Chapter 3
Monte Carlo Methods
This chapter introduces the concept of Monte Carlo integration and reviews some basic concepts in probability theory. We also present techniques to create better distributions of samples. More details on Monte Carlo methods can be found in Kalos and Whitlock [86], Hammersley and Hand-scomb [62], and Spanier and Gelbard [183]. References on quasi-Monte Carlo methods include Niederreiter [132].
3.1 Brief History
The term “Monte Carlo” was coined in the 1940s, at the advent of electronic computing, to describe mathematical techniques that use statistical sampling to simulate phenomena or evaluate values of functions. These techniques were originally devised to simulate neutron transport by scientists such as Stanislaw ...
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