  In this paper, we develop a numerical multiscale method to solve the
fractional Laplacian with a heterogeneous diffusion coefficient. When the
coefficient is heterogeneous, this adds to the computational costs. Moreover,
the fractional Laplacian is a nonlocal operator in its standard form, however
the Caffarelli-Silvestre extension allows for a localization of the equations.
This adds a complexity of an extra spacial dimension and a singular/degenerate
coefficient depending on the fractional order. Using a sub-grid correction
method, we correct the basis functions in a natural weighted Sobolev space and
show that these corrections are able to be truncated to design a
computationally efficient scheme with optimal convergence rates. A key
ingredient of this method is the use of quasi-interpolation operators to
construct the fine scale spaces. Since the solution of the extended problem on
the critical boundary is of main interest, we construct a projective
quasi-interpolation that has both $d$ and $d+1$ dimensional averages over
subsets in the spirit of the Scott-Zhang operator. We show that this operator
satisfies local stability and local approximation properties in weighted
Sobolev spaces. We further show that we can obtain a greater rate of
convergence for sufficient smooth forces, and utilizing a global $L^2$
projection on the critical boundary. We present some numerical examples,
utilizing our projective quasi-interpolation in dimension $2+1$ for analytic
and heterogeneous cases to demonstrate the rates and effectiveness of the
method.
