SGMG
Sparse Grids, Mixed Factors, Growth Rules

SGMG is a C++ library which constructs a sparse grid whose factors are possibly distinct 1D quadrature rules.

SGMG is the successor to the SPARSE_GRID_MIXED library. It includes an option to specify the growth rule that converts a level (which indexes the sparse grids) to the order (which counts the number of points in a 1D rule.)

SGMG calls many routines from the SANDIA_RULES library. Source code or compiled copies of both libraries must be available when a program wishes to use the SGMG library.

Note that there is a variation of this library which is available, called SANDIA_SGMG. The variant code has the same capabilities, but uses a different interface when it calls the functions in SANDIA_RULES that generate points and weights of quadrature rules.

Sparse grids are organized by a series of levels, with level 0 being the simplest grid. Sparse grids are generated by weighted sums of product rules. Each product rule is formed by the product of 1D quadrature rules. The 1D quadrature rules also have levels, starting with 0. Although the 1D quadrature rule is probably available in versions of any order (number of points), the sparse grid will usually be based on a selection of these 1D rules. These rules are indexed by a 1D level. The relationship between the 1D level and the actual order of the 1D quadrature rule is somewhat arbitrary. In most cases, if we can guarantee that the the 1D quadrature rule of level L has 1D polynomial precision 2*L+1, then we can deduce that the sparse grid of level L will also have polynomial precision 2*L+1. It doesn't hurt for the 1D rule to have greater precision than that, but if this minimal precision is not achieved, then the precision of the sparse grid rule cannot be guaranteed.

This program allows the user a great deal of flexibility in choosing the growth rules, that is, the formula that determines the order O of a 1D quadrature rule of 1D level L.

The user may be familiar with the typical sparse grid associated with the 1D Clenshaw-Curtis rule, for which the growth rule may be termed "exponential". Specifically, for this growth rule, we have

• the 1D rule for level L = 0 has order O = 1;
• for 0 < L, the 1D rule of level L has order 2^L+1;

For Gauss rules, the typical exponential growth is similar:

• the 1D rule of level L has order O = 2^(L+1)-1;

However, these growth rules very quickly produce 1D quadrature rules of excessive order. So this package allows the user to request variations of the growth rules, including:

• slow linear
• slow linear, odd
• moderate linear
• slow exponential
• moderate exponential
• full exponential

The user controls the growth rate by setting an additional argument whose dummy name is level_to_order, and which represents a pointer to a function which determines the relationship between the level of a 1D quadrature rule and the order, or number of points, that it uses:

• level_to_order_default uses the original exponential growth rate for the fully nested rules ("CC", "F2" and "GP"), and a simple linear growth rate for other rules ("GL", "GH", "GGH", "LG", "GLG", "GJ" and "GW").
• level_to_order_exponential uses the original exponential growth rate for all rules.
• level_to_order_linear uses the simple linear growth rate for all rules.

The 1D quadrature rules are designed to approximate an integral of the form:

Integral ( A < X < B ) F(X) W(X) dX

Sum ( 1 <= I <= ORDER) F(X(I)) * W(I)

Note that the letter W, unfortunately, is used to denote both the weight function in the original integral, and the vector of weight values in the quadrature sum.

Index	Name	Abbreviation	Default Growth Rule	Interval	Weight function
1	Clenshaw-Curtis	CC	Moderate Exponential	[-1,+1]	1
2	Fejer Type 2	F2	Moderate Exponential	[-1,+1]	1
3	Gauss Patterson	GP	Moderate Exponential	[-1,+1]	1
4	Gauss-Legendre	GL	Moderate Linear	[-1,+1]	1
5	Gauss-Hermite	GH	Moderate Linear	(-oo,+oo)	e-x*x
6	Generalized Gauss-Hermite	GGH	Moderate Linear	(-oo,+oo)	|x|alpha e-x*x
7	Gauss-Laguerre	LG	Moderate Linear	[0,+oo)	e-x
8	Generalized Gauss-Laguerre	GLG	Moderate Linear	[0,+oo)	xalpha e-x
9	Gauss-Jacobi	GJ	Moderate Linear	[-1,+1]	(1-x)alpha (1+x)beta
10	Hermite Genz-Keister	HGK	Moderate Exponential	(-oo,+oo)	e-x*x
11	User Supplied Open	UO	Moderate Linear	?	?
12	User Supplied Closed	UC	Moderate Linear	?	?

