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23 (de) vizualizări8 paginiTaylor & Francis, Ltd., American Statistical Association and American Society for Quality are collaborating with
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Taylor & Francis, Ltd.
American Statistical Association
American Society for Quality
A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of
Output from a Computer Code
Author(s): M. D. McKay, R. J. Beckman and W. J. Conover
Source: Technometrics, Vol. 21, No. 2 (May, 1979), pp. 239-245
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American
Society for Quality
Stable URL: http://www.jstor.org/stable/1268522
Accessed: 28-10-2015 16:25 UTC
REFERENCES
Linked references are available on JSTOR for this article:
http://www.jstor.org/stable/1268522?seq=1&cid=pdf-reference#references_tab_contents
You may need to log in to JSTOR to access the linked references.
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at http://www.jstor.org/page/
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JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content
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This content downloaded from 161.139.102.11 on Wed, 28 Oct 2015 16:25:27 UTC
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TECHNOMETRICS ?, VOL. 21, NO. 2, MAY 1979
A Comparisono f ThreeM ethodsf orS electing
Values of InputV ariablesi n the Analysios f Output
froma ComputerC ode
M. D. McKay and R. J. Beckman
Los Alamos ScientifiLc aboratory
P.O. Box 1663
Los Alamos, NM 87545
W. J. Conover
Departmento f Mathematics
Texas Tech University
Lubbock,T X 79409
Two types of sampling plans are examineda s alternativest o simple randoms amplingi n
Monte Carlo studies.T hese plans are shownt o be improvementosv ers impler andoms ampling
with respectt o variance for a class of estimatorsw hich includes the sample mean and the
empiricald istributionf unction.
KEY WORDS
Latin hypercubes ampling
Sampling techniques
Simulation techniques
Variance reduction
1. INTRODUCTION
Numerical methods have been used for years to
providea pproximates olutionst o fluidf lowp roblems
that defy analytical solutions because of their complexity.
A mathematicalm odel is constructedt o resemble
the fluidf lowp roblem,a nd a computerp rogram
(called a "code"), incorporatingm ethods of
obtaininga numericals olution,i s writtenT. hen for
any selectiono f inputv ariablesX = (X,, ** , XK) an
output variable Y = h(X) is produced by the computer
code. If the code is accurate the output Y
resembles what the actual output would be if an
experimentw ere performedu nder the conditionsX .
It is ofteni mpracticalo r impossiblet o performs uch
an experimentM. oreover, the computerc odes are
sometimess ufficientlcyo mplexs o thata singles et of
inputv ariablesm ay requires everalh ours of timeo n
the fastestc omputersp resentlyin existencei n order
to produce one output. We should mention that a
single output Y is usually a graph Y(t) of output as a
functiono f time,c alculateda t discretet imep ointst ,
to < t < tl.
When modelingr eal worldp henomenaw itha computer
code one is often faced with the problem of
what values to use fort he inputs.T his difficultcya n
Received January 1977; revised May 1978
arise from within the physical process itself when
systemp arametersa re not constant,b ut varyi n some
manner about nominal values. We model our uncertaintya
bout the values of thei nputsb y treatingt hem
as random variables. The informationd esired from
the code can be obtainedf roma studyo f the probabilityd
istributionof the output Y(t). Consequently,
we model the "numerical"e xperimentb y Y(

