Biometrika Advance Access originally published online on September 22, 2009
Biometrika 2009 96(4):957-970; doi:10.1093/biomet/asp045
Article |
Nested Latin hypercube designs
Department of Statistics, University of Wisconsin–Madison, Wisconsin 53706, U.S.A. peterq{at}stat.wisc.edu
Received for publication 1 June 2008. Revision received 1 March 2009.
We propose an approach to constructing nested Latin hypercube designs. Such designs are useful for conducting multiple computer experiments with different levels of accuracy. A nested Latin hypercube design with two layers is defined to be a special Latin hypercube design that contains a smaller Latin hypercube design as a subset. Our method is easy to implement and can accommodate any number of factors. We also extend this method to construct nested Latin hypercube designs with more than two layers. Illustrative examples are given. Some statistical properties of the constructed designs are derived.
Key Words: Computer experiment • Design of experiment • Latin hypercube design • Linking parameter • Multi-fidelity computer model • Sequential evaluation • Space-filling design
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