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Integration on Sparse Grids

FORTRAN 95 source code

This code is adapted from MATLAB code accompanying the paper "Likelihood Approximation by Numerical Integration on Sparse Grids" by Florian Heiss and Viktor Winschel. NOTE: The Fortran code is written using IMSL (as of 2009) as well as some latest intrinsic functions that are NOT available in the version of Fortran EARLIER then 2003. So one needs to be careful to run this code in earlier versions of Fortran, it might not run. Four quadrature rules for D-dimensional numerical integration are implemented. Rules for the unweighted integration:
  • GQU: Univariate Gaussian quadrature rules as basis
  • KPU: Univariate nested quadrature rules as basis - delayed Kronrod-Patterson rules
Rules for the integration with Gaussian weights
  • GQN: Univariate Gaussian quadrature rules as basis
  • KPN: Univariate nested quadrature rules as basis


Last updated by: Natalia Khorunzhina 27/10/2011