sparse_grid_hw_test, a FORTRAN90 code which calls sparse_grid_hw(), 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 computer code and data files described and made available on this web page are distributed under the MIT license
sparse_grid_hw, a FORTRAN90 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.