On Thu, Nov 13 2014, Nils Gudat <nils.gu...@gmail.com> wrote: > The question remaining is whether there's any options for shape preserving > interpolation in two or more dimensions. If anyone could point me towards a > package able to do this I'd be most grateful.
Hi Nils, AFAIK shape preserving interpolation for more than one variable is difficult. I see that you are an economist, so the relevant chapter in the Judd book would be a good starting point, and chances are you would have to program the algorithm yourself. If you need this for dynamic programming, then I would suggest that you either use linear interpolation (which is shape-preserving by construction), or work around the problem (implement some sensible default when the optimization on the RHS of the Bellman equation is nonconcave, and hope that this does not occur when the solution has converged, if it does, try to use the structure of the problem to work around it). Best, Tamas
