Smolyak’s Algorithm: A Powerful Black Box for the Acceleration of Scientific Computations
KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Applied Mathematics and Computational Science Program
Online Publication Date2018-06-21
Print Publication Date2018
Embargo End Date2019-06-21
Permanent link to this recordhttp://hdl.handle.net/10754/630444
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AbstractWe 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.
CitationTempone R, Wolfers S (2018) Smolyak’s Algorithm: A Powerful Black Box for the Acceleration of Scientific Computations. Sparse Grids and Applications - Miami 2016: 201–228. Available: http://dx.doi.org/10.1007/978-3-319-75426-0_9.
PublisherSpringer International Publishing