Algorithm 847: spinterp: Piecewise multilinear hierarchical sparse grid interpolation in MATLAB

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.