mlmc R package

Project Status: Active - The project has reached a stable, usable state and is being actively developed. license metacran version metacran downloads 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 to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.


Please feel free to:


You can install the latest release directly from CRAN.


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.


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


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


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.


louisaslett/mlmc documentation built on May 21, 2017, 2:39 p.m.