Monte Carlo method

Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that
rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness
to solve problems that might be deterministic in principle. They are often used in physical and mathematical
problems and are most useful when it is difficult or impossible to use other approaches. Monte Carlo
methods are mainly used in three problem classes:[1] optimization, numerical integration, and generating
draws from a probability distribution.

In physics-related problems, Monte Carlo methods are useful for simulating systems with many coupled
degrees of freedom, such as fluids, disordered materials, strongly coupled solids, and cellular structures (see
cellular Potts model, interacting particle systems, McKean–Vlasov processes, kinetic models of gases).

Other examples include modeling phenomena with significant uncertainty in inputs such as the calculation
of risk in business and, in mathematics, evaluation of multidimensional definite integrals with complicated
boundary conditions. In application to systems engineering problems (space, oil exploration, aircraft design,
etc.), Monte Carlo–based predictions of failure, cost overruns and schedule overruns are routinely better
than human intuition or alternative "soft" methods.[2]

In principle, Monte Carlo methods can be used to solve any problem having a probabilistic interpretation.
By the law of large numbers, integrals described by the expected value of some random variable can be
approximated by taking the empirical mean (a.k.a. the 'sample mean') of independent samples of the
variable. When the probability distribution of the variable is parameterized, mathematicians often use a
Markov chain Monte Carlo (MCMC) sampler.[3][4][5] The central idea is to design a judicious Markov
chain model with a prescribed stationary probability distribution. That is, in the limit, the samples being
generated by the MCMC method will be samples from the desired (target) distribution.[6][7] By the ergodic
theorem, the stationary distribution is approximated by the empirical measures of the random states of the
MCMC sampler.

In other problems, the objective is generating draws from a sequence of probability distributions satisfying a
nonlinear evolution equation. These flows of probability distributions can always be interpreted as the
distributions of the random states of a Markov process whose transition probabilities depend on the
distributions of the current random states (see McKean–Vlasov processes, nonlinear filtering equation).[8][9]
In other instances we are given a flow of probability distributions with an increasing level of sampling
complexity (path spaces models with an increasing time horizon, Boltzmann–Gibbs measures associated
with decreasing temperature parameters, and many others). These models can also be seen as the evolution
of the law of the random states of a nonlinear Markov chain.[9][10] A natural way to simulate these
sophisticated nonlinear Markov processes is to sample multiple copies of the process, replacing in the
evolution equation the unknown distributions of the random states by the sampled empirical measures. In
contrast with traditional Monte Carlo and MCMC methodologies, these mean-field particle techniques rely
on sequential interacting samples. The terminology mean field reflects the fact that each of the samples
(a.k.a. particles, individuals, walkers, agents, creatures, or phenotypes) interacts with the empirical
measures of the process. When the size of the system tends to infinity, these random empirical measures
converge to the deterministic distribution of the random states of the nonlinear Markov chain, so that the
statistical interaction between particles vanishes.

Despite its conceptual and algorithmic simplicity, the computational cost associated with a Monte Carlo
simulation can be staggeringly high. In general the method requires many samples to get a good
approximation, which may incur an arbitrarily large total runtime if the processing time of a single sample is
high.[11] Although this is a severe limitation in very complex problems, the embarrassingly parallel nature
of the algorithm allows this large cost to be reduced (perhaps to a feasible level) through parallel computing
strategies in local processors, clusters, cloud computing, GPU, FPGA, etc.[12][13][14][15]

Overview
Monte Carlo methods vary, but tend to follow a particular pattern:

1. Define a domain of possible inputs

2. Generate inputs randomly from a probability distribution over the domain
3. Perform a deterministic computation on the inputs
4. Aggregate the results

For example, consider a quadrant (circular sector) inscribed in a unit

square. Given that the ratio of their areas is π4 , the value of π can be
approximated using a Monte Carlo method:[16]

1. Draw a square, then inscribe a quadrant within it

2. Uniformly scatter a given number of points over the
square
3. Count the number of points inside the quadrant, i.e.
having a distance from the origin of less than 1
4. The ratio of the inside-count and the total-sample-count
π
is an estimate of the ratio of the two areas, 4 . Multiply the Monte Carlo method applied to
result by 4 to estimate π . approximating the value of π.

