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.
Please feel free to:
You can install the latest release directly from CRAN.
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.
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.
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.
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