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Taylor & Francis, Ltd., American Statistical Association and American Society for Quality are collaborating with
JSTOR to digitize, preserve and extend access to Technometrics.
http://www.jstor.org
Taylor & Francis, Ltd.
American Statistical Association
American Society for Quality
A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of
Output from a Computer Code
Author(s): M. D. McKay, R. J. Beckman and W. J. Conover
Source: Technometrics, Vol. 21, No. 2 (May, 1979), pp. 239-245
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American
Society for Quality
Stable URL: http://www.jstor.org/stable/1268522
Accessed: 28-10-2015 16:25 UTC
REFERENCES
Linked references are available on JSTOR for this article:
http://www.jstor.org/stable/1268522?seq=1&cid=pdf-reference#references_tab_contents
You may need to log in to JSTOR to access the linked references.
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at http://www.jstor.org/page/
info/about/policies/terms.jsp
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content
in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship.
For more information about JSTOR, please contact support@jstor.org.
This content downloaded from 161.139.102.11 on Wed, 28 Oct 2015 16:25:27 UTC
All use subject to JSTOR Terms and Conditions
TECHNOMETRICS ?, VOL. 21, NO. 2, MAY 1979
A Comparisono f ThreeM ethodsf orS electing
Values of InputV ariablesi n the Analysios f Output
froma ComputerC ode
M. D. McKay and R. J. Beckman
Los Alamos ScientifiLc aboratory
P.O. Box 1663
Los Alamos, NM 87545
W. J. Conover
Departmento f Mathematics
Texas Tech University
Lubbock,T X 79409
Two types of sampling plans are examineda s alternativest o simple randoms amplingi n
Monte Carlo studies.T hese plans are shownt o be improvementosv ers impler andoms ampling
with respectt o variance for a class of estimatorsw hich includes the sample mean and the
empiricald istributionf unction.
KEY WORDS
Latin hypercubes ampling
Sampling techniques
Simulation techniques
Variance reduction
1. INTRODUCTION
Numerical methods have been used for years to
providea pproximates olutionst o fluidf lowp roblems
that defy analytical solutions because of their complexity.
A mathematicalm odel is constructedt o resemble
the fluidf lowp roblem,a nd a computerp rogram
(called a "code"), incorporatingm ethods of
obtaininga numericals olution,i s writtenT. hen for
any selectiono f inputv ariablesX = (X,, ** , XK) an
output variable Y = h(X) is produced by the computer
code. If the code is accurate the output Y
resembles what the actual output would be if an
experimentw ere performedu nder the conditionsX .
It is ofteni mpracticalo r impossiblet o performs uch
an experimentM. oreover, the computerc odes are
sometimess ufficientlcyo mplexs o thata singles et of
inputv ariablesm ay requires everalh ours of timeo n
the fastestc omputersp resentlyin existencei n order
to produce one output. We should mention that a
single output Y is usually a graph Y(t) of output as a
functiono f time,c alculateda t discretet imep ointst ,
to < t < tl.
When modelingr eal worldp henomenaw itha computer
code one is often faced with the problem of
what values to use fort he inputs.T his difficultcya n
Received January 1977; revised May 1978
arise from within the physical process itself when
systemp arametersa re not constant,b ut varyi n some
manner about nominal values. We model our uncertaintya
bout the values of thei nputsb y treatingt hem
as random variables. The informationd esired from
the code can be obtainedf roma studyo f the probabilityd
istributionof the output Y(t). Consequently,
we model the "numerical"e xperimentb y Y(

© All Rights Reserved

23 (de) vizualizări

Taylor & Francis, Ltd., American Statistical Association and American Society for Quality are collaborating with
JSTOR to digitize, preserve and extend access to Technometrics.
http://www.jstor.org
Taylor & Francis, Ltd.
American Statistical Association
American Society for Quality
A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of
Output from a Computer Code
Author(s): M. D. McKay, R. J. Beckman and W. J. Conover
Source: Technometrics, Vol. 21, No. 2 (May, 1979), pp. 239-245
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American
Society for Quality
Stable URL: http://www.jstor.org/stable/1268522
Accessed: 28-10-2015 16:25 UTC
REFERENCES
Linked references are available on JSTOR for this article:
http://www.jstor.org/stable/1268522?seq=1&cid=pdf-reference#references_tab_contents
You may need to log in to JSTOR to access the linked references.
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at http://www.jstor.org/page/
info/about/policies/terms.jsp
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content
in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship.
For more information about JSTOR, please contact support@jstor.org.
This content downloaded from 161.139.102.11 on Wed, 28 Oct 2015 16:25:27 UTC
All use subject to JSTOR Terms and Conditions
TECHNOMETRICS ?, VOL. 21, NO. 2, MAY 1979
A Comparisono f ThreeM ethodsf orS electing
Values of InputV ariablesi n the Analysios f Output
froma ComputerC ode
M. D. McKay and R. J. Beckman
Los Alamos ScientifiLc aboratory
P.O. Box 1663
Los Alamos, NM 87545
W. J. Conover
Departmento f Mathematics
Texas Tech University
Lubbock,T X 79409
Two types of sampling plans are examineda s alternativest o simple randoms amplingi n
Monte Carlo studies.T hese plans are shownt o be improvementosv ers impler andoms ampling
with respectt o variance for a class of estimatorsw hich includes the sample mean and the
empiricald istributionf unction.
KEY WORDS
Latin hypercubes ampling
Sampling techniques
Simulation techniques
Variance reduction
1. INTRODUCTION
Numerical methods have been used for years to
providea pproximates olutionst o fluidf lowp roblems
that defy analytical solutions because of their complexity.
A mathematicalm odel is constructedt o resemble
the fluidf lowp roblem,a nd a computerp rogram
(called a "code"), incorporatingm ethods of
obtaininga numericals olution,i s writtenT. hen for
any selectiono f inputv ariablesX = (X,, ** , XK) an
output variable Y = h(X) is produced by the computer
code. If the code is accurate the output Y
resembles what the actual output would be if an
experimentw ere performedu nder the conditionsX .
It is ofteni mpracticalo r impossiblet o performs uch
an experimentM. oreover, the computerc odes are
sometimess ufficientlcyo mplexs o thata singles et of
inputv ariablesm ay requires everalh ours of timeo n
the fastestc omputersp resentlyin existencei n order
to produce one output. We should mention that a
single output Y is usually a graph Y(t) of output as a
functiono f time,c alculateda t discretet imep ointst ,
to < t < tl.
When modelingr eal worldp henomenaw itha computer
code one is often faced with the problem of
what values to use fort he inputs.T his difficultcya n
Received January 1977; revised May 1978
arise from within the physical process itself when
systemp arametersa re not constant,b ut varyi n some
manner about nominal values. We model our uncertaintya
bout the values of thei nputsb y treatingt hem
as random variables. The informationd esired from
the code can be obtainedf roma studyo f the probabilityd
istributionof the output Y(t). Consequently,
we model the "numerical"e xperimentb y Y(

