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Selected Recent Applications of Sparse Grids

Published online by Cambridge University Press:  03 March 2015

Benjamin Peherstorfer ,
Christoph Kowitz ,
Dirk Pflüger  and
Hans-Joachim Bungartz
Benjamin Peherstorfer*
Affiliation:
Scientific Computing Group, Dept. of Computer Science, Boltzmannstr. 3, 85748 Garching, Germany
Christoph Kowitz
Affiliation:
Institute for Advanced Study, Technische Universität München, Lichtenbergstr. 2a, 85748 Garching, Germany
Dirk Pflüger
Affiliation:
Institute for Parallel and Distributed Systems, University of Stuttgart, Universitätsstr. 38, 70569 Stuttgart, Germany
Hans-Joachim Bungartz
Affiliation:
Scientific Computing Group, Dept. of Computer Science, Boltzmannstr. 3, 85748 Garching, Germany
*
*Email address: pehersto@in.tum.de (B. Peherstorfer)
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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.

Keywords

65M6065M2262P0565D0562H3065F15Sparse gridshierarchical decompositionadaptivitycombination technique
Type
Research Article
Information
Numerical Mathematics: Theory, Methods and Applications , Volume 8 , Issue 1 , February 2015 , pp. 47 - 77
Copyright
Copyright © Global-Science Press 2015 

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