Algorithm 847: Spinterp: Piecewise multilinear hierarchical sparse grid interpolation in MATLAB

Andreas Klimke, Barbara Wohlmuth

Research output: Contribution to journalArticlepeer-review

162 Scopus citations

Abstract

To recover or approximate smooth multivariate functions, sparse grids are superior to full grids due to a significant reduction of the required support nodes. The order of the convergence rate in the maximum norm is preserved up to a logarithmic factor. We describe three possible piecewise multilinear hierarchical interpolation schemes in detail and conduct a numerical comparison. Furthermore, we document the features of our sparse grid interpolation software package spintarp for MATLAB.

Original languageEnglish
Pages (from-to)561-579
Number of pages19
JournalACM Transactions on Mathematical Software
Volume31
Issue number4
DOIs
StatePublished - 2005
Externally publishedYes

Keywords

  • Multivariate interpolation
  • Smolyak algorithm
  • Sparse grids

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