SPARSE_GRID_HW
Sparse Grids for Uniform and Normal Weights
Heiss and Winschel


SPARSE_GRID_HW, a C 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 Gauss-Hermite weight function. The original MATLAB code is by Florian Heiss and Viktor Winschel.

The original version of this software, and other information, is available at http://sparse-grids.de .

Four built-in 1D families of quadrature rules are supplied, and the user can extend the package by supplying any family of 1D quadrature rules.

The built-in families are identified by a 3-letter key which is also the name of the function that returns members of the family:

The user can build new sparse grids by supplying a 1D quadrature family. Examples provided include:

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 FORTRAN90 version and a MATLAB version

Related Data and Programs:

QUADRULE, a C library which defines quadrature rules for various intervals and weight functions.

SANDIA_RULES, a C library which generates Gauss quadrature rules of various orders and types.

SGMGA, a C library which creates sparse grids based on a mixture of 1D quadrature rules, allowing anisotropic weights for each dimension.

sparse_grid_hw_test

Author:

Original MATLAB code by Florian Heiss and Viktor Winschel. C version by John Burkardt.

Reference:

Source Code:


Last revised on 07 August 2019.