In this procedure the domain of inputs is the square that

circumscribes the quadrant. We generate random inputs by scattering grains over the square then perform a
computation on each input (test whether it falls within the quadrant). Aggregating the results yields our final
result, the approximation of π .

There are two important considerations:

1. If the points are not uniformly distributed, then the approximation will be poor.
2. The approximation is generally poor if only a few points are randomly placed in the whole
square. On average, the approximation improves as more points are placed.

Uses of Monte Carlo methods require large amounts of random numbers, and their use benefitted greatly
from pseudorandom number generators, which were far quicker to use than the tables of random numbers
that had been previously used for statistical sampling.

History
Before the Monte Carlo method was developed, simulations tested a previously understood deterministic
problem, and statistical sampling was used to estimate uncertainties in the simulations. Monte Carlo
simulations invert this approach, solving deterministic problems using probabilistic metaheuristics (see
simulated annealing).
An early variant of the Monte Carlo method was devised to solve the Buffon's needle problem, in which π
can be estimated by dropping needles on a floor made of parallel equidistant strips. In the 1930s, Enrico
Fermi first experimented with the Monte Carlo method while studying neutron diffusion, but he did not
publish this work.[17]

In the late 1940s, Stanislaw Ulam invented the modern version of the Markov Chain Monte Carlo method
while he was working on nuclear weapons projects at the Los Alamos National Laboratory. In 1946,
nuclear weapons physicists at Los Alamos were investigating neutron diffusion in the core of a nuclear
weapon.[17] Despite having most of the necessary data, such as the average distance a neutron would travel
in a substance before it collided with an atomic nucleus and how much energy the neutron was likely to
give off following a collision, the Los Alamos physicists were unable to solve the problem using
conventional, deterministic mathematical methods. Ulam proposed using random experiments. He recounts
his inspiration as follows:

The first thoughts and attempts I made to practice [the Monte Carlo Method] were suggested
by a question which occurred to me in 1946 as I was convalescing from an illness and playing
solitaires. The question was what are the chances that a Canfield solitaire laid out with 52
cards will come out successfully? After spending a lot of time trying to estimate them by pure
combinatorial calculations, I wondered whether a more practical method than "abstract
thinking" might not be to lay it out say one hundred times and simply observe and count the
number of successful plays. This was already possible to envisage with the beginning of the
new era of fast computers, and I immediately thought of problems of neutron diffusion and
other questions of mathematical physics, and more generally how to change processes
described by certain differential equations into an equivalent form interpretable as a succession
of random operations. Later [in 1946], I described the idea to John von Neumann, and we
began to plan actual calculations.[18]

Being secret, the work of von Neumann and Ulam required a code name.[19] A colleague of von Neumann
and Ulam, Nicholas Metropolis, suggested using the name Monte Carlo, which refers to the Monte Carlo
Casino in Monaco where Ulam's uncle would borrow money from relatives to gamble.[17] Monte Carlo
methods were central to the simulations required for the Manhattan Project, though severely limited by the
computational tools at the time. Von Neumann, Nicholas Metropolis and others programmed the ENIAC
computer to perform the first fully automated Monte Carlo calculations, of a fission weapon core, in the
spring of 1948.[20] In the 1950s Monte Carlo methods were used at Los Alamos for the development of the
hydrogen bomb, and became popularized in the fields of physics, physical chemistry, and operations
research. The Rand Corporation and the U.S. Air Force were two of the major organizations responsible
for funding and disseminating information on Monte Carlo methods during this time, and they began to find
a wide application in many different fields.