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A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of

Output from a Computer Code

Author(s): M. D. McKay, R. J. Beckman and W. J. Conover

Source: Technometrics, Vol. 21, No. 2 (May, 1979), pp. 239-245

Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American

Society for Quality

Stable URL: http://www.jstor.org/stable/1268522

Accessed: 28-10-2015 16:25 UTC

REFERENCES

Linked references are available on JSTOR for this article:

http://www.jstor.org/stable/1268522?seq=1&cid=pdf-reference#references_tab_contents

You may need to log in to JSTOR to access the linked references.

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at http://www.jstor.org/page/

info/about/policies/terms.jsp

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content

in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship.

For more information about JSTOR, please contact support@jstor.org.

Taylor & Francis, Ltd., American Statistical Association and American Society for Quality are collaborating with

JSTOR to digitize, preserve and extend access to Technometrics.

http://www.jstor.org

This content downloaded from 161.139.102.11 on Wed, 28 Oct 2015 16:25:27 UTC

All use subject to JSTOR Terms and Conditions

A Comparisonof ThreeMethodsforSelecting

Values of InputVariablesin the Analysisof Output

froma ComputerCode

M. D. McKay and R. J. Beckman

W. J. Conover

P.O. Box 1663

Los Alamos, NM 87545

Departmentof Mathematics

Texas Tech University

Lubbock,TX 79409

Monte Carlo studies.These plans are shownto be improvements

oversimplerandomsampling

withrespectto variance for a class of estimatorswhich includesthe sample mean and the

empiricaldistributionfunction.

KEY WORDS

Latin hypercubesampling

Samplingtechniques

Simulationtechniques

Variance reduction

1. INTRODUCTION

provideapproximatesolutionsto fluidflowproblems

that defyanalyticalsolutionsbecause of theircomplexity.A mathematicalmodel is constructedto resemble the fluidflowproblem,and a computerprogram (called a "code"), incorporatingmethods of

obtaininga numericalsolution,is written.Then for

any selectionof inputvariablesX = (X,, ** , XK) an

output variable Y = h(X) is produced by the computer code. If the code is accurate the output Y

resembleswhat the actual output would be if an

experimentwere performedunderthe conditionsX.

It is oftenimpracticalor impossibleto performsuch

an experiment.Moreover, the computercodes are

sometimessufficiently

complexso thata singleset of

inputvariablesmay requireseveralhoursof timeon

the fastestcomputerspresentlyin existencein order

to produce one output. We should mentionthat a

singleoutputY is usuallya graph Y(t) of outputas a

functionof time,calculatedat discretetimepointst,

to < t < tl.

Whenmodelingrealworldphenomenawitha computer code one is oftenfaced with the problem of

what values to use forthe inputs.This difficulty

can

ReceivedJanuary1977; revisedMay 1978

systemparametersare notconstant,but varyin some

mannerabout nominalvalues. We model our uncertaintyabout thevalues oftheinputsbytreatingthem

as randomvariables. The informationdesiredfrom

the code can be obtainedfroma studyof the probaof the output Y(t). Consequently,

bilitydistribution

we model the "numerical"experimentby Y(t) as an

unknowntransformation

h(X) oftheinputsX, which

have a knownprobabilitydistribution

F(x) forx E S.

Obviouslyseveralvalues of X, say X1, .', XN, must

be selectedas successiveinputssetsin orderto obtain

the desired informationconcerningY(t). When N

must be small because of the runningtime of the

code, theinputvariablesshouldbe selectedwithgreat

care.

The nextsectiondescribesthreemethodsof selecting(sampling)inputvariables.Sections3, 4 and 5 are

devotedto comparingthethreemethodswithrespect

to theirperformancein an actual computercode.

The computercode used in thispaper was developed in theHydrodynamics

Group oftheTheoretical

Division at the Los Alamos ScientificLaboratory,to

studyreactorsafety[8]. The computercode is named

SOLA-PLOOP and is a one-dimensionalversionof

anothercode SOLA [7]. The code was used by us to

model the blowdown depressurizationof a straight

and

pipe filledwithwaterat fixedinitialtemperature

pressure.Input variables include:X1, phase change

fordriftvelocity;X3,number

rate;X2,dragcoefficient

of bubbles per unitvolume; and X4, pipe roughness.

