS as a default sampling method and this decision won't cost you anything. In practice, this behaviour doesn't actually matter. I agree with the answer by R Carnell, there is no upper bound on the number of parameters/dimensions for which LHS is proven to be effective, though in many settings I've noticed that the relative benefits of LHS compared to simple random sampling tend to decrease as the number of dimensions increases.