Monte Carlo methods

✍ Scribed by Dirk P. Kroese; Reuven Y. Rubinstein

• Publisher: Wiley (John Wiley & Sons)
• Year: 2011
• Tongue: English
• Weight: 229 KB
• Volume: 4
• Category: Article
• ISSN: 0163-1829
• DOI: 10.1002/wics.194

✦ Synopsis

Abstract

Many quantitative problems in science, engineering, and economics are nowadays solved via statistical sampling on a computer. Such Monte Carlo methods can be used in three different ways: (1) to generate random objects and processes in order to observe their behavior, (2) to estimate numerical quantities by repeated sampling, and (3) to solve complicated optimization problems through randomized algorithms. WIREs Comp Stat 2012, 4:48–58. doi: 10.1002/wics.194

This article is categorized under:

Statistical and Graphical Methods of Data Analysis > Markov Chain Monte Carlo (MCMC)