sparse_grid_hw, a FORTRAN90 code 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 .

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 routine that returns members of the family:

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


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


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:


product_rule, a FORTRAN90 code which constructs a product quadrature rule from identical 1D factor rules.

quad_rule, a FORTRAN90 code which defines quadrature rules for various intervals and weight functions.


Original MATLAB code by Florian Heiss and Viktor Winschel. FORTRAN90 version by John Burkardt.


Source Code:

Last revised on 28 August 2020.