mlmc: Multi-Level Monte Carlo

An implementation of Multi-level Monte Carlo for R. This package builds on the original 'Matlab' and C++ implementations by Mike Giles to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.

Getting started

Package details

AuthorLouis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]
MaintainerLouis Aslett <>
Package repositoryView on CRAN
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mlmc documentation built on May 1, 2019, 9:45 p.m.