Generally, Latin hypercubes are drawn in a way that makes the marginal distributions for the uniform Latin hypercube and transformed Latin hypercube independent. In some cases researches want to use Latin hypercubes to study problem areas where the marginal distributions are correlated or come from a multivariate distribution.

There are a variety of methods to create such a Latin hypercube. The method used in this package is to draw and transform an uncorrelated hypercube and then use the columnwise-pairwise algorithm to adjust to a set of pre-defined conditions. A set of predefined conditions are not always achievable.

Example 1: Simple Correlation

Assumptions:

  • \(X_1 \sim uniform(2, 4)\)
  • \(X_2 \sim Normal(1, 3)\)
  • \(X_3 \sim Exponential(3)\)
  • \(X_4 \sim LogNormal(1, 1)\)
  • \(cor(x_1, x_2) = 0.3\)
  • \(cor(x_3, x_4) = 0.5\)
lhs_A <- correlatedLHS(lhs::randomLHS(30, 4),
                       marginal_transform_function = function(W, ...) {
                         W[,1] <- qunif(W[,1], 2, 4)
                         W[,2] <- qnorm(W[,2], 1, 3)
                         W[,3] <- qexp(W[,3], 3)
                         W[,4] <- qlnorm(W[,4], 1, 1)
                         return(W)
                       },
                       cost_function = function(W, ...) {
                         (cor(W[,1], W[,2]) - 0.3)^2 + (cor(W[,3], W[,4]) - 0.5)^2
                       },
                       debug = FALSE, maxiter = 1000)

Check that the desired correlations were created:

cor(lhs_A$transformed_lhs[,1:2])[1,2]
#> [1] 0.300014
cor(lhs_A$transformed_lhs[,3:4])[1,2]
#> [1] 0.4999289

Example 2: Dirichlet distribution

Assume that we want \(X\) to be Dirichlet distributed with \(\alpha = 4,3,2,1\)

Therefore the margins of the Dirichlet are:

  • \(X_1 ~ beta(4, 10-4)\)
  • \(X_2 ~ beta(3, 10-3)\)
  • \(X_3 ~ beta(2, 10-2)\)
  • \(X_4 ~ beta(1, 10-1)\)

Method 1: correlatedLHS

lhs_B <- correlatedLHS(lhs::randomLHS(30, 4),
                       marginal_transform_function = function(W, ...) {
                         W[,1] <- qbeta(W[,1], 4, 6)
                         W[,2] <- qbeta(W[,2], 3, 7)
                         W[,3] <- qbeta(W[,3], 2, 8)
                         W[,4] <- qbeta(W[,4], 1, 9)
                         return(W)
                       },
                       cost_function = function(W, ...) {
                         sum((apply(W, 1, sum) - 1)^2)
                       },
                       debug = FALSE,
                       maxiter = 1000)

Check properties

range(apply(lhs_B$transformed_lhs, 1, sum)) # close to 1
#> [1] 0.9711814 1.1036998
apply(lhs_B$transformed_lhs, 2, mean) # close to 4/10, 3/10, 2/10, 1/10
#> [1] 0.40112406 0.29789676 0.19805637 0.09960962

Method 2: q_dirichlet

lhs_B <- lhs::qdirichlet(lhs::randomLHS(30, 4), c(4,3,2,1))

Check properties

all(abs(apply(lhs_B, 1, sum) - 1) < 1E-9) # all exactly 1
#> [1] TRUE
apply(lhs_B, 2, mean) # close to 4/10, 3/10, 2/10, 1/10
#> [1] 0.39600968 0.30673110 0.20180114 0.09545808

Example 3: Rejection Sample

Assumptions:

  • \(X_1 \sim uniform(1, 4)\)
  • \(X_2 \sim uniform(10^{-6}, 2)\)
  • \(X_3 \sim uniform(2, 6)\)
  • \(X_4 \sim uniform(10^{-6}, 0.1)\)
  • \(lower < \prod_{i=1}^4 X_i < upper\)

First build an empirical sample using rejection sampling

set.seed(3803)
N <- 100000

reject_samp <- data.frame(
  v1 = runif(N, 1, 4),
  v2 = runif(N, 1E-6, 2),
  v3 = runif(N, 2, 6),
  v4 = runif(N, 1E-6, 0.1)
)

p <- with(reject_samp, v1*v2*v3*v4)
ind <- which(p < 1 & p > 0.3)
reject_samp <- reject_samp[ind,]

Now build the correlated sample using the reject sample as an empirical distribution function and the boundaries as a cost function.

lhs_C <- correlatedLHS(lhs::randomLHS(30, 4),
                       marginal_transform_function = function(W, empirical_sample, ...) {
                         res <- W
                         for (i in 1:ncol(W)) {
                           res[,i] <- quantile(empirical_sample[,i], probs = W[,i])
                         }
                         return(res)
                       },
                       cost_function = function(W, ...) {
                         p <- W[,1]*W[,2]*W[,3]*W[,4]
                         pp <- length(which(p > 0.3 & p < 1)) / nrow(W)
                         return(1-pp)
                       },
                       debug = FALSE,
                       maxiter = 10000,
                       empirical_sample = reject_samp)