AISTLEITNER, CHRISTOPH; HOFER, MARKUS; TICHY, ROBERT - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250046-1
We consider the problem of estimating 𝔼[f(U1, …, Ud)], where (U1, …, Ud) denotes a random vector with uniformly distributed marginals. In general, Latin hypercube sampling (LHS) is a powerful tool for solving this kind of high-dimensional numerical integration problem. In the case of...