The input variables are assumed to be uniformly

distributedover givenranges.The outputvariableis

pressureas a functionoftime,wheretheinitialtimeto

is the time the pipe rupturesand depressurization

239

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All use subject to JSTOR Terms and Conditions

240

The pressureis recordedat 0.1 millisecondtimeintervals. The code was used repeatedlyso thatthe accuracy and precisionof the threesampling methods

could be compared.

class of estimatorsof the form

FOR SELECTING THE VALUES OF INPUT VARIABLES

thesamplemeanwhich

Ifg(Y) = Y thenT represents

is used to estimateE(Y). If g(Y) = yr we obtain the

rth sample moment.By letting

g(Y) = 1 forY < y, 0

otherwise,we obtain the usual empiricaldistribution

functionat the point y. Our interestis centered

around theseparticularstatistics.

Let r denotetheexpectedvalue of T whenthe Ye's

constitutea randomsample fromthedistribution

of

Y = h(X). We show in theAppendixthatbothstratified sampling and Latin hypercubesampling yield

unbiasedestimatorsof r.

If TRis theestimateof r froma randomsampleof

size N, and Ts is theestimatefroma stratified

sample

of size N, thenVar(Ts) < Var(TR)whenthestratified

plan uses equal probabilitystrata with one sample

per stratum(all pi = 1/N and nlj = 1). No direct

means of comparingthe varianceof thecorrespondingestimatorfromLatin hypercubesampling,TL, to

Var(Ts) has been found.However,thefollowingtheorem,provedin the Appendix,relatesthe variances

of TL and TR.

Theorem.If Y = h(X1,.,

XK) is monotonicin

and g(Y) is a monotonicfunceach of its arguments,

tionof Y, thenVar(TL) < Var(TR).

methodsof selectingthe

values of inputvariables,we have chosen threethat

have considerableintuitiveappeal. These are called

randomsampling,stratified

sampling,and Latin hypercubesampling.

RandomSampling.Let theinputvaluesX1, ** , XN

be a randomsample fromF(x). This methodof samplingis perhapsthemostobvious,and an entirebody

of statisticalliteraturemay be used in makinginferences regardingthedistributionof Y(t).

StratifiedSampling.Using stratifiedsampling,all

areas of the sample space of X are representedby

input values. Let the sample space S of X be partitioned into I disjointstrataSt. Let pi = P(X C Si)

thesize ofSi. Obtain a randomsampleXiJ,j

represent

= 1, ** , n fromSi. Then of coursetheni sum to N.

If I = 1, we have random samplingover the entire

sample space.

Latin HypercubeSampling. The same reasoning

that led to stratified

sampling,ensuringthatall portions of S were sampled, could lead further.If we

wishto ensurealso thateach oftheinputvariablesXk

has all portions of its distributionrepresentedby

inputvalues,we can dividetherangeof each Xk into

N strata of equal marginal probability 1/N, and

sample once fromeach stratum.Let this sample be

Xkj,j = 1, ..., N. These formtheXkcomponent,k =

1, * , K, in Xi, i = 1, * , N. The componentsof the

variousX,A'sare matchedat random.This methodof

selectinginputvalues is an extensionof quota sampling [13], and can be viewed as a K-dimensional

extensionof Latin square sampling[11].

One advantageof the Latin hypercubesample appears when the output Y(t) is dominatedby only a

few of the componentsof X. This methodensures

that each of those componentsis representedin a

manner,no matterwhichcomponents

fullystratified

turn

out

to be important.

might

We mentionherethattheN intervalson therange

of each componentof X combine to formNK cells

whichcoverthesamplespace ofX. These cells,which

are labeled bycoordinatescorresponding

to theintervals, are used when findingthe propertiesof the

samplingplan.

2.1 Estimators

In the Appendix (Section 8), stratifiedsampling

and Latin hypercubesampling are examined and

T(Y,,,

YN)= (1/N)

it=l

g(Yi),

whereg( ) = arbitraryfunction.

The threesamplingplans werecomparedusingthe

SOLA-PLOOP computercode withN = 16. Firsta

randomsample consistingof 16 values of X = (X1,

X2, X3, X,) was selected,enteredas inputs,and 16

graphsof Y(t) wereobservedas outputs.These output values wereused in the estimators.

For the stratifiedsamplingmethod the range of

each inputvariable was divided at the median into

two partsof equal probability.The combinationsof

rangesthusformedproduced24 = 16 strataSi. One

observationwas obtainedat randomfromeach Si as

input,and the resultingoutputswereused to obtain

the estimates.

To obtaintheLatin hypercubesampletherangeof

each inputvariableXi was stratified

into 16 intervals

of equal probability,and one observationwas drawn

at randomfromeach interval.These 16 valuesforthe

4 inputvariableswerematchedat randomto form16

inputs,and thus 16 outputsfromthecode.

The entireprocessof samplingand estimatingfor

the threeselectionmethodswas repeated50 timesin

order to get some idea of the accuracies and precisions involved.The totalcomputertimespentin running the SOLA-PLOOP code in this study was 7

hours on a CDC-6600. Some of the standarddevia-

TECHNOMETRICS

?, VOL.21, NO. 2, MAY1979

This content downloaded from 161.139.102.11 on Wed, 28 Oct 2015 16:25:27 UTC

All use subject to JSTOR Terms and Conditions

withthetheoretical results.These occasional discrepanciesare believed to arise from the non-independenceof the

estimatorsover timeand the small sample sizes.

