louisaslett/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

Package details

MaintainerLouis Aslett <louis.aslett@durham.ac.uk>
LicenseGPL-2
Version2.0.2
URL https://mlmc.louisaslett.com/ https://github.com/louisaslett/mlmc
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("louisaslett/mlmc")
louisaslett/mlmc documentation built on Sept. 3, 2024, 10:36 p.m.