Monte Carlo methods

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Abstract

Many quantitative problems in science, engineering, and economics are nowadays solved via statistical sampling on a computer. Such Monte Carlo methods can be used in three different ways: (1) to generate random objects and processes in order to observe their behavior, (2) to estimate numerical quantities by repeated sampling, and (3) to solve complicated optimization problems through randomized algorithms. WIREs Comp Stat 2012, 4:48–58. doi: 10.1002/wics.194

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