README.md

In louisaslett/mlmc: Multi-Level Monte Carlo

mlmc R package

CRAN check result

An implementation of Multi-level Monte Carlo for R. This package builds on the original GPL-2 Matlab and C++ implementations by Mike Giles (see http://people.maths.ox.ac.uk/~gilesm/mlmc/) to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.

Contact

Please feel free to:

• submit suggestions and bug-reports at: https://github.com/louisaslett/mlmc/issues
• compose an e-mail to: [e-mail], [e-mail] or [e-mail]

Install

You can install the latest release directly from CRAN.

install.packages("mlmc")

Install development version (not recommended)

Installing directly from GitHub is not supported by the install.packages command. You could use the devtools package to install the development version if desired.

install.packages("devtools")
library("devtools")
install_github("louisaslett/mlmc")

Under releases, the tree/commit from which CRAN releases were made are recorded, so historic source can be downloaded from there.

Acknowledgements

Louis Aslett is supported by the i-like programme grant (EPSRC grant reference number EP/K014463/1 http://www.i-like.org.uk). Tigran Nagapetyan and Sebastian Vollmer are supported by EPSRC Grant EP/N000188/1.

Citation

If you use this software, please cite:

Aslett, L. J. M., Giles, M. B., Nagapetyan, T. and Vollmer, S. J. (2016), mlmc: Tools for Multilevel Monte Carlo. R package.

Thank-you.

louisaslett/mlmc documentation built on May 21, 2019, 7:49 a.m.