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.

Install the latest version of this package by entering the following in R:
install.packages("mlmc")
AuthorLouis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]
Date of publication2016-04-24 23:19:03
MaintainerLouis Aslett <aslett@stats.ox.ac.uk>
LicenseGPL-2
Version1.0.0

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.