A brief history of the Monte Carlo method

  • Published 2017


In this section we outline the important historical developments in the evolution of the Monte Carlo method. This section is just for fun; feel free to skip over it to the next chapter if you’re not interested. The idea of Monte Carlo calculation is a lot older than the computer. The name “Monte Carlo” is relatively recent—it was coined by Nicolas Metropolis in 1949—but under the older name of “statistical sampling” the method has a history stretching back well into the last century, when numerical calculations were performed by hand using pencil and paper and perhaps a slide-rule. As first envisaged, Monte Carlo was not a method for solving problems in physics, but a method for estimating integrals which could not be performed by other means. Integrals over poorly-behaved functions and integrals in high-dimensional spaces are two areas in which the method has traditionally proved profitable, and indeed it is still an important technique for problems of these types. To give an example, consider the function

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@inproceedings{2017ABH, title={A brief history of the Monte Carlo method}, author={}, year={2017} }