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.
Contact
Please feel free to:
- submit suggestions and bug-reports at: https://github.com/louisaslett/mlmc/issues
- compose an e-mail to: louis.aslett@durham.ac.uk, nagapetyan@stats.ox.ac.uk or vollmer@stats.ox.ac.uk
Install
You can install the latest release directly from CRAN.
install.packages("mlmc")Or you can install the latest binary from r-universe:
install.packages("mlmc", repos = c("https://louisaslett.r-universe.dev", "https://cloud.r-project.org"))Install development version (not recommended)
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.
Acknowledgements
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.
Citation
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. 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},
url = {https://CRAN.R-project.org/package=mlmc},
}Thank-you.