Monte Carlo methods. Vol. 1: basics
Monte Carlo methods. Vol. 1: basics
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
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In applied mathematics, the name Monte Carlo is given to the method of solving problems by means of experiments with random numbers. This name (after the casino at Monaco) was first applied around 1944 to the method of solving deterministic problems by reformulating them in terms of a problem with random elements which could then be solved by large-scale sampling. But, by extension, the term has come to mean any simulation that uses random numbers.