An implementation of Multi-level Monte Carlo for R. This package builds on the original GPL-2 Matlab and C++ implementations by Mike Giles (see https://people.maths.ox.ac.uk/~gilesm/mlmc/) to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.
Please feel free to:
- submit suggestions and bug-reports at: https://github.com/louisaslett/mlmc/issues
- compose an e-mail to: [email protected]
You can install the latest stable release directly from CRAN.
install.packages("mlmc")Or you can install the latest release candidate binary from r-universe:
install.packages("mlmc", repos = c("https://louisaslett.r-universe.dev", options("repos")[[1]]))Installing directly from GitHub is not supported by the
install.packages command. You could use the
devtools package
to install the development version if desired.
install.packages("devtools")
devtools::install_github("louisaslett/mlmc")Under releases, the tree/commit from which CRAN releases were made are recorded, so historic source can be downloaded from there.
Louis Aslett was supported by the i-like programme grant (EPSRC grant reference number EP/K014463/1 http://www.i-like.org.uk) when this package was first conceived. Tigran Nagapetyan and Sebastian Vollmer were supported by EPSRC Grant EP/N000188/1.
If you use this software, please cite:
Aslett, L. J. M., Giles, M. B., Nagapetyan, T. and Vollmer, S. J. (2016), mlmc: Multi-Level Monte Carlo. R package. DOI: 10.32614/CRAN.package.mlmc https://CRAN.R-project.org/package=mlmc
@Manual{mlmcpkg,
title = {mlmc: Multi-Level Monte Carlo},
author = {Aslett, L. J. M. and Giles, M. B. and Nagapetyan, T. and Vollmer, S. J.},
year = {2016},
note = {R package},
doi = {10.32614/CRAN.package.mlmc},
url = {https://CRAN.R-project.org/package=mlmc}
}Thank-you.