Definition:Monte Carlo Method

Definition

A Monte Carlo method is a technique in statistics for investigating mathematical properties by repeated experiments a large number of times.

This is useful when an analytic solution is difficult to obtain.

Sampling Experiments

A Monte Carlo method is a solution to a problem by setting up an experiment, repeating it many times, and investigating the outcome.

Repeated Sampling

A Monte Carlo method is a method used to explore a probability distribution by repeated sampling.

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Also see

• Results about Monte Carlo methods can be found here.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): Monte Carlo methods
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): Monte Carlo methods