mlmc: 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.

Version: 1.0.0
Imports: ggplot2, grid, parallel, Rcpp
LinkingTo: Rcpp
Published: 2016-04-24
Author: Louis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]
Maintainer: Louis Aslett <aslett at>
License: GPL-2
NeedsCompilation: yes
CRAN checks: mlmc results


Reference manual: mlmc.pdf


Package source: mlmc_1.0.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mlmc_1.0.0.tgz, r-oldrel (arm64): mlmc_1.0.0.tgz, r-release (x86_64): mlmc_1.0.0.tgz, r-oldrel (x86_64): mlmc_1.0.0.tgz


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