3.

140-0 -

0

I-

V)

L&J

L.a

can be measuredby thesize of itsvariance.For each

samplingmethod,the estimatorof E(Y(t)) is of the

form

Y(t) = (1/N)

i=

1, ...,N.

(1/N2)

X

=1

(u -,)2

1/(NK(N-

1)K)) y

(A,l M)(uj - A)

(3.2)

whereu = E(Y(t)),

Iji = E(Y(t) I X G Si) in thestratified

sample,or

it = E(Y(t) | X E cell i) in the Latin hypercube

sample,

and R means the restrictedspace of all pairsAu,,j

havingno cell coordinatesin common.

For the SOLA-PLOOP computercode the means

and standard deviations,based on 50 observations,

were computed for the estimatorsjust described.

Comparativeplotsofthemeansaregivenin Figure 1.

All of theplotsof themeansare comparable,demonstratingthe unbiasednessof the estimators.

Comparative plots of the standarddeviationsof

the estimatorsare given in Figure 2. The standard

deviation of Ys(t) is_smallerthan that of YR(t) as

expected.However,YL(t) clearlydemonstratessuperiorityas an estimatorin thisexample,witha standard deviationroughlyone-forththatof therandom

samplingestimator.

..................

STRAT D

..........

LATM

----

100-0 -

80'0 -

Ll

60-0 -

40-0

0-0

5.0

10

t50

TIME

20-0

i=l

(4.1)

E(S2(t)) = Var(Y(t))- Var(Y(t)),

(4.2)

In the case of therandomsample,it is well known

that N S2R/(N- 1) is an unbiased estimatorof the

varianceof Y(t). The bias in thecase of thestratified

sample is unknown.However,because Var(Ys(t)) <

Var(YR(t)),

(1 - 1/N) Var(Y(t)) < E(S,2(t)) < Var(Y(t)). (4.3)

The bias in the Latin hypercubeplan is also unknown,but for the SOLA-PLOOP example it was

small.Variancesfortheseestimatorswerenotfound.

Again using the SOLA-PLOOP example, means

and standarddeviations(based on 50 observations)

werecomputed.The meanplotsare givenin Figure3.

They indicatethatall threeestimatorsare in relative

agreementconcerningthequantitiestheyare estimating.In termsofstandarddeviationsoftheestimators,

Figure 4 shows that, although stratifiedsampling

yieldsabout thesame precisionas does randomsam2-5 RANDOM

2-0 -

STRATIED

LAT IIN

I-

1-5-

L&.

0

1-0 -

"\

v)

0-5-

0-0

4.

IRANDOM

and L(t).

sample,the X1 comes

fromstratumSi, Pi = 1/N and n1= 1. For theLatin

hypercubesample,the Xi is obtainedin the manner

describedearlier.Each ofthethreeestimatorsYR,Ys,

and YL is an unbiased estimatorof E(Y(t)). The

variancesof the estimatorsare givenin (3.2):

Var(Ys(t)) = Var(YR(t))-

120-0 -

(3.1)

i=1

where

Y(t) = h(Xi),

X Yt(t)

241

\

.

~~'~_..

.::....::::>:'.......................

.

/

---..

0.0

Io

5-0

-_

1o

10.0

TIME

15

15-0

I2

20-0

Ys(t), and YL(t).

All use subject to JSTOR Terms and Conditions

242

150-0-

1.0

RAOM

I-.

4c

2

100-0 -

STRATFID

LATIN

4

I-

V)

V)

L,d

LAJ

LL.

LL.

500 -

RANDO

STRATFIED

...............

-----

0-6

0-4

4c

2

0-0

LATIN

I-

L&J

10.0

5-O

0-0

15.0

0-2

20-0

TIME

thevariance:thesamplemeanofSR2(t),

FIGURE 3. Estimating

PRESSURE

Gs(y, t), and GL(Y, t) at t = 1.4.

Var(Gs(y,t)) = Var(GR(y,t))

N

-(1/N2)

G(y,t) = (l/N)

i=1

u(y - Y (t)),

90-0

=-1

Var(GL(y,t)) = Var(GR(y,t))

+((N - 1)/N

(5.1)

equation (5.1) is of the formof the estimatorsin

Section 2.1, the expectedvalue of G(y, t) underthe

threesamplingplans is the same, and underrandom

sampling,the expectedvalue of G(y, t) is D(y, t).

The variancesof the threeestimatorsare givenin

(5.2). Di again refersto eitherstratumi or cell i, as

appropriate,and R representsthe same restricted

space as it did in (3.2).

