On the Monte Carlo Method

"The Monte Carlo method is a numerical method of solving mathematical problems by the simulation of random variables. [...] One advantageous feature of the Monte Carlo method is the simple structure of the computation algorithm. As a rule, a program is written to carry out one random trial [...]. This trial is repeated N times, each trial being independent of the rest, and then the results of all trials are averaged. Therefore, the Monte Carlo method is sometimes called the method of statistical trials." (Ilya M Sobol, "A Primer for the Monte Carlo Method", 1994)

"To understand what kinds of problems are solvable by the Monte Carlo method, it is important to note that the method enables simulation of any process whose development is influenced by random factors. Second, for many mathematical problems involving no chance, the method enables us to artificially construct a probabilistic model (or several such models), making possible the solution of the problems." (Ilya M Sobol, "A Primer for the Monte Carlo Method", 1994)

"Indeed, the frequency of crashes in the Monte Carlo simulations was much smaller than the frequency of crashes in the real data: if one of the most frequently used benchmarks of the industry is incapable of reproducing the observed frequency of crashes, this indeed means that there is something to explain that may require new concepts and methods." (Didier Sornette, "Why Stock Markets Crash: Critical Events in Complex Systems", 2003)

"Monte Carlo simulations handle uncertainty by using a computer’s random number generator to determine outcomes. Done over and over again, the simulations show the distribution of the possible outcomes. [...] The beauty of these Monte Carlo simulations is that they allow users to see the probabilistic consequences of their decisions, so that they can make informed choices. [...] Monte Carlo simulations are one of the most valuable applications of data science because they can be used to analyze virtually any uncertain situation where we are able to specify the nature of the uncertainty [...]" (Gary Smith & Jay Cordes, "The 9 Pitfalls of Data Science", 2019)

"The Monte Carlo tree search method is naturally suited to non-deterministic settings such as card games or backgammon. Minimax trees are not well suited to non-deterministic settings because of the inability to predict the opponent’s moves while building the tree. On the other hand, Monte Carlo tree search is naturally suited to handling such settings, since the desirability of moves is always evaluated in an expected sense. The randomness in the game can be naturally combined with the randomness in move sampling in order to learn the expected outcomes from each choice of move." (Charu C Aggarwal, "Artificial Intelligence: A Textbook", 2021)

"The nice thing with Monte Carlo is that you play a game of let’s pretend, like this: first of all there are ten scenarios with different probabilities, so let’s first pick a probability. The dice in this case is a random number generator in the computer. You roll the dice and pick a scenario to work with. Then you roll the dice for a certain speed, and you roll the dice again to see what direction it took. The last thing is that it collided with the bottom at an unknown time so you roll dice for the unknown time. So now you have speed, direction, starting point, time. Given them all, I know precisely where it [could have] hit the bottom. You have the computer put a point there. Rolling dice, I come up with different factors for each scenario. If I had enough patience, I could do it with pencil and paper. We calculated ten thousand points. So you have ten thousand points on the bottom of the ocean that represent equally likely positions of the sub. Then you draw a grid, count the points in each cell of the grid, saying that 10% of the points fall in this cell, 1% in that cell, and those percentages are what you use for probabilities for the prior for the individual distributions." (Henry R Richardson) [in (Sharon B McGrayne, "The Theory That Would Not Die", 2011)]