EU Regional School - Garcke Seminar
Prof. Dr. Garcke
University of Bonn, Fraunhofer SCAI
It is well known that classical numerical discretization schemes fail in more than three or four dimensions due to the curse of dimensionality. The technique of sparse grids allows to overcome this problem to some extent under suitable regularity assumptions. This discretization approach is obtained from a multi-scale basis by a tensor product construction and subsequent truncation of the resulting multiresolution series expansion. The underlying ideas can be used for numerical integration and (stochastic) partial differential equations, applications include data analysis, finance, and physics.
Lecture Material I
Lecture Material II
Lecture Material III