MLMC

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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 <http://geomop.github.io/>_ project in particular Analysis component.

Installation

Package can be installed via pip.

.. code-block::

pip install mlmc

Documentation

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

• NumPy <https://pypi.org/project/numpy/>_
• SciPy <https://pypi.org/project/scipy/>_
• h5py <https://pypi.org/project/h5py/>_
• attrs <https://pypi.org/project/attrs/>_
• ruamel.yaml <https://pypi.org/project/ruamel.yaml/>_
• gstools <https://pypi.org/project/gstools/>_
• memoization <https://pypi.org/project/memoization/>_
• sklearn <https://pypi.org/project/sklearn/>_

Licence

• Free software: GPL 3.0 License