The theory of more sophisticated mean-field type particle Monte Carlo methods had certainly started by the
mid-1960s, with the work of Henry P. McKean Jr. on Markov interpretations of a class of nonlinear
parabolic partial differential equations arising in fluid mechanics.[21][22] We also quote an earlier pioneering
article by Theodore E. Harris and Herman Kahn, published in 1951, using mean-field genetic-type Monte
Carlo methods for estimating particle transmission energies.[23] Mean-field genetic type Monte Carlo
methodologies are also used as heuristic natural search algorithms (a.k.a. metaheuristic) in evolutionary
computing. The origins of these mean-field computational techniques can be traced to 1950 and 1954 with
the work of Alan Turing on genetic type mutation-selection learning machines[24] and the articles by Nils
Aall Barricelli at the Institute for Advanced Study in Princeton, New Jersey.[25][26]
Quantum Monte Carlo, and more specifically diffusion Monte Carlo methods can also be interpreted as a
mean-field particle Monte Carlo approximation of Feynman–Kac path integrals.[27][28][29][30][31][32][33]
The origins of Quantum Monte Carlo methods are often attributed to Enrico Fermi and Robert Richtmyer
who developed in 1948 a mean-field particle interpretation of neutron-chain reactions,[34] but the first
heuristic-like and genetic type particle algorithm (a.k.a. Resampled or Reconfiguration Monte Carlo
methods) for estimating ground state energies of quantum systems (in reduced matrix models) is due to Jack
H. Hetherington in 1984[33] In molecular chemistry, the use of genetic heuristic-like particle methodologies
(a.k.a. pruning and enrichment strategies) can be traced back to 1955 with the seminal work of Marshall N.
Rosenbluth and Arianna W. Rosenbluth.[35]

The use of Sequential Monte Carlo in advanced signal processing and Bayesian inference is more recent. It
was in 1993, that Gordon et al., published in their seminal work[36] the first application of a Monte Carlo
resampling algorithm in Bayesian statistical inference. The authors named their algorithm 'the bootstrap
filter', and demonstrated that compared to other filtering methods, their bootstrap algorithm does not require
any assumption about that state-space or the noise of the system. We also quote another pioneering article in
this field of Genshiro Kitagawa on a related "Monte Carlo filter",[37] and the ones by Pierre Del Moral[38]
and Himilcon Carvalho, Pierre Del Moral, André Monin and Gérard Salut[39] on particle filters published
in the mid-1990s. Particle filters were also developed in signal processing in 1989–1992 by P. Del Moral, J.
C. Noyer, G. Rigal, and G. Salut in the LAAS-CNRS in a series of restricted and classified research reports
with STCAN (Service Technique des Constructions et Armes Navales), the IT company DIGILOG, and
the LAAS-CNRS (https://www.laas.fr/public/en) (the Laboratory for Analysis and Architecture of Systems)
on radar/sonar and GPS signal processing problems.[40][41][42][43][44][45] These Sequential Monte Carlo
methodologies can be interpreted as an acceptance-rejection sampler equipped with an interacting recycling
mechanism.

From 1950 to 1996, all the publications on Sequential Monte Carlo methodologies, including the pruning
and resample Monte Carlo methods introduced in computational physics and molecular chemistry, present
natural and heuristic-like algorithms applied to different situations without a single proof of their
consistency, nor a discussion on the bias of the estimates and on genealogical and ancestral tree based
algorithms. The mathematical foundations and the first rigorous analysis of these particle algorithms were
written by Pierre Del Moral in 1996.[38][46]

Branching type particle methodologies with varying population sizes were also developed in the end of the
1990s by Dan Crisan, Jessica Gaines and Terry Lyons,[47][48][49] and by Dan Crisan, Pierre Del Moral and
Terry Lyons.[50] Further developments in this field were described in 1999 to 2001 by P. Del Moral, A.
Guionnet and L. Miclo.[28][51][52]

