Introduction to Monte Carlo simulation

Abstract

This is an introductory tutorial on Monte Carlo simulation, a type of simulation that relies on repeated random sampling and statistical analysis to compute the results. In this paper, we will briefly describe the nature and relevance of Monte Carlo simulation, the way to perform these simulations and analyze results, and the underlying mathematical techniques required for performing these simulations. We will present a few examples from various areas where Monte Carlo simulation is used, and also touch on the current state of software in this area.