SPARSE_GRID
A Python Sparse Grid Package

SPARSE_GRID is a Python library useful for sparse grid calculations, by Jochen Garcke.

Languages:

SPARSE_GRID is available in a Python version.

Related Data and Programs:

SMOLPACK, a C library which estimates the integral of a function over a M-dimensional hypercube using a sparse grid, by Knut Petras;

SPARSE_GRID_CC, a MATLAB library which creates sparse grids based on Clenshaw-Curtis rules.

SPARSE_GRID_HW, a MATLAB 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.

SPINTERP, a MATLAB library which carries out piecewise multilinear hierarchical sparse grid interpolation; an earlier version of this software is ACM TOMS Algorithm 847, by Andreas Klimke;

SPQUAD, a MATLAB library 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.

Author:

Jochen Garcke

Reference:

1. Jochen Garcke,
   Sparse Grid Tutorial.
2. Sergey Smolyak,
   Quadrature and Interpolation Formulas for Tensor Products of Certain Classes of Functions,
   Doklady Akademii Nauk SSSR,
   Volume 4, 1963, pages 240-243.

Source Code:

• pysg.py, defines the sparse grid classes and functions.

Examples and Tests:

• pysg_test.py, runs a test of the sparse grid routines.
• pysg_test.sh, commands to run the test.
• pysg_test.txt, the output file.

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