Why you don`t need Latin Hypercube Sampling - White Paper

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Courtesy of Vose Risk Consulting and Software

Abstract

Most risk analysis simulation software products offer Latin Hypercube Sampling (LHS). It is a method for ensuring that each probability distribution in your model is evenly sampled. The technique dates back to 1980. It was, at the time, an appealing technique because it allowed one to obtain a stable output with a much smaller number of samples than simple Monte Carlo simulation, making simulation more practical with the computing tools available at the time. However, LHS does not deserve a place in modern simulation software. In this paper we explain why.

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