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what are the limitations of using the halton sequence for Monte Carlo sampling in high dimensions with the halton sequence? |
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what are the limitations of using the halton sequence for sampling in high dimensions?Referring to the Halton Sequence, Swiler et al 2006 state that
I can not track down the Robinson and Atcitty (1999) reference. But I am curious what the limitations are of using the Halton sequence to generate a quasi-random sample from an $n$-dimensional parameter space. I am trying to minimize the number of samples required to estimate a response surface. To do this, I have been taking ~500 to 1000 samples from a set of 15-20 parameters. How can I tell if I am having issues with uniformity with my sample - is there a simple visualization or other analysis? Are there alternative algorithms that do not have this problem? What options do I have other than reducing the dimension of parameter space or increasing the number of samples? Also, (what is and) how do I implement a "leaped sequence". If I have an $n\times m$ matrix of samples from a Halton sequence, can I just delete specific rows? Here is an example in R:
Swiler, L. P., Slepoy R., and Giunta, A. A., “Evaluation of Sampling Methods in Constructing Response Surface Approximations,” paper AIAA-2006-1827 in Proceedings of the 47th AIAA/ASME/ASCE/AHS/ASC Structures, Structural Dynamics, and Materials Conference (2nd AIAA Multidisciplinary Design Optimization Specialist Conference), Newport, Rhode Island, 2006 (pdf) Robinson, D.G. and C. Atcitty, 1999. "Comparison of Quasi- and Pseudo-Monte Carlo Sampling for Reliability and Uncertainty Analysis." Proceedings of the AIAA Probabilistic Methods Conference, St. Louis MO, AIAA99-1589.
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