I'm having some troubles implementing a collocation method to solve a stochastic partial differential equation of the form:
$\nabla (a(x,w)\nabla u(x,w))=f(x,w)$ in $D$,
$u=g$ in $\partial D$
where $w$ is a vector of uniformly distributed random variables and a(x,w) is a randomly distributed coefficient.
I have read a few papers on the subject, and I have a very basic understanding of the theory behind using smolyak sampling in the collocation method. I think I could make a lot more sense of it by seeing how a particular example is coded from start to finish. I found this reference with code provided here for the galerkin method. I can't seem to find another example with the collocation method implemented.