Smolyak's algorithm: A powerful black box for the acceleration of scientific computations

DOI10.1007/978-3-319-75426-0_9MaRDI QIDQ6284816arXivFDO

Authors R. Tempone, Sören Wolfers

Publication date 26 March 2017

Published in arXiv

Full work available at URL https://doi.org/10.1007/978-3-319-75426-0_9

Mathematics Subject Classification ID

Numerical approximation and computational geometry (primarily algorithms) (65Dxx)

arXiv classification

math.NA

Abstract: We provide a general discussion of Smolyak's algorithm for the acceleration of scientific computations. The algorithm first appeared in Smolyak's work on multidimensional integration and interpolation. Since then, it has been generalized in multiple directions and has been associated with the keywords: sparse grids, hyperbolic cross approximation, combination technique, and multilevel methods. Variants of Smolyak's algorithm have been employed in the computation of high-dimensional integrals in finance, chemistry, and physics, in the numerical solution of partial and stochastic differential equations, and in uncertainty quantification. Motivated by this broad and ever-increasing range of applications, we describe a general framework that summarizes fundamental results and assumptions in a concise application-independent manner.

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