/usr/include/openturns/swig/LHS_doc.i is in libopenturns-dev 1.7-3.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 | %feature("docstring") OT::LHS
"Latin Hypercube Sampling (LHS) method.
Available constructors:
LHS(*event=ot.Event()*)
Parameters
----------
event : :class:`~openturns.Event`
Event we are computing the probability of.
Notes
-----
Using the probability distribution of a random vector :math:`\\\\vect{X}`, we seek
to evaluate the following probability:
.. math::
P_f = \\\\int_{\\\\Rset^{n_X}} \\\\mathbf{1}_{\\\\{g(\\\\ux,\\\\underline{d}) \\\\leq 0 \\\\}}f_{\\\\uX}(\\\\ux)d\\\\ux
= \\\\Prob{g\\\\left( \\\\vect{X},\\\\vect{d} \\\\right) \\\\leq 0}
Here, :math:`\\\\vect{X}` is a random vector, :math:`\\\\vect{d}` a deterministic
vector, :math:`g(\\\\vect{X},\\\\vect{d})` the function known as *limit state function*
which enables the definition of the event
:math:`\\\\cD_f = \\\\{\\\\vect{X} \\\\in \\\\Rset^n \\\\, | \\\\, g(\\\\vect{X},\\\\vect{d}) \\\\le 0\\\\}`.
:math:`\\\\mathbf{1}_{ \\\\left\\\\{ g(\\\\vect{x}_i,\\\\vect{d}) \\\\leq 0 \\\\right\\\\} }`
describes the indicator function equal to 1 if
:math:`g(\\\\vect{x}_i,\\\\vect{d}) \\\\leq 0` and equal to 0 otherwise.
LHS or Latin Hypercube Sampling is a sampling method enabling to better cover
the domain of variations of the input variables, thanks to a stratified
sampling strategy. This method is applicable in the case of independent input
variables. The sampling procedure is based on dividing the range of each
variable into several intervals of equal probability. The sampling is
undertaken as follows:
- Step 1: The range of each input variable is stratified into isoprobabilistic
cells,
- Step 2: A cell is uniformly chosen among all the available cells,
- Step 3: The random number is obtained by inverting the Cumulative Density
Function locally in the chosen cell,
- Step 4: All the cells having a common strate with the previous cell are put
apart from the list of available cells.
The estimator of the probability of failure with LHS is given by:
.. math::
\\\\widehat{P}_{f,LHS} = \\\\frac{1}{N}
\\\\sum_{i=1}^N \\\\mathbf{1}_{\\\\{g(\\\\uX^i,\\\\vect{d}) \\\\leq 0 \\\\}}
where the sample of :math:`\\\\{ \\\\uX^i,i=1 \\\\hdots N \\\\}` is obtained as described
previously.
Examples
--------
>>> import openturns as ot
>>> ot.RandomGenerator.SetSeed(0)
>>> myFunction = ot.NumericalMathFunction(['E', 'F', 'L', 'I'], ['d'], ['-F*L^3/(3*E*I)'])
>>> myDistribution = ot.Normal([50., 1., 10., 5.], [1.]*4, ot.IdentityMatrix(4))
>>> # We create a 'usual' RandomVector from the Distribution
>>> vect = ot.RandomVector(myDistribution)
>>> # We create a composite random vector
>>> output = ot.RandomVector(myFunction, vect)
>>> # We create an Event from this RandomVector
>>> myEvent = ot.Event(output, ot.Less(), -3.0)
>>> # We create a LHS algorithm
>>> myAlgo = ot.LHS(myEvent)
>>> myAlgo.setMaximumOuterSampling(250)
>>> myAlgo.setBlockSize(4)
>>> myAlgo.setMaximumCoefficientOfVariation(0.1)
>>> # Perform the simulation
>>> myAlgo.run()
>>> print('Probability estimate=%.6f' % myAlgo.getResult().getProbabilityEstimate())
Probability estimate=0.135572"
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