[SciPy-Dev] Introduction and feature proposal.
Wed Feb 20 18:30:53 CST 2013
My name is Chris Miller and I'm a recent applied math PhD from
University of Maryland. I have some matlab and C/C++ code for computing
multi-dimensional integrals using Smolyak sparse grids that I think
might fit well inside scipy.integrate. Sparse grid quadrature delays the
onset of the so called "curse of dimensionality," and is very efficient
for evaluating integrals with a 'moderate' number of variables, say
~<50. Sparse grids rules can also be tailored to perform integration
with respect to various measures (uniform, Gaussian, beta-distribution,
etc.). I'd appreciate any feedback on whether or not people would find
I also have a pretty good background in sparse numerical linear algebra
and multigrid preconditioners, and would like to contribute code in that
vein some time down the road. I'm looking forward to working with all of
you and hope I can be helpful.
p.s. Here are some references. Most of my work with these was in solving
stochastic PDEs, so the references tilt that way, but they are generally
useful tools for multi-dimensional integration/interpolation.
D. Xiu and J. Hesthaven. High-order collocation methods for differential
tions with random inputs. SIAM Journal on Scientific Computing, 27:1118–
F. Nobile, R. Tempone, and C.G. Webster. An anisotropic sparse grid col-
location algorithm for the solution of stochastic differential
Journal on Numerical Analysis, 46:2411–2442, 2008.
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