The following is an alphabetically sorted list of free and open-source sparse grid software.
SG⁺⁺ is a universal sparse grid toolbox that focuses on spatial adaptivity. Modules are available for function interpolation, optimization, data mining, machine learning, uncertainty quantification, and partial differential equations. SG⁺⁺ is written in C++ and can be used in C++, Python, Java, and MATLAB. The toolbox is maintained by the group of Dirk Pflüger at the University of Stuttgart, Germany.
Sparse Grids Matlab Kit
The Sparse Grids Matlab Kit is a collection of high-level MATLAB functions for interpolation and quadrature with the sparse grid combination technique. The general focus is on uncertainty quantification. The visualization functions of the MATLAB code make it well-suited for rapid prototyping. The kit is mainly developed by Lorenzo Tamellini from CNR-IMATI, Italy.
spinterp is a MATLAB library for interpolation on sparse grids using Smoylak’s construction. In addition, the library supports optimization and quadrature. Different one-dimensional grid point rules are implemented. spinterp was developed from 2006 to 2008 by Andreas Klimke from the University of Stuttgart, Germany.
The Toolkit for Adaptive Stochastic Modeling and Non-Intrusive ApproximatioN (Tasmanian). Tasmanian implements are variety of different grid types, e.g., spatially adaptive grids with local or global polynomials, wavelet grids, and Fourier grids. Tasmanian is developed by the group of Clayton Webster and Miroslav Stoyanov from the Oak Ridge National Laboratory (ORNL), Tennessee, USA.
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