For a given family, a growth rule can be prescribed, which determines the orders O of the sequence of rules selected from the family. The selected rules are indexed by L, which starts at 0. The polynomial precision P of the rule is sometimes used to determine the appropriate order O.

Index	Name	Order Formula
0	"DF", Default	moderate exponential or moderate linear
1	"SL", Slow linear	O=L+1
2	"SO", Slow Linear Odd (always use a rule of oddd order)	O=1+2*((L+1)/2)
3	"ML", Moderate Linear	O=2L+1
4	"SE", Slow Exponential	select smallest exponential order O so that 2L+1 <= P
5	"ME", Moderate Exponential	select smallest exponential order O so that 4L+1 <= P
6	"FE", Full Exponential	O=2^L+1 for Clenshaw Curtis, O=2^(L+1)-1 otherwise.

A sparse grid is a quadrature rule for a multidimensional integral. It is formed by taking a certain linear combination of lower-order product rules. The product rules, in turn, are formed as direct products of 1D quadrature rules. It is common to form a sparse grid in which the 1D component quadrature rules are the same. This package, however, is intended to produce sparse grids based on sums of product rules for which the rule chosen for each spatial dimension may be freely chosen from the set listed above.

These sparse grids are still indexed by a number known as level, and assembled as a sum of low order product rules. As the value of level increases, the point growth becomes more complicated. This is because the 1D rules have somewhat varying point growth patterns to begin with, and the varying levels of nestedness have a dramatic effect on the sparsity of the total grid.

Since a sparse grid is made up of a combination of product grids, it is frequently the case that many of the product grids include the same point. For efficiency, it is usually desirable to merge or consolidate such duplicate points when expressing the resulting sparse grid rule. It is possible to "logically" determine when a duplicate point will be generated; however, this logic changes depending on the specific 1-dimensional rules being used, and the tests can become quite elaborate. Moreover, for rules which include real parameters, the determination of duplication can require a numerical tolerance.

In order to simplify the matter of the detection of duplicate points, the codes presented begin by generating the entire "naive" set of points. Then a user-specified tolerance TOL is used to determine when two points are equal. If the maximum difference between any two components is less than or equal to TOL, the points are declared to be equal.

A reasonable value for TOL might be the square root of the machine precision. Setting TOL to zero means that only points which are identical to the last significant digit are taken to be duplicates. Setting TOL to a negative value means that no duplicate points will be eliminated - in other words, this choice produces the full or "naive" grid.

Golub Welsch Rules

A multidimensional sparse grid rule is defined in terms of the 1D quadrature rules used in each dimension. This library provides 9 such standard rules. If rule[dim] is between 1 and 9, then the appropriate internal routines are called to compute the points and weights, and assumptions are also made about the growth rate in the rule.

The user may wish to define other quadrature rules, and to combine these with the built-in rules. Such rules are assumed to be generated by the Golub Welsch procedure. To build a sparse grid rule which uses a Golub Welsch rule in dimension dim, the user must do the following:

1) Set rule[dim]=10 to indicate that a Golub Welsch rule is being used in this dimension. The user may send parameters to this rule by setting np and p.

2) Write a point function of the form

        void compute_points ( int order, int np, double p[], double points[] )
      

3) Write a weight function of the form

        void compute_weights ( int order, int np, double p[], double weights[] )
      

The program knows a lot about sparse grid rules which are built entirely from the predefined internal rules. On the other hand, if even a single component of the sparse grid rule involves a user-defined Golub-Welsch rule, there are some things the program does not know how to do. Generally, these are minor issues, but the user should be aware of them. In particular:

• the function sgmg_write which writes files defining a sparse grid rule does not have enough information to specify the integration region, the "R" file;
• one of the test codes checks a sparse grid rule's accuracy by summing the weights. But the test code does not know enough about the correct result for such a sum when a Golub-Welsch rule is one of the factors of the sparse grid rule;

Web Link:

A version of the sparse grid library is available in http://tasmanian.ornl.gov, the TASMANIAN library, available from Oak Ridge National Laboratory.

Licensing:

The code described and made available on this web page is distributed under the GNU LGPL license.

Languages:

SGMG is available in a C++ version.