Var(GR(y,t)) = (1/N) D(y, t)(l - D(y, t))

80-0

FIGURE 5. Estimating

theCDF: thesamplemeanof GR(, t),

funcmaybe estimatedby theempiricaldistribution

functioncan be writtion.The empiricaldistribution

ten as

700

1/NK(N- 1)K) C

(Dt'(, t)

(5.2)

As withthecases of themean and varianceestimators,the distributionfunctionestimatorswere compared forthe threesamplingplans. Figures 5 and 6

givethemeansand standarddeviationsoftheestimators at t = 1.4 ms. This time point was chosen to

correspondto the timeof maximumvariancein the

distributionof Y(t). Again the estimatesobtained

froma Latin hypercubesample appear to be more

precise in general than the othertwo typesof estimates.

50.0 -

0

2

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LAJ

0

vi

C)

40-0 -

RANOM

RANDOM

..................

STRATIFIED

STRAT

---------

LATIN

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LATIN

30-0 -

I \

I

I

20-0 -

0-10-

ILiJ

\\

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V/)

10-0 -

'.0 Irl

Ul

0*0

5-0

10-0

TIME

15*0

20-0

0-00

20-0 30-0

40-0

50-0

600

PRESSURE

700

80-0

900

t), Gs(y, t), and GL(Y, t) at t = 1.4.

All use subject to JSTOR Terms and Conditions

243

6. DISCUSSION AND CONCLUSIONS

We have presentedthreesamplingplans and associated estimatorsof the mean, the variance,and the

population distributionfunctionof the output of a

computercode whentheinputsare treatedas random

variables. The firstmethod is simple random sampling. The second method involves stratifiedsamplingand improvesupon thefirstmethod.The third

methodis called hereLatin hypercubesampling.It is

an extensionof quota sampling[13], and it is a first

cousin to the "random balance" designdiscussedby

Satterthwaite[12], Budne [2], Youden, et al [15],

factoAnscombe[1], and to the highlyfractionalized

rial designsdiscussedby Enrenfeldand Zacks [5, 6],

Dempster [3, 4], and Zacks [16, 17], and to lattice

sampling as discussed by Jessen [9]. This third

method improves upon simple random sampling

when certain monotonicityconditionshold, and it

appears to be a good method to use for selecting

values of inputvariables.

7. ACKNOWLEDGMENTS

for his continuingsupportand encouragement.We

also thankour colleagues LarryBruckner,Ben Duran,C. Phive,and Tom Boullion fortheirdiscussions

concerningvariousaspectsof theproblem,and Dave

Whitemanforassistancewiththe computer.

This paper was preparedunderthe supportof the

AnalysisDevelopmentBranch,Division of Reactor

SafetyResearch,Nuclear RegulatoryCommission.

8. APPENDIX

In thesectionsthatfollowwe presentsomegeneral

resultsabout stratified

samplingand Latin hypercube

samplingin orderto make comparisonswithsimple

randomsampling.We move fromthegeneralcase of

stratified

samplingto stratified

samplingwithproportional allocation, and then to proportionalallocationswithone observationper stratum.We examine

Latin hypercubesampling for the equal marginal

probabilitystratacase only.

8.1

TypeI Estimators

probabilitydensityfunction(pdf)f(x) forx C S. Let

of X givenby

Y denote a univariatetransformation

Y = h(X). In the contextof this paper we assume

X - f(x), x E S

Y = h(X)

KNOWNpdf

UNKNOWN butobservable

transformation

ofX.

the form

T(u,,

, UN)=

(1/N) J g(U,),

t-=

(8.1)

whereg(. ) is an arbitrary,

knownfunction.In particular we use g(u) = ur to estimatemoments,and g(u)

= 1 foru > 0, = 0 elsewhere,to estimatethedistribution function.

The samplingschemes describedin the following

sectionswill be comparedto random samplingwith

respectto T. The symbolTR denotesT(Y1, .* , YN)

whenthe argumentsY,, ** , YNconstitutea random

sample of Y. The mean and variance of TR are denoted by T and 02/N. The statisticT givenby (8.1)

will be evaluatedat argumentsarisingfromstratified

samplingto formTs, and at argumentsarisingfrom

Latin hypercubesamplingto formTL. The associated

means and varianceswill be compared to those for

randomsampling.

8.2 StratifiedSampling

Let the rangespace, S, of X be partitionedintoI

disjointsubsetsSi of size pi = P(X e St), with

t=l

pt = 1.

stratumSt. That is, letXj - iidf(x)/pi,j = 1, . * , ni,

forx e Si, but withzero densityelsewhere.The correspondingvalues of Y are denotedby Yj = h(X(j), and

thestratameansand variancesofg(Y) are denotedby

A, = E(g(Yij)) = fg(y)(1/pt)f(x)d

s

I

Ts= ?

t=l

nt

(pt/ni)

J=l

g(Yj),

givenby

Var(Ts) =

] (p,2/ni)a,2.

t=1

(8.2)

Allocation.If

Stratified

SamplingwithProportional

the probabilitysizes,pi, of the strataand the sample

sizes, ni, are chosen so that ni = piN, proportional

allocationis achieved.In thiscase (8.2) becomes

Var(Ts) = Var(TR) - (/N)

"pt(,t-rT)2. (8.3)

t=1

overrandom

sampling,and thatthe variancereductionis a function of the differences

betweenthe stratameans A,

and theoverall mean r.

