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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
2.1.1 |
rolling linux/jammy R-4.5 | mlmc_2.1.1.tar.gz |
385.1 KiB |
2.1.1 |
rolling linux/noble R-4.5 | mlmc_2.1.1.tar.gz |
386.1 KiB |
2.1.1 |
rolling source/ R- | mlmc_2.1.1.tar.gz |
308.8 KiB |
2.1.1 |
latest linux/jammy R-4.5 | mlmc_2.1.1.tar.gz |
385.1 KiB |
2.1.1 |
latest linux/noble R-4.5 | mlmc_2.1.1.tar.gz |
386.1 KiB |
2.1.1 |
latest source/ R- | mlmc_2.1.1.tar.gz |
308.8 KiB |
2.1.1 |
2026-04-26 source/ R- | mlmc_2.1.1.tar.gz |
308.8 KiB |
2.1.1 |
2026-04-23 source/ R- | mlmc_2.1.1.tar.gz |
308.8 KiB |
2.1.1 |
2026-04-09 windows/windows R-4.5 | mlmc_2.1.1.zip |
709.4 KiB |
2.1.1 |
2025-04-20 source/ R- | mlmc_2.1.1.tar.gz |
308.8 KiB |