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EconForge / Smolyak

Efficient implementations of Smolyak's algorithm for function approxmation in Python and Julia.
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F: Adaptive domain for grid #5

Open sglyon opened 11 years ago

sglyon commented 11 years ago

This allows us to have grids not on [-1, 1]^d. There are two main approaches:

  1. linear transformation
  2. Principal components method

See Judd et. al. (2013) section 5.