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mlmc: Multi-Level Monte Carlo
An implementation of MLMC (Multi-Level Monte Carlo), Giles (2008) <doi:10.1287/opre.1070.0496>, Heinrich (1998) <doi:10.1006/jcom.1998.0471>, 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] (<https://orcid.org/0000-0003-2211-233X>), Mike Giles [ctb] (<https://orcid.org/0000-0002-5445-3721>), Tigran Nagapetyan [ctb] (<https://orcid.org/0000-0002-0379-1157>), Sebastian Vollmer [ctb] (<https://orcid.org/0000-0003-2831-1401>) |
| Maintainer | Louis Aslett <louis.aslett@durham.ac.uk> |
| License | GPL-2 |
| Version | 2.0.2 |
| URL | https://mlmc.louisaslett.com/ https://github.com/louisaslett/mlmc |
| Package repository | View on CRAN |
| Installation |
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