Algorithm 847: Spinterp: piecewise multilinear hierarchical sparse grid interpolation in MATLAB

@article{Klimke2005Algorithm8S,
  title={Algorithm 847: Spinterp: piecewise multilinear hierarchical sparse grid interpolation in MATLAB},
  author={Andreas Klimke and Barbara I. Wohlmuth},
  journal={ACM Trans. Math. Softw.},
  year={2005},
  volume={31},
  pages={561-579}
}
To recover or approximate smooth multivariate functions, sparse grids are superior to full grids due to a significant reduction of the required support nodes. The order of the convergence rate in the maximum norm is preserved up to a logarithmic factor. We describe three possible piecewise multilinear hierarchical interpolation schemes in detail and conduct a numerical comparison. Furthermore, we document the features of our sparse grid interpolation software package spinterp for MATLAB. 
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