Sparsegrids

Sparse grid approximation

Sparse grid approximation is implemented following Brumm and Scheidegger (2017) and Brumm, J., Krause, C., Schaab, A., Scheidegger, S. (2021)
Sparse grid approximation computation is triggered by DynareJulia function sparsegridapproximation (see Tasmanian)
Sparse grid computations are done using Tasmanian library and the wrapper Tasmanian.jl
Currently only local polynomial grids are used
The user can select different kind of grids via the following options provided by the sparsegridapproximation function:
- gridOrder: order of the grid: 1 (linear), 2 (quadratic), 3 (cubic) (default: 1)
- gridRule: see Tasmanian manual (default: "localp")
- only gridOrder=1 and `gridRule="localp" have been tested. We need to test more options