TECHNOMETRICS

?, VOL.21, NO. 2, MAY1979

All use subject to JSTOR Terms and Conditions

244

plan whichemployssubsampling,

ni > 1, can be improvedby furtherstratification.

When all ni = 1, (8.3) becomes

Var(Ts) = Var(TR) - (/N)

2. If w, and wj correspondto cells havingno cell

coordinatesin common,then

E(wiw,) = E(w,wj w = O)P(wj = 0)

N

1=1

(8.4)

-)2.

+ E(wilwJw= l)P(w = 1)

In stratified

samplingtherangespace S of X can be

arbitrarily

partitionedto formstrata.In Latin hypercube sampling the partitionsare constructedin a

specificmannerusingpartitionsof therangesof each

component of X. We will only consider the case

wherethe componentsof X are independent.

Let therangesof each oftheK componentsofX be

partitionedinto N intervalsof probablititysize 1/N.

The Cartesianproductof theseintervalspartitionsS

into NK cells each of probabilitysize N-K. Each cell

can be labeled by a set ofK cellcoordinatesmi =(mil,

mi2, .' , msK)wheremij is the intervalnumberof

componentXJrepresentedin cell i. A Latin hypercube sample of size N is obtained froma random

selectionN of thecells m,, **, mN,withthe condition thatforeach j the set {mij}l_N is a permutation

of the integers1, .. , N. One random observation

is made in each cell. The densityfunctionof X given

X e cell i is NKf(X) if x E cell i, zero otherwise.The

of Yi(t) is easmarginal(unconditional)distribution

ily seen to be the same as thatfora randomlydrawn

X as follows:

P(Y < y) =

all oells q

-= Zcell

q

h(x) Sy

NKf(X)d

cell q)

E(wfwj) = 0.

Now

Var(w(g(Yl)) = E(W,2) Var g(Y,)

+ E2(g(Y,)) Var(w,)

NK

C Var(wg(Y1))

NK

N-K+1

E(g(Y,)-#,)2

NK

+ (N-K+

A2

1-N-N+2K)

(8.8)

1=1

E(g(Y,)-t)2

= NK fcel

I (g(y)-rT)f(x)dx

(.t-- r)2

(8.9)

we have

X Var(wg(Yi)) = N Var(Y) I

N-K+l

(-

i #,2

Tr)2

(8.10)

Furthermore

To arrive at a formfor the variance of TL we

introduceindicatorvariableswt,with

ifcell i is in thesample

ifnot.

NK

NK

/=1

J=l

i,6

Cov(wg(rY), wg(rY)) = ?,

uiE{wwiw}

iJ

(8.11)

iAj

N-2K+2CZ

i?i

whichcombineswith(8.10) to give

Var(TL) = (l/N)Var(Y)

- N-K-1

NK

/=1

wfg(Yi),

(8.5)

givenby

- N-2K)

+ (N-

I)-K+lNK -'X

NK

t=l

-N- 2KF

NK NK

?c Cov(wtg(Yy),wg(Y,)).

i=1 J=1

Jfi

(8.6)

+ (N-K

+ (1/N2)

(8.7)

so that

+ (N-K+l-N-2K+2)

h(X)<y

TL = (1/N)

1))K--1

one commoncell coordinate,then

(l/NK)

f(x)dx.

= 1/(N(N-

tij

Mi,I

(i

T)2

#,2

Mi

(8.12)

pairs (uI,,j) correspondingto cells having no cell

coordinates in common. After some algebra, and

TECHNOMETRICS

?, VOL.21, NO. 2, MAY1979

All use subject to JSTOR Terms and Conditions

equation

UsingHoeffding's

Cov(X,Y) =

*

R

)-K

(i-rT)(Lj-r)

< 0,

(8.14)

betweencells havingno cell coordinatesin common

is negative.A sufficient

conditionfor(8.14) to hold is

theorem.

the

following

givenby

THEOREM. If Y = h(X1,??, XK) is monotonicin

each of its arguments,and if g(Y) is a monotonic

functionof Y, thenVar(TL) < Var(TR).

PROOF. The proof employs a theoremby Lehmann [10]. Two functionsr(x,, * * , XK) and s(y,, * .,

YK) are said to be concordantin each argumentif r

and s eitherincreaseor decrease togetheras a functionofxi = yi,withall xj,j # i and yj,j #i heldfixed,

foreach i. Also, a pair ofrandomvariables(X, Y) are

ifP(X < x, Y

said to be negatively

quadrantdependent

< y) < P(X < x)P(Y < y) forall x, y. Lehmann's

theoremstatesthatif(i) (X,, Y1),(X2, Y2), .* , (XK,

YK) are independent,(ii) (Xi, Yi) is negativelyquadrantdependentforall i, and (iii) X = r(X, . .., XK)

and Y = s(Y1, .. , YK) are concordantin each argument,then(X, Y) is negativelyquadrantdependent.