Definitions
There is no consensus on how Monte Carlo should be defined. For example, Ripley[53] defines most
probabilistic modeling as stochastic simulation, with Monte Carlo being reserved for Monte Carlo
integration and Monte Carlo statistical tests. Sawilowsky[54] distinguishes between a simulation, a Monte
Carlo method, and a Monte Carlo simulation: a simulation is a fictitious representation of reality, a Monte
Carlo method is a technique that can be used to solve a mathematical or statistical problem, and a Monte
Carlo simulation uses repeated sampling to obtain the statistical properties of some phenomenon (or
behavior). Examples:

Simulation: Drawing one pseudo-random uniform variable from the interval [0,1] can be used
to simulate the tossing of a coin: If the value is less than or equal to 0.50 designate the
outcome as heads, but if the value is greater than 0.50 designate the outcome as tails. This
is a simulation, but not a Monte Carlo simulation.
 Monte Carlo method: Pouring out a box of coins on a table, and then computing the ratio of
coins that land heads versus tails is a Monte Carlo method of determining the behavior of
repeated coin tosses, but it is not a simulation.
Monte Carlo simulation: Drawing a large number of pseudo-random uniform variables from
the interval [0,1] at one time, or once at many different times, and assigning values less than
or equal to 0.50 as heads and greater than 0.50 as tails, is a Monte Carlo simulation of the
behavior of repeatedly tossing a coin.

Kalos and Whitlock[55] point out that such distinctions are not always easy to maintain. For example, the
emission of radiation from atoms is a natural stochastic process. It can be simulated directly, or its average
behavior can be described by stochastic equations that can themselves be solved using Monte Carlo
methods. "Indeed, the same computer code can be viewed simultaneously as a 'natural simulation' or as a
solution of the equations by natural sampling."

Monte Carlo and random numbers

The main idea behind this method is that the results are computed based on repeated random sampling and
statistical analysis. The Monte Carlo simulation is, in fact, random experimentations, in the case that, the
results of these experiments are not well known. Monte Carlo simulations are typically characterized by
many unknown parameters, many of which are difficult to obtain experimentally.[56] Monte Carlo
simulation methods do not always require truly random numbers to be useful (although, for some
applications such as primality testing, unpredictability is vital).[57] Many of the most useful techniques use
deterministic, pseudorandom sequences, making it easy to test and re-run simulations. The only quality
usually necessary to make good simulations is for the pseudo-random sequence to appear "random enough"
in a certain sense.

What this means depends on the application, but typically they should pass a series of statistical tests.
Testing that the numbers are uniformly distributed or follow another desired distribution when a large
enough number of elements of the sequence are considered is one of the simplest and most common ones.
Weak correlations between successive samples are also often desirable/necessary.

Sawilowsky lists the characteristics of a high-quality Monte Carlo simulation:[54]

the (pseudo-random) number generator has certain characteristics (e.g. a long "period"
before the sequence repeats)
the (pseudo-random) number generator produces values that pass tests for randomness
there are enough samples to ensure accurate results
the proper sampling technique is used
the algorithm used is valid for what is being modeled
it simulates the phenomenon in question.

Pseudo-random number sampling algorithms are used to transform uniformly distributed pseudo-random
numbers into numbers that are distributed according to a given probability distribution.

Low-discrepancy sequences are often used instead of random sampling from a space as they ensure even
coverage and normally have a faster order of convergence than Monte Carlo simulations using random or
pseudorandom sequences. Methods based on their use are called quasi-Monte Carlo methods.

