1. Patrick Farrell
  2. pymlmc

Overview

HTTPS SSH

Synopsis

pymlmc is a demo code for multilevel Monte Carlo computations in Python.

For mathematical details, see

@article{giles2015,
author = {Giles, M. B.},
title = {Multilevel {Monte Carlo} methods},
journal = {Acta Numerica},
volume = {24},
month = {5},
year = {2015},
pages = {259--328},
doi = {10.1017/S096249291500001X},
}

Authors

P. E. Farrell patrick.farrell@maths.ox.ac.uk

M. B. Giles mike.giles@maths.ox.ac.uk

Installation

To download:

$ git clone https://bitbucket.org/pefarrell/pymlmc.git
$ cd pymlmc

To run out of the source tree (the easiest way):

$ export PYTHONPATH=/path/to/pymlmc:$PYTHONPATH

or to install to your user-level Python installation:

$ python setup.py install --user

or to install to a particular directory:

$ python setup.py install --prefix=/path/to/directory

Example

$ python examples/opre/opre.py

License

This code is released under the GNU GPL. Anyone requiring a more permissive license should contact P. E. Farrell and M. B. Giles.