spinterp, a MATLAB code which can determine points defining a sparse grid in a multidimensional space, and given specific values at those points, can construct an interpolating function that can be evaluated anywhere.
The program can plot the interpolating function, perform optimization (seeking minima or maxima) and can integrate the function.
An early version of this library was documented and released as ACM TOMS Algorithm 847.
The sparse grid is constructed using Smolyak's construction. In fact, a nested series of grids is defined, each a refinement of the previous one, but chosen in such a way that the typical exponential growth in order does not occur. Moreover, because the grids are nested, the procedure produces a hierarchical series of piecewise linear interpolants. The nesting of these interpolants allows the estimation of the interpolation error.
The package includes several choices for the underlying one dimensional rule used to construct the sparse grids. The recommended rule is a Newton Cotes Closed rule, which produces grids of uniformly spaced points in [0,1], including the endpoints, of orders 1, 3, 5, 9, 17, 33, 65, and in general (2^I)+1. Note that the first rule is a special case (it doesn't include the endpoints, and the number of points in the rule is not equal to (2^0)+1!). Also note that the authors denote this rule as the "Clenshaw Curtis" or "CC" rule, although that name is more properly associated with the grid obtained by taking the cosine of the points given by the Newton Cotes Closed rule!
Another 1D rule is denoted by the authors as the "NB" or "no boundary" rule. This is simply a Newton Cotes Open rule which produces grids of uniformly spaced points in [0,1], omitting the endpoints, of orders 1, 3, 7, 15, 31, 63, and in general (2^(I+1))-1.
Another 1D rule is denoted by the authors as the "M" or "maximum norm" rule. This rule is the same as the CC rule, except that it starts with the rule of order 3. This seemingly minor difference forces this rule to use many more points than the other rules in the multidimensional case. The difference is evident in 2 dimensions, and quickly overwhelming even in dimensions as low as 4!
SPARSE GRID INTERPOLATION TOOLBOX - LICENSE
Copyright (c) 2006 W. Andreas Klimke, Universitaet Stuttgart. Copyright (c) 2007-2008 W. A. Klimke. All Rights Reserved. All Rights Reserved.
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spinterp is available in a MATLAB version.
rbf_interp_nd, a MATLAB code which defines and evaluates radial basis interpolants to multidimensional data.
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.
spquad, a MATLAB code which computes the points and weights of a sparse grid quadrature rule for a multidimensional integral, based on the Clenshaw-Curtis quadrature rule, by Greg von Winckel.
test_interp_nd, a MATLAB code which defines test problems for interpolation of data z(x), depending on an M-dimensional argument.
toms847, a MATLAB code which carries out piecewise multilinear hierarchical sparse grid interpolation; this library is commonly called SPINTERP (version 2.1); this is ACM TOMS Algorithm 847, by Andreas Klimke;