TRUNCATED_NORMAL_SPARSE_GRID
Sparse Grid for Truncated Normal Distribution
TRUNCATED_NORMAL_SPARSE_GRID,
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 GaussLegendre, GaussHermite,
GaussPatterson, or a nested variation of GaussHermite 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].
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 221230.

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

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.

timestamp.m is a script which prints
a timestamp;

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.
Last revised on 11 April 2019.