Selected Recent Applications of Sparse Grids
Benjamin Peherstorfer, Christoph Kowitz, Dirk Pflüger, Hans‐Joachim Bungartz · Numerical Mathematics Theory Methods and Applications · 2015
Sparse grids have become a versatile tool for a vast range of applications reaching from interpolation and numerical quadrature to data-driven problems and uncertainty quantification. We review four selected real-world applications of sparse grids: financial product pricing with the Black-Scholes model, interactive exploration of simulation data with sparse-grid-based surrogate models, analysis of simulation data through sparse grid data mining methods, and stability investigations of plasma turbulence simulations.