We earlierdescribeda stage-wiseprocessforselecting cells fora Latin hypercubesample,wherea cell

was labeled bycell coordinatesmi, ?? , inK.Two cells

(11, ** , IK) and (ml,

two integers(R,,, R21)withoutreplacementfromthe

firstN integers1, .* , N. Let 11= R,, and m, = R21.

Repeat the procedureto obtain (R12,R22),(R13,R23),

'* , (R1K, R2K) and let Ik =

Rlk

(8.13)

(i-T)(j-Tr)].

N-K(N - 1)-K

245

M fork = 1,

* *, K.

Note that the pairs (Rlk,R2k), k = 1, .. , K, are

mutuallyindependent.Also note thatbecause P(Rlk

< x, R2k< y) = [xy- min(x,y)]/(n(n- 1)) < P(Rlk

< x)P(R2k < y), where [ ] representsthe "greateach pair(R1k,R2k)is negatively

estinteger"function,

quadrantdependent.

Let ,1 be theexpectedvalue ofg(Y) withinthecell

IK), and let #2 be similarily

designated by (1, . .,

defined for (ml, .., mK). Then 1i = #(R,1,R12, . .,

RIK) and #2= A(R21,R22, .** , R2K) are concordant in

each argumentunder the assumptionsof the theorem. Lehmann's theoremthenyields thatAl and g2

are negativelyquadrantdependent.Therefore,

P(,l < x, ,2 < y) < P(jU < X)P(,

< y).

0. Since Var(TL) = Var(TR) + (N - l)/NCov(L1,42),

the theoremis proved.

Since g(t) as used in both Sections 3 and 5 is an

increasingfunctionoft,we can say thatifY = h(X) is

Latin

a monotonicfunctionof each of itsarguments,

random

is

than

better

sampling

hypercubesampling

forestimatingthe mean and the populationdistribution function.

REFERENCES

[1] ANSCOMBE, F. J. (1959). Quick analysismethodsforrandom balance screeningexperiments.Technometrics,

1, 195209.

[2] BUDNE, T. A. (1959). The applicationof randombalance

1, 139-155.

designs.Technometrics,

[3] DEMPSTER, A. P. (1960). Random allocationdesignsI: On

generalclasses of estimationmethods.Ann. Math. Statist.,

31, 885-905.

[4] DEMPSTER, A. P. (1961). Random allocation designsII:

Approximate theory for simple random allocation. Ann.

Math. Statist.,32, 387-405.

[5] EHRENFELD, S., and ZACKS, S. (1951). Randomization

Ann. Math. Statist.,32, 270-297.

and factorialexperiments.

[6] EHRENFELD, S., and ZACKS, S. (1967). TestinghypotheAnn.Math. Statist.,

ses in randomizedfactorialexperiments.

38, 1494-1507.

[7] HIRT, C. W., NICHOLS, B. D., and ROMERO, N. C.

(1975). SOLA-a numericalsolutionalgorithmfortransient

fluid flows. Los Alamos ScientificLaboratoryReport LA5852, Los Alamos.

[8] HIRT, C. W., and ROMERO, N. C. (1975). Applicationofa

drift-flux

model to flashingin straightpipes. Los Alamos

ScientificLaboratoryReportLA-6005-MS, Los Alamos.

[9] JESSEN, RAYMOND J. (1975). Square and cubic lattice

sampling.Biometrics,31, 449-471.

[10] LEHMANN, E. L. (1966). Some concepts of dependence.

Ann. Math. Statist.,35, 1137-1153.

[11] RAJ,DES. (1968). SamplingTheory,pp. 206-209.New York:

McGraw-Hill.

[12] SATTERTHWAITE, F. E. (1959). Random balance experimentation.Technometrics,

1, 111-137.

[13] STEINBERG, H. A. (1963). Generalized quota sampling.

Nuc. Sci. and Engr.,15, 142-145.

[14] TOCHER, K. D. (1963). TheArtofSimulation.pp. 106-107.

Princeton,N.J.: D. Van Nostrand.

[15] YOUDEN, W. J., KEMPTHORNE, O., TUKEY, J. W.,

BOX, G. E. P., and HUNTER, J.S. (1959). Discussion ofthe

and Budne. Technometrics,

1,

papersof Messrs.Satterthwaite

157-193.

[16] ZACKS, S. (1963). On a completeclass of linear unbiased

estimatorsforrandomizedfactorialexperiments.

Ann.Math.

Statist.,34, 769-779.

[17] ZACKS, S. (1964). Generalizedleast squares estimatorsfor

randomizedfractionalreplicationdesigns.Ann. Math. Statist.,35, 696-704.

All use subject to JSTOR Terms and Conditions

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