Monte Carlo

Monte Carlo methods (or Monte Carlo experiments) are a class of computational algorithms that rely on repeated random sampling to compute their results. Monte Carlo methods are often used in computer simulations of physical and mathematical systems.

The Monte Carlo method was coined in the 1940s by John von Neumann, Stanislaw Ulam and Nicholas Metropolis, while they were working on nuclear weapon projects (Manhattan Project) in the Los Alamos National Laboratory. It was named in homage to the Monte Carlo Casino, a famous casino where Ulam's uncle would often gamble away his money.

Source: Wikipedia



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