Prof. Peter Qian : Nested Latin Hypercube Designs

Posted by , part of the Statistics and Data Science Seminar.

At

Nov. 4, 2009, 3 p.m.

In

SEO 636

Abstract

We introduce a new type of design, called nested Latin hypercube design, for sequential integration and multi-fidelity computer modeling. A nested Latin hypercube design is defined to be a special Latin hypercube design that contains a smaller Latin hypercube design as a subset. Such designs are constructed by exploiting nested structures in random permutations. The constructed designs are also useful for solving stochastic optimization problems, including stochastic programs, the Monte Carlo EM algorithm and chance-constraint problems.