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Numerical integration using sparse grids

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Abstract

We present new and review existing algorithms for the numerical integration of multivariate functions defined over d-dimensional cubes using several variants of the sparse grid method first introduced by Smolyak [49]. In this approach, multivariate quadrature formulas are constructed using combinations of tensor products of suitable one-dimensional formulas. The computing cost is almost independent of the dimension of the problem if the function under consideration has bounded mixed derivatives. We suggest the usage of extended Gauss (Patterson) quadrature formulas as the one‐dimensional basis of the construction and show their superiority in comparison to previously used sparse grid approaches based on the trapezoidal, Clenshaw–Curtis and Gauss rules in several numerical experiments and applications. For the computation of path integrals further improvements can be obtained by combining generalized Smolyak quadrature with the Brownian bridge construction.

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Authors
  1. Thomas Gerstner
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  2. Michael Griebel
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Gerstner, T., Griebel, M. Numerical integration using sparse grids. Numerical Algorithms 18, 209–232 (1998). https://doi.org/10.1023/A:1019129717644

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