next up previous

1 Introduction to Monte Carlo Methods     continued...

Figure 1 illustrates the idea of Monte Carlo, or statistical, simulation as applied to an arbitrary physical system. Assuming that the evolution of the physical system can be described by probability density functions (pdf's), then the Monte Carlo simulation can proceed by sampling from these pdf's, which necessitates a fast and effective way to generate random numbers uniformly distributed on the interval [0,1]. The outcomes of these random samplings, or trials, must be accumulated or tallied in an appropriate manner to produce the desired result, but the essential characteristic of Monte Carlo is the use of random sampling techniques (and perhaps other algebra to manipulate the outcomes) to arrive at a solution of the physical problem. In contrast, a conventional numerical solution approach would start with the mathematical model of the physical system, discretizing the differential equations and then solving a set of algebraic equations for the unknown state of the system.

Figure 1: Monte Carlo Simulation of Physical System.