Chaospy - Toolbox for performing uncertainty quantification.

SG⁺⁺ – the numerical library for Sparse Grids in all their variants.

Sparse Grid Discretization with the Discontinuous Galerkin Method for solving PDEs

Adaptive multiresolution discontinuous Galerkin C++ package

Source code of Julian Valentin's PhD thesis (arXiv version): “B-Splines for Sparse Grids: Algorithms and Application to Higher-Dimensional Optimization”

MPI-based code for distributed HPC simulations with the sparse grid combination technique

This repository includes Matlab codes/routines that were used in my Bachelor thesis entitled "Numerical Methods For Uncertainty Quantification In Option Pricing" that can be found in: https://www.researchgate.net/publication/330005261_Numerical_Methods_For_Uncertainty_Quantification_In_Option_Pricing.

Original repository of Julian Valentin's PhD thesis: “B-Splines for Sparse Grids: Algorithms and Application to Higher-Dimensional Optimization”

Julian Valentin's PhD Defense Talk: “B-Splines for Sparse Grids: Algorithms and Application to Higher-Dimensional Optimization”

Sparse grid combination technique in Python

Some routines for sparse grids

This code supplements arXiv:2104.08143, where we describe an adaptive method for parabolic evolution equations.

Implementation for Thesis "Deep Learning with Sparse Grids"