truncated_normal_sparse_grid


truncated_normal_sparse_grid, a MATLAB code which computes a sparse grid based on a normal probability density function (PDF), also called a Gaussian distribution, that has been truncated to [A,+oo), (-oo,B] or [A,B].

Licensing:

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

Languages:

truncated_normal_sparse_grid is available in a MATLAB version

Related Data and Programs:

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.

truncated_normal, a MATLAB code which works with the truncated normal distribution over [a,b], or [a,+oo) or (-oo,b], returning the probability density function (pdf), the cumulative density function (cdf), the inverse cdf, the mean, the variance, and sample values.

truncated_normal_rule, a MATLAB code which computes a quadrature rule for a normal probability density function (pdf), also called a gaussian distribution, that has been truncated to [a,+oo), (-oo,b] or [a,b].

truncated_normal_sparse_grid_test

Author:

Based in part on MATLAB code by Florian Heiss and Viktor Winschel. Other MATLAB code by John Burkardt.

Reference:

Source Code:


Last revised on 11 April 2019.