Monte Carlo Algorithm (10C) Young Won Lim 5/31/17 Copyright (c) 2017 Young W. Lim. Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled "GNU Free Documentation License". Please send corrections (or suggestions) to
[email protected]. This document was produced by using OpenOffice and Octave. Young Won Lim 5/31/17 Monte Carlo ● Monte Carlo Method (Monte Carlo Simulation) ● Monte Carlo Algorithm Young Won Lim Monte Carlo Algorithm (10C) 3 5/31/17 Monte Carlo Method a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. Their essential idea is using 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. used in three distinct problem classes: ● optimization, ● numerical integration ● generating draws from a probability distribution. https://en.wikipedia.org/wiki/Monte_Carlo_method Young Won Lim Monte Carlo Algorithm (10C) 4 5/31/17 Patterns of Monte Carlo Methods Monte Carlo methods vary, but tend to follow a particular pattern: ● Define a domain of possible inputs. ● Generate inputs randomly from a probability distribution over the domain. ● Perform a deterministic computation on the inputs. ● Aggregate the results. https://en.wikipedia.org/wiki/Monte_Carlo_method Young Won Lim Monte Carlo Algorithm (10C) 5 5/31/17 Examples of Monte Carlo Methods For example, consider a circle inscribed in a unit square.