In an effort to assess the impact of random number quality on Monte Carlo simulation outcomes,
astrophysical researchers tested cryptographically-secure pseudorandom numbers generated via Intel's
RDRAND instruction set, as compared to those derived from algorithms, like the Mersenne Twister, in
Monte Carlo simulations of radio flares from brown dwarfs. RDRAND is the closest pseudorandom
number generator to a true random number generator. No statistically significant difference was found
between models generated with typical pseudorandom number generators and RDRAND for trials
consisting of the generation of 107 random numbers.[58]

Monte Carlo simulation versus "what if" scenarios

There are ways of using probabilities that are definitely not Monte Carlo simulations – for example,
deterministic modeling using single-point estimates. Each uncertain variable within a model is assigned a
"best guess" estimate. Scenarios (such as best, worst, or most likely case) for each input variable are chosen
and the results recorded.[59]

By contrast, Monte Carlo simulations sample from a probability distribution for each variable to produce
hundreds or thousands of possible outcomes. The results are analyzed to get probabilities of different
outcomes occurring.[60] For example, a comparison of a spreadsheet cost construction model run using
traditional "what if" scenarios, and then running the comparison again with Monte Carlo simulation and
triangular probability distributions shows that the Monte Carlo analysis has a narrower range than the "what
if" analysis. This is because the "what if" analysis gives equal weight to all scenarios (see quantifying
uncertainty in corporate finance), while the Monte Carlo method hardly samples in the very low probability
regions. The samples in such regions are called "rare events".

Convergence
Convergence can be checked with the Gelman-Rubin diagnostic or the Geweke diagnostic.

Applications
Monte Carlo methods are especially useful for simulating phenomena with significant uncertainty in inputs
and systems with many coupled degrees of freedom. Areas of application include:

Physical sciences

Monte Carlo methods are very important in computational physics, physical chemistry, and related applied
fields, and have diverse applications from complicated quantum chromodynamics calculations to designing
heat shields and aerodynamic forms as well as in modeling radiation transport for radiation dosimetry
calculations.[61][62][63] In statistical physics, Monte Carlo molecular modeling is an alternative to
computational molecular dynamics, and Monte Carlo methods are used to compute statistical field theories
of simple particle and polymer systems.[35][64] Quantum Monte Carlo methods solve the many-body
problem for quantum systems.[8][9][27] In radiation materials science, the binary collision approximation for
simulating ion implantation is usually based on a Monte Carlo approach to select the next colliding
atom.[65] In experimental particle physics, Monte Carlo methods are used for designing detectors,
understanding their behavior and comparing experimental data to theory. In astrophysics, they are used in
such diverse manners as to model both galaxy evolution[66] and microwave radiation transmission through
a rough planetary surface.[67] Monte Carlo methods are also used in the ensemble models that form the
basis of modern weather forecasting.

Engineering
Monte Carlo methods are widely used in engineering for sensitivity analysis and quantitative probabilistic
analysis in process design. The need arises from the interactive, co-linear and non-linear behavior of typical
process simulations. For example,

In microelectronics engineering, Monte Carlo methods are applied to analyze correlated and
uncorrelated variations in analog and digital integrated circuits.
In geostatistics and geometallurgy, Monte Carlo methods underpin the design of mineral
processing flowsheets and contribute to quantitative risk analysis.[19]
In fluid dynamics, in particular rarefied gas dynamics, where the Boltzmann equation is
solved for finite Knudsen number fluid flows using the direct simulation Monte Carlo[68]
method in combination with highly efficient computational algorithms.[69]
In autonomous robotics, Monte Carlo localization can determine the position of a robot. It is
often applied to stochastic filters such as the Kalman filter or particle filter that forms the heart
of the SLAM (simultaneous localization and mapping) algorithm.
In telecommunications, when planning a wireless network, the design must be proven to
work for a wide variety of scenarios that depend mainly on the number of users, their
locations and the services they want to use. Monte Carlo methods are typically used to
generate these users and their states. The network performance is then evaluated and, if
results are not satisfactory, the network design goes through an optimization process.
In reliability engineering, Monte Carlo simulation is used to compute system-level response
given the component-level response.
In signal processing and Bayesian inference, particle filters and sequential Monte Carlo
techniques are a class of mean-field particle methods for sampling and computing the
posterior distribution of a signal process given some noisy and partial observations using
interacting empirical measures.[70]

