SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...
We present a flexible and scalable method for computing global solutions of high-dimensional stochastic dynamic models. Within a time iteration or value function iteration setup, we interpolate ...
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