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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
Browse package contents
Package details |
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| Author | Louis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb] |
| Maintainer | Louis Aslett <aslett@stats.ox.ac.uk> |
| License | GPL-2 |
| Version | 1.0.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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