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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 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

Documentation:

Reference manual: 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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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.