This repository contains a Matlab implementation of the Multilevel Monte Carlo (MLMC) algorithm to solve the numerical example presented in "Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients" by Cliffe et al (2011).
This implementation of the algorithm is part of the Ph.D. course "058410 - AN INTRODUCTION TO FORWARD UNCERTAINTY QUANTIFICATION FOR STOCHASTIC PDES" by Politecnico di Milano university.