Monte Carlo Method

Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be deterministic in principle

Monte Carlo methods vary, but tend to follow a particular pattern:

  1. Define a domain of possible inputs
  2. Generate inputs randomly from a probability distribution over the domain
  3. Perform a deterministic computation on the inputs
  4. Aggregate the results

For example, consider a quadrant (circular sector) inscribed in a unit square. Given that the ratio of their areas is π/4, the value of π can be approximated using a Monte Carlo method:

  1. Draw a square, then inscribe a quadrant within it
  2. Uniformly scatter a given number of points over the square
  3. Count the number of points inside the quadrant, i.e. having a distance from the origin of less than 1
  4. The ratio of the inside-count and the total-sample-count is an estimate of the ratio of the two areas, π/4.
  5. Multiply the result by 4 to estimate π.

Further Reading