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Physical Mathematics by Kevin Cahill

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14

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Monte Carlo methods

14.1 The Monte Carlo method

The Monte Carlo method is simple, robust, and useful. It was invented by Enrico Fermi and developed by Metropolis (Metropolis et al., 1953). It has many applications. One can use it for numerical integration. One can use it to decide whether an odd signal is random noise or something to evaluate. One can use it to generate sequences of configurations that are random but occur according to a probability distribution, such as the Boltzmann distribution of statistical mechanics. One even can use it to solve virtually any problem for which one has a criterion to judge the quality of an arbitrary solution ...

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