Sequential Estimation using Hierarchically Stratified Domains with Latin Hypercube Sampling

05/22/2023
by   Sebastian Krumscheid, et al.
0

Quantifying the effect of uncertainties in systems where only point evaluations in the stochastic domain but no regularity conditions are available is limited to sampling-based techniques. This work presents an adaptive sequential stratification estimation method that uses Latin Hypercube Sampling within each stratum. The adaptation is achieved through a sequential hierarchical refinement of the stratification, guided by previous estimators using local (i.e., stratum-dependent) variability indicators based on generalized polynomial chaos expansions and Sobol decompositions. For a given total number of samples N, the corresponding hierarchically constructed sequence of Stratified Sampling estimators combined with Latin Hypercube sampling is adequately averaged to provide a final estimator with reduced variance. Numerical experiments illustrate the procedure's efficiency, indicating that it can offer a variance decay proportional to N^-2 in some cases.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset