sparse_grid_composite, a MATLAB code which computes the points and weights of a Smolyak sparse grid, based on a 1-dimensional composite quadrature rule.
Currently, the library only allows composite rules of the 1 point midpoint formula. A 1D composite rule of the midpoint rule is suitable for integration of functions with low or variable smoothness. A sparse grid formed from such rules can better handle multidimensional integrands with limited smoothness.
Of course, for both the 1D composite rule and the sparse grid rule, the repeated use of the midpoint rule limits the order of accuracy of the quadrature; therefore, if the integrand is known to be of higher smoothness, other approaches will produce an accurate answer more quickly.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
sparse_grid_composite is available in a MATLAB version.
grid_display, a MATLAB code which can display a 2d or 3d grid or sparse grid.
quadrature_rules, a dataset directory of files which define quadrature rules; a number of examples of sparse grid quadrature rules are included.
quadrule, a MATLAB code which defines quadrature rules for various intervals and weight functions.
sparse_grid_cc, a MATLAB code which creates sparse grids based on clenshaw-curtis rules.
sparse_grid_composite, a dataset directory which contains examples of sparse grids based on 1d composite rules (currently only of order 1).
sparse_grid_f2, a dataset directory which contains the abscissas of sparse grids based on a fejer type 2 rule.
sparse_grid_gl, a MATLAB code which computes sparse grids based on a gauss-legendre rule.
sparse_grid_gp, a dataset directory which contains the abscissas of sparse grids based on a gauss patterson rule.
sparse_grid_hermite, a MATLAB code which creates sparse grids based on gauss-hermite rules.
sparse_grid_hw, a MATLAB 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.
sparse_grid_ncc, a dataset directory which contains the abscissas of sparse grids based on a newton cotes closed rule.
sparse_grid_nco, a dataset directory which contains the abscissas of sparse grids based on a newton cotes open rule.
toms847, a MATLAB code which uses sparse grids to carry out multilinear hierarchical interpolation. it is commonly known as spinterp, and is by andreas klimke.