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MultilevelEstimators is a Julia package for Multilevel Monte Carlo simulations. It contains the following methods:
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Monte Carlo (MC) and Quasi-Monte Carlo (QMC)
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Multilevel Monte Carlo (MLMC) and Multilevel Quasi-Monte Carlo (MLQMC)
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Multi-Index Monte Carlo (MIMC) and Multi-Index Quasi-Monte Carlo (MIQMC)
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Adaptive Multi-Index Monte Carlo (A-MIMC) and Adaptive Multi-Index Quasi-Monte Carlo (A-MIQMC)
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NEW! Unbiased Multilevel Monte Carlo (U-MLMC) and Unbiased Multilevel Quasi-Monte Carlo (U-MLQMC)
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NEW! Unbiased Multi-Index Monte Carlo (U-MIMC) and Unbiased Multi-Index Quasi-Monte Carlo (U-MIQMC)
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.
An example for a PDE with random coefficients can be found in the example section in the documentation.
Documentation is available here.
- 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