Latin Hyperrectangle Sampling for Computer Experiments

@article{Mease2006LatinHS,
  title={Latin Hyperrectangle Sampling for Computer Experiments},
  author={David Mease and Derek Bingham},
  journal={Technometrics},
  year={2006},
  volume={48},
  pages={467-477}
}
Latin hypercube sampling (LHS) is a popular method for evaluating the expectation of functions in computer experiments. However when the expectation of interest is taken with respect to a nonuniform distribution, the usual transformation to the probability space can cause relatively smooth functions to become extremely variable in areas of low probability. Consequently, the equal probability cells inherent in hypercube methods often tend to sample an insufficient proportion of the total points… CONTINUE READING

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