Related Data and Programs:

NINT_EXACTNESS_MIXED, a C++ program which measures the polynomial exactness of a multidimensional quadrature rule based on a mixture of 1D quadrature rule factors.

QUADRULE, a C++ library which defines quadrature rules for various intervals and weight functions.

SANDIA_RULES, a C++ library which produces 1D quadrature rules of Chebyshev, Clenshaw Curtis, Fejer 2, Gegenbauer, generalized Hermite, generalized Laguerre, Hermite, Jacobi, Laguerre, Legendre and Patterson types.

SANDIA_SGMG, a C++ library which creates a sparse grid dataset based on a mixed set of 1D factor rules, and experiments with the use of a linear growth rate for the quadrature rules. This is a version of SGMG that uses a different procedure for supplying the parameters needed to evaluate certain quadrature rules.

SANDIA_SPARSE, a C++ library which computes the points and weights of a Smolyak sparse grid, based on a variety of 1-dimensional quadrature rules.

SGMG, a dataset directory which contains multidimensional Smolyak sparse grids based on a mixed set of 1D factor rules and a choice of growth rules.

SGMGA, a C++ library which creates sparse grids based on a mixture of 1D quadrature rules, allowing anisotropic weights for each dimension.

SMOLPACK, a C library which implements Novak and Ritter's method for estimating the integral of a function over a multidimensional hypercube using sparse grids, by Knut Petras.

SPARSE_GRID_MIXED, a C++ library which creates sparse grids based on a mix of 1D rules.

TOMS847, a MATLAB program which uses sparse grids to carry out multilinear hierarchical interpolation. It is commonly known as SPINTERP, and is by Andreas Klimke.

Reference:

1. Milton Abramowitz, Irene Stegun,
   Handbook of Mathematical Functions,
   National Bureau of Standards, 1964,
   ISBN: 0-486-61272-4,
   LC: QA47.A34.
2. Charles Clenshaw, Alan Curtis,
   A Method for Numerical Integration on an Automatic Computer,
   Numerische Mathematik,
   Volume 2, Number 1, December 1960, pages 197-205.
3. Philip Davis, Philip Rabinowitz,
   Methods of Numerical Integration,
   Second Edition,
   Dover, 2007,
   ISBN: 0486453391,
   LC: QA299.3.D28.
4. Michael Eldred, John Burkardt,
   Comparison of Non-Intrusive Polynomial Chaos and Stochastic Collocation Methods for Uncertainty Quantification,
   American Institute of Aeronautics and Astronautics,
   Paper 2009-0976,
   47th AIAA Aerospace Sciences Meeting Including The New Horizons Forum and Aerospace Exposition,
   5 - 8 January 2009, Orlando, Florida.
5. Walter Gautschi,
   Numerical Quadrature in the Presence of a Singularity,
   SIAM Journal on Numerical Analysis,
   Volume 4, Number 3, September 1967, pages 357-362.
6. Thomas Gerstner, Michael Griebel,
   Numerical Integration Using Sparse Grids,
   Numerical Algorithms,
   Volume 18, Number 3-4, 1998, pages 209-232.
7. Gene Golub, John Welsch,
   Calculation of Gaussian Quadrature Rules,
   Mathematics of Computation,
   Volume 23, Number 106, April 1969, pages 221-230.
8. Prem Kythe, Michael Schaeferkotter,
   Handbook of Computational Methods for Integration,
   Chapman and Hall, 2004,
   ISBN: 1-58488-428-2,
   LC: QA299.3.K98.
9. Albert Nijenhuis, Herbert Wilf,
   Combinatorial Algorithms for Computers and Calculators,
   Second Edition,
   Academic Press, 1978,
   ISBN: 0-12-519260-6,
   LC: QA164.N54.
10. Fabio Nobile, Raul Tempone, Clayton Webster,
    A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data,
    SIAM Journal on Numerical Analysis,
    Volume 46, Number 5, 2008, pages 2309-2345.
11. Thomas Patterson,
    The Optimal Addition of Points to Quadrature Formulae,
    Mathematics of Computation,
    Volume 22, Number 104, October 1968, pages 847-856.
12. Sergey Smolyak,
    Quadrature and Interpolation Formulas for Tensor Products of Certain Classes of Functions,
    Doklady Akademii Nauk SSSR,
    Volume 4, 1963, pages 240-243.
13. Arthur Stroud, Don Secrest,
    Gaussian Quadrature Formulas,
    Prentice Hall, 1966,
    LC: QA299.4G3S7.
14. Joerg Waldvogel,
    Fast Construction of the Fejer and Clenshaw-Curtis Quadrature Rules,
    BIT Numerical Mathematics,
    Volume 43, Number 1, 2003, pages 1-18.

