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The Sparse Grids Matlab Kit provides a Matlab implementation of sparse grids,and can be used for approximating high-dimensional functions and, inparticular, for surrogate-model-based uncertainty quantification. It islightweight, high-level and easy to use, good for quick prototyping andteaching; however, it is equipped with some features that allow its use also inrealistic applications. The goal of this paper is to provide an overview of thedata structure and of the mathematical aspects forming the basis of thesoftware, as well as comparing the current release of our package to similaravailable software.

The Sparse Grids Matlab kit -- a Matlab implementation of sparse grids for high-dimensional function approximation and uncertainty quantification