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Sparse grid quadrature

version (1.88 KB) by Greg von Winckel
Computes the nodes and weights for a sparse grid on a hyperrectangle


Updated 05 Mar 2008

No License

This all-in-one code computes the sparse Clenshaw-Curtis grid points and weights for an orthotope of arbitrary dimensionality. i.e. It's for integrating a high-dimensional function in a box domain. This is not an adaptive code.

Cite As

Greg von Winckel (2019). Sparse grid quadrature (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (4)


Pengfei Wei

This is an excellent work. However, after verifying this code using a group of test cases, I found that the results for most the test cases are not correct when compared with those derived by Maple. Does anyone has the same problem with me?


computation result is not accurate, for example, test example use triplequad in matlab.

Alex Chan

It's quite helpful to me. Thx
I also hope to know how to extend the code using other quadrature rules like Gauss-Hermite and Gauss-laguerre quadratures.

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux