TRUNCATED_NORMAL_SPARSE_GRID
Sparse Grid for Truncated Normal Distribution


TRUNCATED_NORMAL_SPARSE_GRID is a MATLAB library which computes a sparse grid based on a normal probability density function (PDF), also called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

TRUNCATED_NORMAL_SPARSE_GRID is available in a MATLAB version

Related Data and Programs:

SPARSE_GRID_HW, a MATLAB library which creates sparse grids based on Gauss-Legendre, Gauss-Hermite, Gauss-Patterson, or a nested variation of Gauss-Hermite rules, by Florian Heiss and Viktor Winschel.

TRUNCATED_NORMAL, a MATLAB library which works with the truncated normal distribution over [A,B], or [A,+oo) or (-oo,B], returning the probability density function (PDF), the cumulative density function (CDF), the inverse CDF, the mean, the variance, and sample values.

TRUNCATED_NORMAL_RULE, a MATLAB program which computes a quadrature rule for a normal probability density function (PDF), also called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Author:

Based in part on MATLAB code by Florian Heiss and Viktor Winschel. Other MATLAB code by John Burkardt.

Reference:

Source Code:

Examples and Tests:

TNO_SPARSE_GRID_WRITE_TEST creates pairs of X and W files.

You can go up one level to the MATLAB source codes.


Last revised on 15 July 2014.