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PSR-0394 LHS.

LHS, Multivariate Sample Generator by Latin Hypercube Sampling

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1. NAME OR DESIGNATION OF PROGRAM:  LHS.
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2. COMPUTERS
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Program name Package id Status Status date
LHS PSR-0394/01 Arrived 06-MAY-2002
LHS PSR-0394/02 Arrived 06-MAY-2002

Machines used:

Package ID Orig. computer Test computer
PSR-0394/01 PC-80486
PSR-0394/02 SUN SPARC
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3. DESCRIPTION OF PROGRAM OR FUNCTION

LHS was written for the generation of multi variate samples either completely at random or by a constrained randomization termed Latin hypercube sampling (LHS).
The generation of these samples is based on user-specified parameters which dictate the characteristics of the generated samples, such as type of sample (LHS or random), sample size, number of samples desired, correlation structure on input variables, and type of distribution specified on each variable. The following distributions are built into the program: normal, lognormal, uniform, loguniform, triangular, and beta. In addition, the samples from the uniform and loguniform distributions may be modified by changing the frequency of the sampling within subintervals, and a subroutine which can be modified by the user to generate samples from other distributions (including empirical data) is provided.
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4. METHODS

The Latin hypercube technique employs a constrained sampling scheme, whereas random sampling corresponds to a simple Monte Carlo technique. The actual sampled values are used to form vectors of variables commonly used as input to computer models for sensitivity and uncertainty analyses studies.
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5. RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM

Maxima of 1000 observations, 50 variables, 50 pairs of correlated variables, and 50 subintervals in the uniform and loguniform distributions. These restrictions are implemented through the FORTRAN 77 PARAMETER statement.
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6. TYPICAL RUNNING TIME

Sample problems executed on the SUN ULTRASPARC 60 and the Pentium II 266 Mhz in less than 1 second.
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7. UNUSUAL FEATURES
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8. RELATED OR AUXILIARY PROGRAMS
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9. STATUS
Package ID Status date Status
PSR-0394/01 06-MAY-2002 Masterfiled Arrived
PSR-0394/02 06-MAY-2002 Masterfiled Arrived
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10. REFERENCES

-  R. L. Iman, J. M. Davenport, and D. K. Zeigler:
   "Latin Hypercube Sampling (Program User's Guide)," SAND79-1473
   (January 1980).
PSR-0394/01, included references:
- R.L. Iman and M.J. Shortencarier:
A FORTRAN77 Program and User's Guide for the Generation of Latin Hypercube
and Random Smaples for Use with Computer Models
NUREG/CR-3624 (SAND83-2365) (March 1984)
PSR-0394/02, included references:
- R.L. Iman and M.J. Shortencarier:
A FORTRAN77 Program and User's Guide for the Generation of Latin Hypercube
and Random Smaples for Use with Computer Models
NUREG/CR-3624 (SAND83-2365) (March 1984)
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11. HARDWARE REQUIREMENTS

VAX: 500,000 Kbytes virtual memory are required for execution.
PC 486: w/16 MB RAM.
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12. PROGRAMMING LANGUAGE(S) USED
Package ID Computer language
PSR-0394/01 FORTRAN-77
PSR-0394/02 FORTRAN-77
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13. SOFTWARE REQUIREMENTS

VAX:VMS 4.3; VMS 4.5; SPARC: SUN OS 5.6; PC486:Windows 95/NT. The PC executable included in the package was created with Digital Visual Fortran 5.0.
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14. OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS
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15. NAME AND ESTABLISHMENT OF AUTHORS

Contributed by: Radiation Safety Information Computational Center
                Oak Ridge National Laboratory
                Oak Ridge, Tennessee, USA
Developed:      Sandia National Laboratories, Albuquerque, New Mexico, USA
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16. MATERIAL AVAILABLE
PSR-0394/01
README.TXT Installation instructions
LHS_PC.EXE Self-extracting file

PSR-0394/02
README.TXT Installation instructions
LHS.TAR Self-extracting TAR file
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17. CATEGORIES
  • P. General Mathematical and Computing System Routines

Keywords: Monte Carlo method, multivariate analysis, randomness, sampling, statistics.