Author Topic: correlation between RVs in LHS method  (Read 96 times)

azing

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correlation between RVs in LHS method
« on: April 17, 2021, 03:45:35 AM »
In the current version, are the RVs uncorrelated? Does the shuffling approach in the current LHS sampling method configured in a way to prevent spurious correlations between RVs?

AakashBS

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Re: correlation between RVs in LHS method
« Reply #1 on: April 19, 2021, 09:51:17 PM »
Yes, in the current version, the RVs are uncorrelated. And the samples of each RV are combined in the shuffling approach of the LHS sampling method using the "restricted pairing" mode to force near-zero correlations between the uncorrelated RVs.

In a future release of WE-UQ, a feature to specify a correlation matrix for the RVs will be made available.
« Last Edit: April 19, 2021, 09:59:42 PM by AakashBS »

azing

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Re: correlation between RVs in LHS method
« Reply #2 on: April 19, 2021, 10:11:39 PM »
That's great, Thank you!