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 stats.ox.ac.uk>
License: GPL-2
NeedsCompilation: yes
CRAN checks: mlmc results

Downloads:

Reference manual: mlmc.pdf
Package source: mlmc_1.0.0.tar.gz
Windows binaries: r-devel: mlmc_1.0.0.zip, r-release: mlmc_1.0.0.zip, r-oldrel: mlmc_1.0.0.zip
OS X Mavericks binaries: r-release: mlmc_1.0.0.tgz, r-oldrel: mlmc_1.0.0.tgz

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