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.
|Author||Louis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]|
|Date of publication||2016-04-24 23:19:03|
|Maintainer||Louis Aslett <[email protected]>|
|Package repository||View on CRAN|
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