Multilevel Monte Carlo method.
Project description
MLMC
MLMC provides tools for the multilevel Monte Carlo method.
mlmc package includes:
samples scheduling
estimation of generalized moment functions
probability density function approximation
advanced post-processing with Quantity structure
It is meant as part of the GeoMop project in particular Analysis component.
Installation
Package can be installed via pip.
pip install mlmcDocumentation
You can find the documentation including tutorials under https://mlmc.readthedocs.io/
Development
Provided that you want to contribute, create a pull request and make sure you run tox before. Tox installs necessary requirements as well as the developed package itself into clear virtual environment and call pytest to search in the test folder for tests to execute.
Requirements
Licence
Free software: GPL 3.0 License
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