sparse_grid_hermite_test, an Octave code which calls sparse_grid_hermite(), which constructs sparse grids based on 1D Gauss-Hermite rules.
The computer code and data files made available on this web page are distributed under the MIT license
sparse_grid_hermite, an Octave code which creates sparse grids based on Gauss-Hermite rules.
The sample program creates three files, which are an example of how a sparse grid quadrature rule for spatial dimension 2 and level 3 can be defined using a Hermite quadrature rule: