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Monte Carlo Method

Any method which solves a problem by generating suitable random numbers and observing that fraction of the numbers obeying some property or properties. The method is useful for obtaining numerical solutions to problems which are too complicated to solve analytically. The most common application of the Monte Carlo method is Monte Carlo Integration.

See also Monte Carlo Integration


Sobol, I. M. A Primer for the Monte Carlo Method. Boca Raton, FL: CRC Press, 1994.

© 1996-9 Eric W. Weisstein