Multi-Level Monte Carlo

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.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("mlmc")

1.0.0 by Louis Aslett, a year ago


Browse source code at https://github.com/cran/mlmc


Authors: Louis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]


Documentation:   PDF Manual  


GPL-2 license


Imports ggplot2, grid, parallel, Rcpp

Linking to Rcpp


See at CRAN