Introduction To Monte Carlo Methods

alexhwoods

I’m going to keep this tutorial light on math, because the goal is just to give a general understanding.

Monte Carlo methods originated from the Manhattan Project, as a way to simulate the distance neutrons would travel through through various materials [1]. Ideas using sampling had been around for a little while, but they took off in the making of the atomic bomb, and have since appeared in lots of other fields.

The idea is this—generate some random samples for some random variable of interest, then use these samples to compute values you’re interested in.

I know, super broad. The truth is because Monte Carlo has a ton of different applications, it’s hard to get a more precise definition. It’s used in product design, to simulate variability in parts manufacturing. It’s used in biology, to simulate average distance of a bird from it’s nest, which would allow a scientist…

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