Browse Definitions :
Definition

Monte Carlo method or Monte Carlo analysis

Contributor(s): David Tobiano

The Monte Carlo method, also called Monte Carlo analysis, is a means of statistical evaluation of mathematical function s using random samples. This requires a good source of random numbers . There is always some error involved with this scheme, but the larger the number of random samples taken, the more accurate the result.

In its pure mathematical form, the Monte Carlo method consists of finding the definite integral of a function by choosing a large number of independent-variable samples at random from within an interval or region, averaging the resulting dependent-variable values, and then dividing by the span of the interval or the size of the region over which the random samples were chosen. This differs from the classical method of approximating a definite integral, in which independent-variable samples are selected at equally-spaced points within an interval or region.

The Monte Carlo method is most famous for its use during the Second World War in the design of the atomic bomb. It has also been used in diverse applications, such as the analysis of traffic flow on superhighways, the development of models for the evolution of stars, and attempts to predict fluctuations in the stock market. The scheme also finds applications in integrated circuit ( IC ) design, quantum mechanics , and communications engineering.

This was last updated in March 2011

Continue Reading About Monte Carlo method or Monte Carlo analysis

Start the conversation

Send me notifications when other members comment.

Please create a username to comment.

-ADS BY GOOGLE

File Extensions and File Formats

SearchCompliance

  • Whistleblower Protection Act

    The Whistleblower Protection Act of 1989 is a law that protects federal government employees in the United States from ...

  • smart contract

    A smart contract, also known as a cryptocontract, is a computer program that directly controls the transfer of digital currencies...

  • risk map (risk heat map)

    A risk map, also known as a risk heat map, is a data visualization tool for communicating specific risks an organization faces. A...

SearchSecurity

  • challenge-response authentication

    In information security, challenge-response authentication is a type of authentication protocol where one entity presents a ...

  • Secure Shell (SSH)

    SSH, also known as Secure Shell or Secure Socket Shell, is a network protocol that gives users, particularly system ...

  • honeypot (computing)

    A honeypot is a network-attached system set up as a decoy to lure cyberattackers and to detect, deflect or study hacking attempts...

SearchHealthIT

SearchDisasterRecovery

  • virtual disaster recovery

    Virtual disaster recovery is a type of DR that typically involves replication and allows a user to fail over to virtualized ...

  • tabletop exercise (TTX)

    A tabletop exercise (TTX) is a disaster preparedness activity that takes participants through the process of dealing with a ...

  • risk mitigation

    Risk mitigation is a strategy to prepare for and lessen the effects of threats faced by a data center.

SearchStorage

  • exbibyte (EiB)

    An exbibyte (EiB) is a unit used to measure data capacity.

  • zebibyte (ZiB)

    A zebibyte (ZiB) is a unit used to measure computing and storage capacity.

  • tiered storage

    Tiered storage is a way to assign different categories of data to various types of storage media with the objective of reducing ...

Close