SPARSE_GRID_GL
Sparse Grids Based on Gauss-Legendre Rules

SPARSE_GRID_GL is a FORTRAN90 library which constructs sparse grids based on 1D Gauss-Legendre rules.

Sparse grids are more naturally constructed from a nested family of quadrature rules. Gauss-Legendre rules are not nested, but have higher accuracy. Thus, there is a tradeoff. If we compare two sparse grids of the same "level", one using Gauss-Legendre rules and the other, say, Clenshaw-Curtis rules, then the Gauss-Legendre sparse grid will have higher accuracy...but also a significantly greater number of points. When measuring efficiency, we really need to balance the cost in quadrature points against the accuracy, and so it is not immediately obvious which choice is best!

To slightly complicate matters, Gauss-Legendre rules are very weakly nested, in that the rules of odd order all include the abscissa value X=0.0. A sparse grid constructed from Gauss-Legendre rules will thus have to keep track of this minor point as well.

Here is a table showing the number of points in a sparse grid based on Gauss-Legendre rules, indexed by the spatial dimension, and by the "level", which is simply an index for the family of sparse grids.

DIM:	1	2	3	4	5	6
LEVEL_MAX
0	1	1	1	1	1	1
1	3	5	7	9	11	13
2	9	21	37	57	81	109
3	23	73	159	289	471	713
4	53	225	597	1265	2341	3953
5	115	637	2031	4969	10363	19397
6	241	1693	6405	17945	41913	86517

Web Link:

A version of the sparse grid library is available in http://tasmanian.ornl.gov, the TASMANIAN library, available from Oak Ridge National Laboratory.

Licensing:

The code described and made available on this web page is distributed under the GNU LGPL license.

Languages:

SPARSE_GRID_GL is available in a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

QUADRATURE_RULES, a dataset directory which defines quadrature rules; a number of examples of sparse grid quadrature rules are included.

QUADRULE, a FORTRAN90 library which defines quadrature rules for various intervals and weight functions.

SGMGA, a FORTRAN90 library which creates sparse grids based on a mixture of 1D quadrature rules, allowing anisotropic weights for each dimension.

SMOLPACK, a C library which implements Novak and Ritter's method for estimating the integral of a function over a multidimensional hypercube using sparse grids.

SPARSE_GRID_CC, a FORTRAN90 library which define sparse grids based on 1D Clenshaw Curtis quadrature rules.

SPARSE_GRID_GL, a dataset directory which contains sparse grids based on a Gauss Legendre rule.

SPARSE_GRID_GL_DATASET, a FORTRAN90 program which creates a Gauss-Legendre sparse grid from user input.

SPARSE_GRID_GP, a dataset directory which contains sparse grids based on a Gauss Patterson rule.

SPARSE_GRID_HERMITE, a FORTRAN90 library which creates sparse grids based on Gauss-Hermite rules.

SPARSE_GRID_HW, a FORTRAN90 library 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_MIXED, a FORTRAN90 library which constructs a sparse grid using different rules in each spatial dimension.

SPARSE_GRID_NCC, a dataset directory which contains sparse grids based on a Newton Cotes closed rule.

SPARSE_GRID_NCO, a dataset directory which contains sparse grids based on a Newton Cotes open rule.

SPARSE_GRID_OPEN, a FORTRAN90 library which define sparse grids based on open nested quadrature rules.

TOMS847, a MATLAB program which uses sparse grids to carry out multilinear hierarchical interpolation. It is commonly known as SPINTERP, and is by Andreas Klimke.

Reference:

1. Volker Barthelmann, Erich Novak, Klaus Ritter,
   High Dimensional Polynomial Interpolation on Sparse Grids,
   Advances in Computational Mathematics,
   Volume 12, Number 4, 2000, pages 273-288.
2. Thomas Gerstner, Michael Griebel,
   Numerical Integration Using Sparse Grids,
   Numerical Algorithms,
   Volume 18, Number 3-4, 1998, pages 209-232.
3. Albert Nijenhuis, Herbert Wilf,
   Combinatorial Algorithms for Computers and Calculators,
   Second Edition,
   Academic Press, 1978,
   ISBN: 0-12-519260-6,
   LC: QA164.N54.
4. Fabio Nobile, Raul Tempone, Clayton Webster,
   A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data,
   SIAM Journal on Numerical Analysis,
   Volume 46, Number 5, 2008, pages 2309-2345.
5. Sergey Smolyak,
   Quadrature and Interpolation Formulas for Tensor Products of Certain Classes of Functions,
   Doklady Akademii Nauk SSSR,
   Volume 4, 1963, pages 240-243.
6. Dennis Stanton, Dennis White,
   Constructive Combinatorics,
   Springer, 1986,
   ISBN: 0387963472,
   LC: QA164.S79.

Source Code:

• sparse_grid_gl.f90, the source code.

Examples and Tests:

• sparse_grid_gl_test.f90, a sample calling program.
• sparse_grid_gl_test.txt, the output file.
• gl_d2_level3_r.txt, the "R" file for a sparse grid quadrature rule for spatial dimension 2 and level 3.
• gl_d2_level3_w.txt, the "W" file for a sparse grid quadrature rule for spatial dimension 2 and level 3.
• gl_d2_level3_x.txt, the "X" file for a sparse grid quadrature rule for spatial dimension 2 and level 3.

List of Routines:

• COMP_NEXT computes the compositions of the integer N into K parts.
• GET_UNIT returns a free FORTRAN unit number.
• GL_ABSCISSA sets abscissas for multidimensional Gauss-Legendre quadrature.
• GL_WEIGHTS returns weights for certain Gauss-Legendre quadrature rules.
• I4_CHOOSE computes the binomial coefficient C(N,K).
• I4_HUGE returns a "huge" I4.
• I4_LOG_2 returns the integer part of the logarithm base 2 of an I4.
• INDEX_LEVEL_GL: determine first level at which given index is generated.
• LEVEL_TO_ORDER_OPEN converts a level to an order for open rules.
• MONOMIAL_INT01 returns the integral of a monomial over the [0,1] hypercube.
• MONOMIAL_QUADRATURE applies a quadrature rule to a monomial.
• MONOMIAL_VALUE evaluates a monomial.
• MULTIGRID_INDEX_Z returns an indexed multidimensional grid.
• PRODUCT_WEIGHT_GL: weights for a product Gauss-Legendre rule.
• R8MAT_WRITE writes an R8MAT file.
• R8VEC_DIRECT_PRODUCT2 creates a direct product of R8VEC's.
• S_BLANK_DELETE removes blanks from a string, left justifying the remainder.
• SPARSE_GRID_GL computes a sparse grid of Gauss-Legendre points.
• SPARSE_GRID_GL_INDEX indexes the points forming a sparse grid of GL points.
• SPARSE_GRID_GL_SIZE sizes a sparse grid of Gauss-Legendre points.
• TIMESTAMP prints the current YMDHMS date as a time stamp.
• VEC_COLEX_NEXT2 generates vectors in colex order.

You can go up one level to the FORTRAN90 source codes.