Matlab code for Chebyshev interpolation, including Smolyak algorithm
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LICENSE.txt
README.md
SmolyakGrid.m
basis.m
basisChebyshev.m
basisSpline.m
demo01_basisChebyshev.m
demo02_basis.m
funcApprox.m
interpolator.m
ndsparse.m
test01_smolyak.m

README.md

Interpolation

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.

References

  • 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