The Dignity [sic] of the Monte Carlo Method

Without a source I recall a text I read which described the invention of the Monte Carlo Method, and how it “was dignified with a name” after being used extensively during the Manhattan Project. This is a fantastic phrase that fits this method well.

Despite it’s scary name, the idea is very simple. You compute a lot of random points, say x_i \; : i \in \{1,...,N\}. Then check which ones satisfy a certain property, say P(x), then you compute the ratio

\dfrac{| \{x_i | P(x_i) \; true \} | }{N}

It is so unsophisticated that it would be embarrassing to explain to someone who was not already familiar with it. The fact that it works (sometimes) is remarkable and a testament to the fact that applications of mathematics and statistics are not always complex.

Despite being long dignified with a name, it does not have the same gravitas or weight in it’s name as other methods like the ‘finite difference method’ or ‘Euler’s method’. It was after all named after a casino.

To my knowledge this is a unique naming convention, reserved for the most ad hoc of methods.

I’ll update this post if I come across the source with this phrase.


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