Chapter 4: Exploring Monte Carlo Simulations

Monte Carlo simulation is used to reproduce and numerically solve a problem in which random variables are also involved, and whose solution by analytical methods is too complex or impossible. In addition, the use of simulation allows you to test the effects of changes in the input variables or in the output function more easily and with a high degree of detail. Starting from modeling the processes and generating random variables, simulations composed of multiple runs capable of obtaining an approximation of the probability of certain results are performed.

This method has assumed great importance in many scientific and engineering areas, above all for its ability to deal with complex problems that previously could only be solved through deterministic simplifications. It is mainly used in three distinct classes of problems: optimization, numerical integration, and the generation of probability functions. In this chapter, we will explore...