Transcription of Monte Carlo Methods and Importance Sampling
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Monte Carlo Methods and Importance Sampling
Lecture Notes for Stat 578Cc Eric C. AndersonStatistical Genetics20 October 1999(subbin' Thompson) Monte Carlo Methods and Importance SamplingHistory and de nition:The term \ Monte Carlo " was apparently rst used by Ulam and vonNeumann as a Los Alamos code word for the stochastic simulations they applied to building betteratomic bombs. Their Methods , involving the laws of chance, were aptly named after the inter-national gaming destination; the moniker stuck and soon after the War a wide range of stickyproblems yielded to the new techniques. Despite the widespread use of the Methods , and numerousdescriptions of them in articles and monographs, it is virtually impossible to nd a succint de ni-tion of \ Monte Carlo method" in the literature. Perhaps this is owing to the intuitive nature of thetopic which spawns many de nitions by way of speci c examples.
Definition: Monte Carlo is the art of approximating an expectation by the sample mean of a function of simulated random variables. We will flnd that this deflnition is broad enough to cover everything that has been called Monte Carlo, and yet makes clear its essence in very familiar terms: Monte Carlo is about invoking laws ...
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