SPARSE_GRID_HW
Sparse Grids for Uniform and Normal Weights
Heiss and Winschel
SPARSE_GRID_HW
is a MATLAB library which
can compute sparse grids for multidimensional integration,
based on 1D rules for the unit interval with unit weight function,
or for the real line with the GaussHermite weight function.
The original version of the code is by Florian Heiss and Viktor Winschel.
The original version of this software, and other information,
is available at
http://sparsegrids.de .
Four builtin 1D families of quadrature rules are supplied, and the
user can extend the package by supplying any family of 1D quadrature
rules.
The builtin families are identified by a 3letter key which is also
the name of the MATLAB function that returns members of the family:

gqu, standard GaussLegendre quadrature rules, for
the unit interval [0,1], with weight function w(x) = 1.

gqn, standard GaussHermite quadrature rules, for
the infinite interval (oo,+oo), with weight function
w(x) = exp(x*x/2)/sqrt(2*pi).

kpu, KronrodPatterson quadrature rules, for
the unit interval [0,1], with weight function w(x) = 1.
These sacrifice some of the precision of gqu in
order to provide a family of nested rules.

kpn, KronrodPatterson quadrature rules, for
the infinite interval (oo,+oo), with weight function
w(x) = exp(x*x/2)/sqrt(2*pi).
These sacrifice some of the precision of gqn in
order to provide a family of nested rules.
The user can build new sparse grids by supplying a 1D quadrature family.
Examples provided include:

ccu, ClenshawCurtis quadrature rules, for
the unit interval [0,1], with weight function w(x) = 1.
The Kth call returns the rule of order 1
if K is 1, and 2*(K1)+1 otherwise.

ccs, slow ClenshawCurtis quadrature rules, for
the unit interval [0,1], with weight function w(x) = 1.
The Kth call returns the rule of order 1
if K is 1, and otherwise a rule whose order N has the
form 2^E+1 and is the lowest such order with precision at least 2*K1.

glo, GaussLegendre odd quadrature rules, for
the unit interval [0,1], with weight function w(x) = 1.
The Kth call returns the rule of order 2*(K/2)+1.
Licensing:
The computer code and data files described and made available on this web page
are distributed under
the GNU LGPL license.
Languages:
SPARSE_GRID_HW is available in
a C version and
a C++ version and
a FORTRAN77 version and
a FORTRAN90 version and
a MATLAB version
Related Data and Programs:
GRID_DISPLAY,
a MATLAB library which
can display a 2D or 3D grid or sparse grid.
NINT_EXACTNESS_MIXED,
a MATLAB program which
measures the polynomial exactness of a multidimensional quadrature rule
based on a mixture of 1D quadrature rule factors.
PRODUCT_RULE,
a MATLAB program which
constructs a product quadrature rule from identical 1D factor rules.
QUADRULE,
a MATLAB library which
defines quadrature rules for various intervals and weight functions.
SANDIA_RULES,
a MATLAB library which
generates Gauss quadrature rules of various orders and types.
SANDIA_SPARSE,
a MATLAB library which
computes the points and weights of a Smolyak sparse
grid, based on a variety of 1dimensional quadrature rules.
SGMGA,
a MATLAB library which
creates sparse grids based on a mixture of 1D quadrature rules,
allowing anisotropic weights for each dimension.
SMOLPACK,
a C library which
implements Novak and Ritter's method for estimating the integral
of a function over a multidimensional hypercube using sparse grids,
by Knut Petras.
SPARSE_GRID,
a PYTHON library which
contains classes and functions defining sparse grids,
by Jochen Garcke.
SPARSE_GRID_CC,
a MATLAB library which
can define a multidimensional sparse grid based on a
1D Clenshaw Curtis rule.
SPARSE_GRID_GL,
a MATLAB library which
creates sparse grids based on GaussLegendre rules.
SPARSE_GRID_HERMITE,
a MATLAB library which
creates sparse grids based on GaussHermite rules.
SPARSE_GRID_LAGUERRE,
a MATLAB library which
creates sparse grids based on GaussLaguerre rules.
SPARSE_GRID_MIXED,
a MATLAB library which
creates a sparse grid dataset based on a mixed set of 1D factor rules.
SPINTERP,
a MATLAB library which
carries out piecewise multilinear hierarchical sparse grid interpolation;
an earlier version of this software is ACM TOMS Algorithm 847,
by Andreas Klimke;
SPQUAD,
a MATLAB library which
computes the points and weights of a sparse grid quadrature rule
for a multidimensional integral, based on the ClenshawCurtis quadrature rule,
by Greg von Winckel.
Author:
Original MATLAB code by Florian Heiss and Viktor Winschel.
Reference:

Alan Genz, Bradley Keister,
Fully symmetric interpolatory rules for multiple integrals
over infinite regions with Gaussian weight,
Journal of Computational and Applied Mathematics,
Volume 71, 1996, pages 299309.

Florian Heiss, Viktor Winschel,
Likelihood approximation by numerical integration on sparse grids,
Journal of Econometrics,
Volume 144, Number 1, May 2008, pages 6280.

Thomas Patterson,
The optimal addition of points to quadrature formulae,
Mathematics of Computation,
Volume 22, Number 104, October 1968, pages 847856.

Knut Petras,
Smolyak Cubature of Given Polynomial Degree with Few Nodes
for Increasing Dimension,
Numerische Mathematik,
Volume 93, Number 4, February 2003, pages 729753.
Source Code:

cc.m
returns one rule from the CCU family defined on [1,+1]
with unit weight, indexed by order.

cce.m
returns one rule from the CCU (ClenshawCurtis Exponential growth)
family defined on [1,+1] with unit weight,
indexed by level.

cce_order.m
computes the order of a ClenshawCurtis Exponential (CCE)
rule from the level.

ccl.m
returns one rule from the CCL (ClenshawCurtis Linear growth) family
defined on [1,+1] with unit weight, indexed by level.

ccl_order.m
computes the order of a CCL (ClenshawCurtis Linear growth)
rule from the level.

ccs.m
returns one rule from the CCS (ClenshawCurtis Slow growth) family
defined on [1,+1] with unit weight, indexed by level.

ccs_order.m
computes the order of a CCS (Clenshaw Curtis Slow growth)
rule from the level.

get_seq.m
generates integer vectors that describe component tensor products.

gqn.m
returns one rule from the GQN family.

gqn_order.m
computes the order of a GQN rule from the level, N = L.

gqn2_order.m
computes the order of a GQN rule from the level, N = 2*L1.

gqu.m
returns one rule from the GQU family.

gqu_order.m
computes the order of a GQU rule from the level.

i4_factorial2.m
computes the double factorial function.

i4vec_print.m
prints an I4VEC.

kpn.m
returns one rule from the KPN family.

kpn_order.m
returns the order of a member of the KPN family given the level.

kpu.m
returns one rule from the KPU family.

kpu_order.m
returns the order of a member of the KPU family given the level.

nwspgr.m
the main routine, which the user calls in order to compute
a particular sparse grid.

nwspgr_size.m
returns the size of a particular sparse grid.

quad_rule_print.m
prints a multidimensional quadrature rule.

rule_adjust.m
adjusts a 1D quadrature rule from [A,B] to [C,D].

symmetric_sparse_size.m
sizes a symmetric sparse rule.

tensor_product.m
computes a tensor product quadrature rule.

timestamp.m is a script which prints
a timestamp;
Examples and Tests:
You can go up one level to
the MATLAB source codes.
Last revised on 24 May 2014.