Slow Exponential Growth for Clenshaw Curtis Sparse Grids

نویسنده

  • John Burkardt
چکیده

When Clenshaw Curtis rules are used to form a sparse grid, the orders of the underlying 1D factor rules form an exponential series. Even for a relatively low level, the 1D order growth is unnecessary, and is reflected in a noticeable cost in the order of the resulting sparse grid. We consider the effect of using the Clenshaw Curtis rules in a way that maintains the nestedness but delays their exponential growth so effectively that it becomes essentially linear. This restraint, in turn, brings down the cost of the sparse grids while entirely meeting the desired precision levels.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Numerical Comparison of Leja and Clenshaw-Curtis Dimension-Adaptive Collocation for Stochastic Parametric Electromagnetic Field Problems

We consider the problem of approximating the output of a parametric electromagnetic field model in the presence of a large number of uncertain input parameters. Given a sufficiently smooth output with respect to the input parameters, such problems are often tackled with interpolation-based approaches, such as the stochastic collocation method on tensor-product or isotropic sparse grids. Due to ...

متن کامل

Comparison of Clenshaw-Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs

In this work we compare numerically different families of nested quadrature points, i.e. the classic Clenshaw–Curtis and various kinds of Leja points, in the context of the quasi-optimal sparse grid approximation of random elliptic PDEs. Numerical evidence suggests that the performances of both families are essentially comparable within such framework.

متن کامل

Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: application to random elliptic PDEs

In this work we provide a convergence analysis for the quasi-optimal version of the Stochastic Sparse Grid Collocation method we had presented in our previous work “On the optimal polynomial approximation of Stochastic PDEs by Galerkin and Collocation methods” [6]. Here the construction of a sparse grid is recast into a knapsack problem: a profit is assigned to each hierarchical surplus and onl...

متن کامل

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European-style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The...

متن کامل

Slow Exponential Growth for Gauss Patterson Sparse Grids

When Gauss Patterson rules are used to form a sparse grid, the indexing of the underlying 1D family is crucial. It would seem natural to use the indexing that preserves nesting, but this leads to exponential growth in the order of the 1D rules. If the aim is to efficiently construct a family of sparse grids, indexed to achieve a linearly increasing level of precision, then it is possible to pre...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2014