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Why the Monte Carlo method is so important today
Author(s) -
Kroese Dirk P.,
Brereton Tim,
Taimre Thomas,
Botev Zdravko I.
Publication year - 2014
Publication title -
wiley interdisciplinary reviews: computational statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.693
H-Index - 38
eISSN - 1939-0068
pISSN - 1939-5108
DOI - 10.1002/wics.1314
Subject(s) - markov chain monte carlo , monte carlo method , computer science , monte carlo method in statistical physics , monte carlo molecular modeling , hybrid monte carlo , statistical physics , mathematics , statistics , physics
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 This article is categorized under: Statistical and Graphical Methods of Data Analysis > Markov Chain Monte Carlo (MCMC) Statistical Models > Simulation Models