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.


Reference manual

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1.0.0 by Louis Aslett, 4 years ago

Browse source code at

Authors: Louis Aslett [cre, aut, trl] , Mike Giles [ctb] , Tigran Nagapetyan [ctb] , Sebastian Vollmer [ctb]

Documentation:   PDF Manual  

GPL-2 license

Imports ggplot2, grid, parallel, Rcpp

Linking to Rcpp

See at CRAN