truncated_normal_sparse_grid

truncated_normal_sparse_grid, a MATLAB code 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 MIT license

Languages:

truncated_normal_sparse_grid is available in a MATLAB version

Related Data and Programs:

sparse_grid_hw, a MATLAB code 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 code 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 code 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].

truncated_normal_sparse_grid_test

Author:

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

Reference:

• Gene Golub, John Welsch,
  Calculation of Gaussian Quadrature Rules,
  Mathematics of Computation,
  Volume 23, Number 106, April 1969, pages 221-230.
• Florian Heiss, Viktor Winschel,
  Likelihood approximation by numerical integration on sparse grids,
  Journal of Econometrics,
  Volume 144, May 2008, pages 62-80.
• Norman Johnson, Samuel Kotz, Narayanaswamy Balakrishnan,
  Continuous Univariate Distributions,
  Second edition,
  Wiley, 1994,
  ISBN: 0471584940,
  LC: QA273.6.J6.

Source Code:

• get_seq.m generates integer vectors that describe component tensor products.
• i4vec_print.m prints an I4VEC.
• 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.
• r8mat_write.m writes an R8MAT to a file.
• r8vec_write.m writes an R8VEC to a file.
• r8vec2_print.m prints an R8VEC2.
• tensor_product.m computes a tensor product quadrature rule.
• tno_order.m returns the order (number of points) in a Truncated Normal Odd (TNO) growth quadrature rule of given level.
• tn.m returns the points and weights in a Truncated Normal quadrature rule of given order (number of points).
• tno.m returns the points and weights in a Truncated Normal Odd (TNO) growth quadrature rule of given level.
• tno_order.m returns the number of points in a Truncated Normal Odd (TNO) growth quadrature rule of given level.
• tno_sparse_grid_write.m writes a TNO sparse grid to X and W files.