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 |
| 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 |
| macOS binaries: | r-release: mlmc_1.0.0.tgz, r-oldrel: mlmc_1.0.0.tgz |
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