Selected Recent Applications of Sparse Grids

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

Research output: Contribution to journalArticle

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 - Jan 1 2015

Fingerprint

Sparse Grids
Plasma turbulence
Data mining
Interpolation
Black-Scholes Model
Uncertainty Quantification
Numerical Quadrature
Surrogate Model
Simulation
Model Analysis
Real-world Applications
Data-driven
Pricing
Costs
Turbulence
Data Mining
Plasma
Interpolate
Range of data
Uncertainty

Keywords

  • adaptivity
  • combination technique
  • hierarchical decomposition
  • Sparse grids

ASJC Scopus subject areas

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

Cite this

Peherstorfer, B., Kowitz, C., Pflüger, D., & Bungartz, H. J. (2015). Selected Recent Applications of Sparse Grids. Numerical Mathematics, 8(1), 47-77. https://doi.org/10.4208/nmtma.2015.w05si

Selected Recent Applications of Sparse Grids. / Peherstorfer, Benjamin; Kowitz, Christoph; Pflüger, Dirk; Bungartz, Hans Joachim.

In: Numerical Mathematics, Vol. 8, No. 1, 01.01.2015, p. 47-77.

Research output: Contribution to journalArticle

Peherstorfer, B, Kowitz, C, Pflüger, D & Bungartz, HJ 2015, 'Selected Recent Applications of Sparse Grids', Numerical Mathematics, vol. 8, no. 1, pp. 47-77. https://doi.org/10.4208/nmtma.2015.w05si
Peherstorfer B, Kowitz C, Pflüger D, Bungartz HJ. Selected Recent Applications of Sparse Grids. Numerical Mathematics. 2015 Jan 1;8(1):47-77. https://doi.org/10.4208/nmtma.2015.w05si
Peherstorfer, Benjamin ; Kowitz, Christoph ; Pflüger, Dirk ; Bungartz, Hans Joachim. / Selected Recent Applications of Sparse Grids. In: Numerical Mathematics. 2015 ; Vol. 8, No. 1. pp. 47-77.
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