louisaslett/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

MaintainerLouis Aslett <[email protected]>
LicenseGPL-2
Version1.0.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("louisaslett/mlmc")
louisaslett/mlmc documentation built on May 21, 2017, 2:39 p.m.