Monte Carlo method
E86905
The Monte Carlo method is a computational technique that uses random sampling to approximate numerical results, especially for complex integrals, simulations, and probabilistic systems.
Aliases (3)
Statements (49)
| Predicate | Object |
|---|---|
| instanceOf |
computational method
→
numerical method → simulation technique → stochastic method → |
| aimsAt |
approximating numerical results
→
|
| appliedTo |
Bayesian inference
→
complex integrals → computer graphics → engineering design → high-dimensional problems → operations research → optimization problems → probabilistic systems → quantitative finance → queueing systems → radiation transport → risk analysis → statistical physics → stochastic processes → |
| associatedWith |
Los Alamos National Laboratory
NERFINISHED
→
Manhattan Project → |
| basedOn |
law of large numbers
→
probability theory → |
| characterizedBy |
repeated random experiments
→
statistical estimation of quantities → use of pseudo-random numbers → |
| developedIn |
20th century
→
|
| estimates |
distribution functions
→
expectations → integrals → probabilities → variances → |
| hasAdvantage |
applicability to complex models
→
dimension-independent convergence rate → |
| hasDisadvantage |
potentially high computational cost
→
statistical noise in estimates → |
| hasProperty |
convergence rate proportional to inverse square root of sample size
→
|
| includes |
Markov chain Monte Carlo
→
Monte Carlo integration → Monte Carlo simulation → importance sampling → quasi-Monte Carlo method → variance reduction techniques → |
| namedAfter |
Monte Carlo
→
|
| nameRefersTo |
Monte Carlo casino in Monaco
→
|
| notableDeveloper |
John von Neumann
→
Nicholas Metropolis → Stanislaw Ulam → |
| uses |
random sampling
→
|
Referenced by (5)
| Subject (surface form when different) | Predicate |
|---|---|
|
Markov chain Monte Carlo
("Monte Carlo integration")
→
|
basedOn |
|
Stanislaw Ulam
→
|
coInvented |
|
Master of Financial Engineering
("Monte Carlo simulation")
→
|
focusesOn |
|
Monte Carlo method
("Monte Carlo integration")
→
|
includes |
|
Georges-Louis Leclerc, Comte de Buffon
("Buffon's needle probability problem")
→
|
knownFor |