Generalized Latin Hypercube Design for Computer Experiments

Abstract

Space filling designs, which satisfy a uniformity property, are widely used in computer experiments. In the present paper, the performance of nonuniform experimental designs, which locate more points in a neighborhood of the boundary of the design space, is investigated. These designs are obtained by a quantile transformation of the one-dimensional projections of commonly used space-filling designs. This transformation is motivated by logarithmic potential theory, which yields the arc-sine measure as an equilibrium distribution. The methodology is illustrated for maximin Latin hypercube designs by several examples. In particular, it is demonstrated that the new designs yield a smaller integrated mean squared error for prediction.

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