MultilevelEstimators.jl

The Julia module for Multilevel Monte Carlo methods
Author PieterjanRobbe
Github
Popularity
8 Stars
Updated Last
5 Months Ago
Started In
July 2016

alt text MultilevelEstimators

Documentation Build Status Coverage
Documentation Documentation Build status Coverage Coverage Status

MultilevelEstimators is a Julia package for Multilevel Monte Carlo simulations. It contains the following methods:

  • Monte Carlo (MC) and Quasi-Monte Carlo (QMC)

  • Multilevel Monte Carlo (MLMC) and Multilevel Quasi-Monte Carlo (MLQMC)

  • Multi-Index Monte Carlo (MIMC) and Multi-Index Quasi-Monte Carlo (MIQMC)

  • Adaptive Multi-Index Monte Carlo (A-MIMC) and Adaptive Multi-Index Quasi-Monte Carlo (A-MIQMC)

  • NEW! Unbiased Multilevel Monte Carlo (U-MLMC) and Unbiased Multilevel Quasi-Monte Carlo (U-MLQMC)

  • NEW! Unbiased Multi-Index Monte Carlo (U-MIMC) and Unbiased Multi-Index Quasi-Monte Carlo (U-MIQMC)

Installation

The package is not (yet) registered in METADATA.jl but can be installed with

pkg> add https://github.com/PieterjanRobbe/MultilevelEstimators.jl

Read the instructions in the documentation for more details on how to install MultilevelEstimators and its dependencies.

Example

An example for a PDE with random coefficients can be found in the example section in the documentation.

Documentation

Documentation is available here.

Related Packages

  • Reporter.jl — automatic generation of diagnostic information and reports for a MultilevelEstimators simulation
  • LognormalDiffusionProblems.jl — a package with a complete MultilevelEstimators setup for a 2d elliptic PDE with random coefficients