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: | 2.0.2 |
Imports: | ggplot2, grid, parallel, Rcpp |
LinkingTo: | Rcpp |
Published: | 2024-09-04 |
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 |
Reference manual: | mlmc.pdf |
Package source: | mlmc_2.0.2.tar.gz |
Windows binaries: | r-devel: mlmc_2.0.2.zip, r-release: mlmc_2.0.2.zip, r-oldrel: mlmc_2.0.2.zip |
macOS binaries: | r-release (arm64): mlmc_2.0.2.tgz, r-oldrel (arm64): mlmc_2.0.2.tgz, r-release (x86_64): mlmc_2.0.2.tgz, r-oldrel (x86_64): mlmc_2.0.2.tgz |
Old sources: | mlmc archive |
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