Serving the Quantitative Finance Community

 
User avatar
shoegazer
Topic Author
Posts: 0
Joined: June 17th, 2002, 6:44 pm

High Dimensional Interpolation

July 4th, 2002, 4:49 pm

Hi All,I'm looking for some pointers, references etc on High Dimensional Interpolation on unstructured grids. The interpolation scheme only needs to be linear but should be fairly effiecient. I have been looking through the literature trying to find such a thing but have been unable to find anything that is suitable. I wish for the algorithm to be general such that it can be applied to an N dimensional space and preferably not recursive ( though not an absolute requirement ) as is linear interpolation on a structured grid in high dimensions.If anyone has an ideas pointers or references that they know of that might help, it would be appreciated.thanks
 
User avatar
faisito
Posts: 0
Joined: July 4th, 2002, 5:42 pm

High Dimensional Interpolation

July 4th, 2002, 5:49 pm

shoegazer,there is a technique called kriging used in spatial statistics, which does interpolation in 1D, 2D and 3D.Try this link for more info.
Last edited by faisito on July 3rd, 2002, 10:00 pm, edited 1 time in total.