doi:10.1287/opre.1070.0496>, Heinrich (1998) <doi:10.1006/jcom.1998.0471>, 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.">

mlmc: Multi-Level Monte Carlo (original) (raw)

An implementation of MLMC (Multi-Level Monte Carlo), Giles (2008) <doi:10.1287/opre.1070.0496>, Heinrich (1998) <doi:10.1006/jcom.1998.0471>, 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.

Version: 2.1.1
Imports: ggplot2, grid, parallel, Rcpp
LinkingTo: Rcpp
Published: 2024-11-11
DOI: 10.32614/CRAN.package.mlmc
Author: Louis Aslett ORCID iD [cre, aut, trl], Mike Giles ORCID iD [ctb], Tigran Nagapetyan ORCID iD [ctb], Sebastian Vollmer ORCID iD [ctb]
Maintainer: Louis Aslett <louis.aslett at durham.ac.uk>
BugReports: https://github.com/louisaslett/mlmc/issues
License: GPL-2
URL: https://mlmc.louisaslett.com/, https://github.com/louisaslett/mlmc
NeedsCompilation: yes
Materials: NEWS
CRAN checks: mlmc results

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