Bayesian Analysis with Python - Second Edition

Monte Carlo

The use of random numbers explains the Monte Carlo part of the name. Monte Carlo methods are a very broad family of algorithms that use random sampling to compute or simulate a given process. Monte Carlo is a ward in the Principality of Monaco where a very famous casino is located. One of the developers of the Monte Carlo method, Stanislaw Ulam, had an uncle who used to gamble there. The key idea Stan had was that while many problems are difficult to solve or even formulate in an exact way, they can be effectively studied by taking samples from them. In fact, as the story goes, the motivation was to answer questions about the probability of getting a particular hand in a game of Solitaire. One way to solve this problem is to follow ...