Monte Carlo method

Definitions

noun a statistical analysis technique for calculating an unknown quantity which has an exact value by using an extended series of random trials

A computer-assisted mathematical technique for problem solving, in which repeated calculations or simulations are made using a combination of actual data, when available, and data selected randomly. Especially useful when dealing with problems with too many variables for conventional analytical treatment. May be used, for instance, to numerically plot the trajectories of many particles, and predict the interactions these have with a material through which they travel. The random aspects of this method are loosely analogous to the uncertain results that may be obtained by gambling, and Monte Carlo, Monaco, is a well-known gaming location. Also called Monte Carlo simulation, or Monte Carlo technique.
synonymMonte Carlo simulation
synonymMonte Carlo technique

A form of simulation used in cost-effectiveness and cost-utility analyses, in which repeated random numbers drawn from a given probability distribution stand for the values of uncertain variables. Confidence limits are placed on the most likely value after a large number of such simulations. Monte Carlo simulation is named after Monte Carlo, Monaco, where roulette wheels, dice, cards and slot machines replace the soberer games of economic modellers.

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