Matlab code for Chebyshev interpolation, including Smolyak algorithm
This repository includes Matlab code that I have written for multidimensional function interpolation with Chebyshev polynomials. It includes a implementation of the isotropic and the anisotropic Smolyak algorithms, as described by Judd et al. 2014. Part of the code was adapted from Miranda & Fackler's CompEcon toolbox.
Judd, Maliar, Maliar and Valero 2014 Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain. Journal of Economic Dynamics & Control 44, pp. 92-13
Miranda and Fackler 2002 Applied computational economics and finance. MIT Press