Nested Maximin Latin Hypercube Designs
CentER Discussion Paper Series No. 2009-06
21 Pages Posted: 19 Jan 2009
Date Written: January 16, 2009
In the field of design of computer experiments (DoCE), Latin hypercube designs are frequently used for the approximation and optimization of black-boxes. In certain situations, we need a special type of designs consisting of two separate designs, one being a subset of the other. These nested designs can be used to deal with training and test sets, models with different levels of accuracy, linking parameters, and sequential evaluations. In this paper, we construct nested maximin Latin hypercube designs for up to ten dimensions. We show that different types of grids should be considered when constructing nested designs and discuss how to determine which grid to use for a specific application.
To determine nested maximin designs for dimensions higher than two, four different variants of the ESE-algorithm of Jin et al. (2005) are introduced and compared. In the appendix, maximin distances for different numbers of points are provided.
Keywords: Design of computer experiments, Latin hypercube design, linking parameter, nested designs, sequential simulation, space-filling, training and test set
JEL Classification: C90
Suggested Citation: Suggested Citation