Orthogonal Array-Based Latin Hypercubes

Abstract

Abstract In this article, we use orthogonal arrays (OA's) to construct Latin hypercubes. Besides preserving the univariate stratification properties of Latin hypercubes, these strength r OA-based Latin hypercubes also stratify each r-dimensional margin. Therefore, such OA-based Latin hypercubes provide more suitable designs for computer experiments and numerical integration than do general Latin hypercubes. We prove that when used for integration, the sampling scheme with OA-based Latin hypercubes offers a substantial improvement over Latin hypercube sampling.