Quantile estimation with Latin hypercube sampling

DOI10.1287/OPRE.2017.1637MaRDI QIDQ4602479zbMATH OpenOpenAlexFDO

Authors Hui Dong, Marvin K. Nakayama

Publication date 11 January 2018

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/892882d1d312d880fc00cd96b5d31ee5585816cf

zbMATH Keywords

efficiencyLatin hypercube sampling (LHS)reliabilitysimulationstatistical analysissystem safety

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Factorial statistical designs (62K15) Reliability and life testing (62N05) Reliability, availability, maintenance, inspection in operations research (90B25)

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Cited in

(12)

• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
• Kriging: methods and applications
• Confidence intervals for quantiles when applying variance-reduction techniques
• Selecting the best alternative based on its quantile
• A Tutorial on Quantile Estimation via Monte Carlo
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• Latin hypercube sampling with dependence and applications in finance
• A simulation-based method for estimating systemic risk measures
• Extensible grid sampling for quantile estimation
• Adaptive sequential selection procedures for optimal quantile with control variates

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