Comparison of pure and 'Latinized' centroidal Voronoi tessellation against various other statistical sampling methods

摘要

A recently developed centroidal Voronoi tessellation (CVT) sampling method is investigated here to assess its suitability for use in statistical sampling applications. CVT efficiently generates a highly uniform distribution of sample points over arbitrarily shaped M-dimensional parameter spaces. On several 2-D test problems CVT has recently been found to provide exceedingly effective and efficient point distributions for response surface generation. Additionally, for statistical function integration and estimation of response statistics associated with uniformly distributed random-variable inputs (uncorrelated), CVT has been found in initial investigations to provide superior points sets when compared against latin-hypercube and simple-random Monte Carlo methods and Halton and Hammersley quasi-random sequence methods. In this paper, the performance of all these sampling methods and a new variant ("Latinized" CVT) are further compared for non-uniform input distributions. Specifically, given uncorrelated normal inputs in a 2-D test problem, statistical sampling efficiencies are compared for resolving various statistics of response: mean, variance, and exceedence probabilities.