Why the Monte Carlo method is so important today

By Dirk P. Kroese, Tim J. Brereton, Thomas Taimre, Zdravko I. Botev. 2014

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Since the beginning of electronic computing, people have been interested in carrying out random experiments on a computer. Such Monte Carlo techniques are now an essential ingredient in many quantitative investigations. Why is the Monte Carlo method (MCM) so important today? This article explores the reasons why the MCM has evolved from a ‘last resort’ solution to a leading methodology that permeates much of contemporary science, finance, and engineering. WIREs Comput Stat 2014, 6:386–392. doi: 10.1002/wics.1314

Subfields: Numerical Analysis, Statistical and Nonlinear Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7a56b632de84d0b81f283750b11609a042890639