truncated_normal_sparse_grid
truncated_normal_sparse_grid,
an Octave 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 information on this web page is distributed under the MIT license.
Languages:
truncated_normal_sparse_grid is available in
a MATLAB version and
an Octave version
Related Data and Programs:
truncated_normal_sparse_grid_test
sparse_grid_hw,
an Octave 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,
an Octave 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,
an Octave 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].
Author:
Original MATLAB version by Florian Heiss and Viktor Winschel.
This version by John Burkardt.
Reference:
-
Gene Golub, John Welsch,
Calculation of Gaussian Quadrature Rules,
Mathematics of Computation,
Volume 23, Number 106, April 1969, pages 221-230.
-
Florian Heiss, Viktor Winschel,
Likelihood approximation by numerical integration on sparse grids,
Journal of Econometrics,
Volume 144, May 2008, pages 62-80.
-
Norman Johnson, Samuel Kotz, Narayanaswamy Balakrishnan,
Continuous Univariate Distributions,
Second edition,
Wiley, 1994,
ISBN: 0471584940,
LC: QA273.6.J6.
Source Code:
-
get_seq.m
generates integer vectors that describe component tensor products.
-
i4vec_print.m
prints an I4VEC.
-
nwspgr.m
the main routine, which the user calls in order to compute
a particular sparse grid.
-
nwspgr_size.m
returns the size of a particular sparse grid.
-
quad_rule_print.m
prints a multidimensional quadrature rule.
-
r8mat_write.m
writes an R8MAT to a file.
-
r8vec_write.m
writes an R8VEC to a file.
-
r8vec2_print.m
prints an R8VEC2.
-
tensor_product.m
computes a tensor product quadrature rule.
-
tno_order.m
returns the order (number of points) in a
Truncated Normal Odd (TNO) growth quadrature rule of given level.
-
tn.m
returns the points and weights in a
Truncated Normal quadrature rule
of given order (number of points).
-
tno.m
returns the points and weights in a
Truncated Normal Odd (TNO) growth quadrature rule
of given level.
-
tno_order.m
returns the number of points in a
Truncated Normal Odd (TNO) growth quadrature rule
of given level.
-
tno_sparse_grid_write.m
writes a TNO sparse grid to X and W files.
Last revised on 02 April 2024.