sparse_grid_hw_test, a C code which calls sparse_grid_hw() to 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 Gauss-Hermite weight function.
The information on this web page is distributed under the MIT license.
sparse_grid_hw, a C 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.