Nested orthogonal array-based Latin hypercube designs

Abstract

We propose two methods for constructing a new type of design, called a nested orthogonal array-based Latin hypercube design, intended for multi-fidelity computer experiments. Such designs are two nested space-filling designs in which the large design achieves stratification in both bivariate and univariate margins and the small design achieves stratification in univariate margins. These designs have better space-filling properties than nested Latin hypercube designs in which the large design possesses uniformity in univariate margins only. The first method expands an ordinary Latin hypercube design to a larger design that achieves uniformity in any one- or two-dimensional projection. The second method uses an orthogonal array with strength two to simultaneously construct a pair of nested orthogonal array-based Latin hypercube designs. Examples are given to illustrate the proposed methods. Sampling properties of the proposed designs are derived.