Source Code:

• sgmg.cpp, the source code.
• sgmg.hpp, the include file.
• sgmg.sh, commands to compile the source code.

Examples and Tests:

COMP_NEXT_PRB tests COMP_NEXT.

• comp_next_prb.cpp, a sample calling program.
• comp_next_prb.sh, commands to compile and run the sample program.
• comp_next_prb_output.txt, the output file.

PRODUCT_MIXED_GROWTH_WEIGHT_PRB tests PRODUCT_MIXED_GROWTH_WEIGHT.

• product_mixed_growth_weight_prb.cpp, a sample calling program.
• product_mixed_growth_weight_prb.sh, commands to compile and run the sample program.
• product_mixed_growth_weight_prb_output.txt, the output file.

SGMG_INDEX_PRB tests SGMG_INDEX.

• sgmg_index_prb.cpp, tests SGMG_INDEX.
• sgmg_index_prb.sh, commands to compile and run the sample program.
• sgmg_index_prb_output.txt, the output file.

SGMG_POINT_PRB tests SGMG_POINT.

• sgmg_point_prb.cpp, tests SGMG_POINT.
• sgmg_point_prb.sh, commands to compile and run the sample program.
• sgmg_point_prb_output.txt, the output file.

SGMG_SIZE_PRB tests SGMG_SIZE and SGMG_SIZE_TOTAL.

• sgmg_size_prb.cpp, the test program.
• sgmg_size_prb.sh, commands to compile and run the sample program.
• sgmg_size_prb_output.txt, the output file.

SGMG_SIZE_TABLE makes a point count table.

• sgmg_size_table.cpp, the test program.
• sgmg_size_table.sh, commands to compile and run the sample program.
• sgmg_size_table_output.txt, the output file.

SGMG_UNIQUE_INDEX_PRB tests SGMG_UNIQUE_INDEX.

• sgmg_unique_index_prb.cpp, the test program.
• sgmg_unique_index_prb.sh, commands to compile and run the sample program.
• sgmg_unique_index_prb_output.txt, the output file.

SGMG_WEIGHT_PRB tests SGMG_WEIGHT.

• sgmg_weight_prb.cpp, the test program.
• sgmg_weight_prb.sh, commands to compile and run the sample program.
• sgmg_weight_prb_output.txt, the output file.

SGMG_WRITE_PRB tests SGMG_WRITE.

• sgmg_write_prb.cpp, the test program.
• sgmg_write_prb.sh, commands to compile and run the sample program.
• sgmg_write_prb_output.txt, the output file.

SGMG_CC_SL creates a sparse grid using the Clenshaw-Curtis 1D quadrature rule with slow linear growth.

• sgmg_cc_sl.cpp, the test program.
• sgmg_cc_sl.sh, commands to compile and run the sample program.
• sgmg_cc_sl_output.txt, the output file.
• sgmg_cc_sl_n.txt, the N (number of parameters) data file;
• sgmg_cc_sl_p.txt, the P (parameter value) data file;
• sgmg_cc_sl_r.txt, the R (region dimension) data file;
• sgmg_cc_sl_w.txt, the W (sparse grid weights) data file;
• sgmg_cc_sl_x.txt, the X (sparse grid abscissas) data file;

List of Routines:

• PRODUCT_MIXED_GROWTH_WEIGHT computes the weights of a mixed product rule.
• SGMG_INDEX indexes a sparse grid of mixed 1D rules.
• SGMG_POINT computes the points of a sparse grid rule.
• SGMG_SIZE sizes a sparse grid, discounting duplicates.
• SGMG_SIZE_TOTAL sizes a sparse grid, counting duplicates.
• SGMG_UNIQUE_INDEX maps nonunique to unique points.
• SGMG_WEIGHT: sparse grid weights for a mix of 1D rules.
• SGMG_WRITE writes a sparse grid rule to five files.

You can go up one level to the C++ source codes.