MEPCM Package

The Multi-Element Probabilistic Collocation Method Package (MEPCMP) is a C++ package which can generate high dimensional, multi-element collocation points based on arbitrary probability density function for the application of Multi-Element Probabilistic Collocation Method (MEPCM). This package can generate high-dimensional stochastic collocation points based on tensor product rule, non-nested sparse grids method or anchored-ANOVA method. It can also be used for the multi-element probabilistic polynomial chaos method.