Hypercube Point Concentration Sampling Technique

A new sampling technique referred to as the hypercube point concentration sampling technique is proposed. This sampling technique is based on the concepts of the Latin hypercube sampling technique and the point concentration method. In the proposed technique, first, the probability density function of the random variables is replaced by a sufficiently large number of probability concentrations with magnitudes and locations determined from the moments of the random variables. In other words, the probability density function is replaced by the probability mass function determined based on the point estimate method. The probability mass function is then used with the Latin hypercube sampling technique to obtain samples. For evaluating statistics of a complicated performance function of an engineering system, the proposed technique could be more efficient than the Latin hypercube sampling technique since for a given simulation cycle the required number of evaluations of the performance function in the former is less than that in the latter. The proposed sampling technique is illustrated through numerical examples.