Climate change and radiative forcing

The Intergovernmental Panel on Climate Change relies on Monte Carlo methods in probability density
function analysis of radiative forcing.[71]

Computational biology

Monte Carlo methods are used in various fields of computational biology, for example for Bayesian
inference in phylogeny, or for studying biological systems such as genomes, proteins,[72] or membranes.[73]
The systems can be studied in the coarse-grained or ab initio frameworks depending on the desired
accuracy. Computer simulations allow us to monitor the local environment of a particular molecule to see if
some chemical reaction is happening for instance. In cases where it is not feasible to conduct a physical
experiment, thought experiments can be conducted (for instance: breaking bonds, introducing impurities at
specific sites, changing the local/global structure, or introducing external fields).

Computer graphics
Path tracing, occasionally referred to as Monte Carlo ray tracing, renders a 3D scene by randomly tracing
samples of possible light paths. Repeated sampling of any given pixel will eventually cause the average of
the samples to converge on the correct solution of the rendering equation, making it one of the most
physically accurate 3D graphics rendering methods in existence.

Applied statistics

The standards for Monte Carlo experiments in statistics were set by Sawilowsky.[74] In applied statistics,
Monte Carlo methods may be used for at least four purposes:

1. To compare competing statistics for small samples under realistic data conditions. Although
type I error and power properties of statistics can be calculated for data drawn from classical
theoretical distributions (e.g., normal curve, Cauchy distribution) for asymptotic conditions (i.
e, infinite sample size and infinitesimally small treatment effect), real data often do not have
such distributions.[75]
2. To provide implementations of hypothesis tests that are more efficient than exact tests such
as permutation tests (which are often impossible to compute) while being more accurate
than critical values for asymptotic distributions.
3. To provide a random sample from the posterior distribution in Bayesian inference. This
sample then approximates and summarizes all the essential features of the posterior.
4. To provide efficient random estimates of the Hessian matrix of the negative log-likelihood
function that may be averaged to form an estimate of the Fisher information matrix.[76][77]

Monte Carlo methods are also a compromise between approximate randomization and permutation tests.
An approximate randomization test is based on a specified subset of all permutations (which entails
potentially enormous housekeeping of which permutations have been considered). The Monte Carlo
approach is based on a specified number of randomly drawn permutations (exchanging a minor loss in
precision if a permutation is drawn twice—or more frequently—for the efficiency of not having to track
which permutations have already been selected).

Artificial intelligence for games

Monte Carlo methods have been developed into a technique called Monte-Carlo tree search that is useful
for searching for the best move in a game. Possible moves are organized in a search tree and many random
simulations are used to estimate the long-term potential of each move. A black box simulator represents the
opponent's moves.[78]

The Monte Carlo tree search (MCTS) method has four steps:[79]

1. Starting at root node of the tree, select optimal child nodes until a leaf node is reached.
2. Expand the leaf node and choose one of its children.
3. Play a simulated game starting with that node.
4. Use the results of that simulated game to update the node and its ancestors.

The net effect, over the course of many simulated games, is that the value of a node representing a move
will go up or down, hopefully corresponding to whether or not that node represents a good move.
Monte Carlo Tree Search has been used successfully to play games such as Go,[80] Tantrix,[81]
Battleship,[82] Havannah,[83] and Arimaa.[84]

Design and visuals

Monte Carlo methods are also efficient in solving coupled integral differential equations of radiation fields
and energy transport, and thus these methods have been used in global illumination computations that
produce photo-realistic images of virtual 3D models, with applications in video games, architecture, design,
computer generated films, and cinematic special effects.[85]

