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

@article{Helton2003LatinHS,
title={Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems},
author={Jon C. Helton and F. J. Davis},
journal={Rel. Eng. & Sys. Safety},
year={2003},
volume={81},
pages={23-69}
}

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… CONTINUE READING