Selected Recent Applications of Sparse Grids

Benjamin Peherstorfer, Christoph Kowitz, Dirk Pflüger, Hans Joachim Bungartz

Research output: Contribution to journalArticlepeer-review

Abstract

Sparse grids have become a versatile tool for a vast range of applications reaching from interpolation and numerical quadrature to data-driven problems and uncertainty quantification. We review four selected real-world applications of sparse grids: financial product pricing with the Black-Scholes model, interactive exploration of simulation data with sparse-grid-based surrogate models, analysis of simulation data through sparse grid data mining methods, and stability investigations of plasma turbulence simulations.

Original languageEnglish (US)
Pages (from-to)47-77
Number of pages31
JournalNumerical Mathematics
Volume8
Issue number1
DOIs
StatePublished - 2015

Keywords

  • Sparse grids
  • adaptivity
  • combination technique
  • hierarchical decomposition

ASJC Scopus subject areas

  • Modeling and Simulation
  • Control and Optimization
  • Computational Mathematics
  • Applied Mathematics

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