pse (version 0.3.4)

LHScorcorr: Corrects the correlation matrix of a given Latin Hypercube Sample

Description

This function changes the order in which data is organized in order to force the correlation matrix to a prescribed value. This implementation uses the Hungtington-Lyrintzis algorithm.

Intended for use inside of the LHS function.

Usage

LHScorcorr(vars, COR=0, eps = 0.005, echo=FALSE, maxIt=0)

Arguments

vars

The data.frame containing the parameters from the "raw" Latin Hypercube Sample. Each column corresponds to one variable, and each line to one observation.

COR

The desired correlation matrix. The default is to have 0 correlation.

You can supply a numeric square matrix with M rows, where M is the number of input factors. The *lower* triangular part of the matrix will be used as the desired correlation

eps

The tolerance for the deviation between the prescribed correlation matrix and the result.

echo

Set to true to display information messages.

maxIt

Maximum number of iterations before giving up. Set to 0 to use a heuristic based on the size of the hypercube. Set to a negative number to never give up. *CAUTION*, this might result in an infinite loop.

Value

• A data.frame containing the same variables, but with the correlation matrix corrected.

References

Huntington, D.E. and Lyrintzis, C.S.; Improvements to and limitations of Latin hypercube sampling. Prob. Engng. Mech. 1998 13 (4): 245-253.