mlmc: Multi-Level Monte Carlo
Version 1.0.0

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]
Date of publication2016-04-24 23:19:03
MaintainerLouis Aslett <[email protected]>
LicenseGPL-2
Version1.0.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mlmc")

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mlmc documentation built on May 29, 2017, 12:30 p.m.