mlmc: Multi-Level Monte Carlo
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 [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [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 |
Documentation:
| Reference manual: | mlmc.html ,mlmc.pdf |
Downloads:
| Package source: | mlmc_2.1.1.tar.gz |
| Windows binaries: | r-devel:mlmc_2.1.1.zip, r-release:mlmc_2.1.1.zip, r-oldrel:mlmc_2.1.1.zip |
| macOS binaries: | r-release (arm64):mlmc_2.1.1.tgz, r-oldrel (arm64):mlmc_2.1.1.tgz, r-release (x86_64):mlmc_2.1.1.tgz, r-oldrel (x86_64):mlmc_2.1.1.tgz |
| Old sources: | mlmc archive |
Linking:
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