Search and rescue

The US Coast Guard utilizes Monte Carlo methods within its computer modeling software SAROPS in
order to calculate the probable locations of vessels during search and rescue operations. Each simulation
can generate as many as ten thousand data points that are randomly distributed based upon provided
variables.[86] Search patterns are then generated based upon extrapolations of these data in order to
optimize the probability of containment (POC) and the probability of detection (POD), which together will
equal an overall probability of success (POS). Ultimately this serves as a practical application of probability
distribution in order to provide the swiftest and most expedient method of rescue, saving both lives and
resources.[87]

Finance and business

Monte Carlo simulation is commonly used to evaluate the risk and uncertainty that would affect the
outcome of different decision options. Monte Carlo simulation allows the business risk analyst to
incorporate the total effects of uncertainty in variables like sales volume, commodity and labour prices,
interest and exchange rates, as well as the effect of distinct risk events like the cancellation of a contract or
the change of a tax law.

Monte Carlo methods in finance are often used to evaluate investments in projects at a business unit or
corporate level, or other financial valuations. They can be used to model project schedules, where
simulations aggregate estimates for worst-case, best-case, and most likely durations for each task to
determine outcomes for the overall project.[1] (https://risk.octigo.pl/) Monte Carlo methods are also used in
option pricing, default risk analysis.[88][89][90] Additionally, they can be used to estimate the financial
impact of medical interventions.[91]

Law

A Monte Carlo approach was used for evaluating the potential value of a proposed program to help female
petitioners in Wisconsin be successful in their applications for harassment and domestic abuse restraining
orders. It was proposed to help women succeed in their petitions by providing them with greater advocacy
thereby potentially reducing the risk of rape and physical assault. However, there were many variables in
play that could not be estimated perfectly, including the effectiveness of restraining orders, the success rate
of petitioners both with and without advocacy, and many others. The study ran trials that varied these
variables to come up with an overall estimate of the success level of the proposed program as a whole.[92]

Library science

Monte Carlo approach had also been used to simulate the number of book publications based on book
genre in Malaysia. The Monte Carlo simulation utilized previous published National Book publication data
and book's price according to book genre in the local market. The Monte Carlo results were used to
determine what kind of book genre that Malaysians are fond of and was used to compare book publications
between Malaysia and Japan.[93]

Other

Nassim Nicholas Taleb writes about Monte Carlo generators in his 2001 book Fooled by Randomness as a
real instance of the reverse Turing test: a human can be declared unintelligent if their writing cannot be told
apart from a generated one.

Use in mathematics
In general, the Monte Carlo methods are used in mathematics to solve various problems by generating
suitable random numbers (see also Random number generation) and observing that fraction of the numbers
that obeys some property or properties. The method is useful for obtaining numerical solutions to problems
too complicated to solve analytically. The most common application of the Monte Carlo method is Monte
Carlo integration.

Integration

Deterministic numerical integration algorithms work well in a small

number of dimensions, but encounter two problems when the
functions have many variables. First, the number of function
evaluations needed increases rapidly with the number of
dimensions. For example, if 10 evaluations provide adequate
accuracy in one dimension, then 10100 points are needed for 100
dimensions—far too many to be computed. This is called the curse
of dimensionality. Second, the boundary of a multidimensional
region may be very complicated, so it may not be feasible to reduce
the problem to an iterated integral.[94] 100 dimensions is by no
means unusual, since in many physical problems, a "dimension" is
equivalent to a degree of freedom. Monte-Carlo integration works by
comparing random points with the
Monte Carlo methods provide a way out of this exponential value of the function
increase in computation time. As long as the function in question is
reasonably well-behaved, it can be estimated by randomly selecting
points in 100-dimensional space, and taking some kind of average of the function values at these points. By
the central limit theorem, this method displays convergence—i.e., quadrupling the number of sampled
points halves the error, regardless of the number of dimensions.[94]
A refinement of this method, known as importance sampling in
statistics, involves sampling the points randomly, but more
frequently where the integrand is large. To do this precisely one
would have to already know the integral, but one can approximate
the integral by an integral of a similar function or use adaptive
routines such as stratified sampling, recursive stratified sampling,
adaptive umbrella sampling[95][96] or the VEGAS algorithm.

