  We present a new algorithm which allows for direct numerically exact
solutions within dynamical mean-field theory (DMFT). It is based on the
established Hirsch-Fye quantum Monte Carlo (HF-QMC) method. However, the DMFT
impurity model is solved not at fixed imaginary-time discretization Delta_tau,
but for a range of discretization grids; by extrapolation, unbiased Green
functions are obtained in each DMFT iteration. In contrast to conventional
HF-QMC, the multigrid algorithm converges to the exact DMFT fixed points. It
extends the useful range of Delta_tau, is precise and reliable even in the
immediate vicinity of phase transitions and is more efficient, also in
comparison to continuous-time methods. Using this algorithm, we show that the
spectral weight transfer at the Mott transition has been overestimated in a
recent density matrix renormalization group study.
