mlmc

Multi-Level Monte Carlo

CRAN Package

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.

  • Version1.0.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release04/24/2016

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  • Imports4 packages
  • Linking To1 package