A similar approach, the quasi-Monte Carlo method, uses low-

discrepancy sequences. These sequences "fill" the area better and
sample the most important points more frequently, so quasi-Monte Errors reduce by a factor of
Carlo methods can often converge on the integral more quickly.

Another class of methods for sampling points in a volume is to simulate random walks over it (Markov
chain Monte Carlo). Such methods include the Metropolis–Hastings algorithm, Gibbs sampling, Wang and
Landau algorithm, and interacting type MCMC methodologies such as the sequential Monte Carlo
samplers.[97]

Simulation and optimization

Another powerful and very popular application for random numbers in numerical simulation is in numerical
optimization. The problem is to minimize (or maximize) functions of some vector that often has many
dimensions. Many problems can be phrased in this way: for example, a computer chess program could be
seen as trying to find the set of, say, 10 moves that produces the best evaluation function at the end. In the
traveling salesman problem the goal is to minimize distance traveled. There are also applications to
engineering design, such as multidisciplinary design optimization. It has been applied with quasi-one-
dimensional models to solve particle dynamics problems by efficiently exploring large configuration space.
Reference[98] is a comprehensive review of many issues related to simulation and optimization.

The traveling salesman problem is what is called a conventional optimization problem. That is, all the facts
(distances between each destination point) needed to determine the optimal path to follow are known with
certainty and the goal is to run through the possible travel choices to come up with the one with the lowest
total distance. However, let's assume that instead of wanting to minimize the total distance traveled to visit
each desired destination, we wanted to minimize the total time needed to reach each destination. This goes
beyond conventional optimization since travel time is inherently uncertain (traffic jams, time of day, etc.).
As a result, to determine our optimal path we would want to use simulation - optimization to first
understand the range of potential times it could take to go from one point to another (represented by a
probability distribution in this case rather than a specific distance) and then optimize our travel decisions to
identify the best path to follow taking that uncertainty into account.

Inverse problems

Probabilistic formulation of inverse problems leads to the definition of a probability distribution in the
model space. This probability distribution combines prior information with new information obtained by
measuring some observable parameters (data). As, in the general case, the theory linking data with model
parameters is nonlinear, the posterior probability in the model space may not be easy to describe (it may be
multimodal, some moments may not be defined, etc.).

When analyzing an inverse problem, obtaining a maximum likelihood model is usually not sufficient, as we
normally also wish to have information on the resolution power of the data. In the general case we may
have many model parameters, and an inspection of the marginal probability densities of interest may be
impractical, or even useless. But it is possible to pseudorandomly generate a large collection of models
according to the posterior probability distribution and to analyze and display the models in such a way that
information on the relative likelihoods of model properties is conveyed to the spectator. This can be
accomplished by means of an efficient Monte Carlo method, even in cases where no explicit formula for
the a priori distribution is available.

The best-known importance sampling method, the Metropolis algorithm, can be generalized, and this gives
a method that allows analysis of (possibly highly nonlinear) inverse problems with complex a priori
information and data with an arbitrary noise distribution.[99][100]

Philosophy

Popular exposition of the Monte Carlo Method was conducted by McCracken.[101] The method's general
philosophy was discussed by Elishakoff[102] and Grüne-Yanoff and Weirich.[103]

See also
Mathematics
portal

Auxiliary field Monte Carlo

Biology Monte Carlo method
Direct simulation Monte Carlo
Dynamic Monte Carlo method
Ergodicity
Genetic algorithms
Kinetic Monte Carlo
List of software for Monte Carlo molecular modeling
Mean-field particle methods
Monte Carlo method for photon transport
Monte Carlo methods for electron transport
Monte Carlo N-Particle Transport Code
Morris method
Multilevel Monte Carlo method
Quasi-Monte Carlo method
Sobol sequence
Temporal difference learning

References

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