Monte Carlo

A very layman understanding: Monte Carlo methods allow you to estimate the size of something – say, estimate the area under a curve – without knowing its true shape. You only need a way of telling whether a given random point is within the area or not. Then you generate lots of random points and see how large a fraction ended up within the area.

It was discovered by Stanislaw Ulam during World War II, and the US Government codenamed it Monte Carlo because it was codenaming everything coming out of Los Alamos just in case.

What links here

• Markov chain Monte Carlo
• Stanislaw Ulam (1909–1984)