Any method which solves a problem by generating suitable random numbers and observing that fraction of the numbers obeying some property or properties. The method is useful for obtaining numerical solutions to problems which are too complicated to solve analytically. It was named by S. Ulam, who in 1946 became the first mathematician to dignify this approach with a name, in honor of a relative having a propensity to gamble. Nicolas Metropolis also made important contributions to the development of such methods. The most common application of the Monte Carlo method is Monte Carlo integration.

Markov chain | Monte Carlo integration | quasi-Monte Carlo method | stochastic geometry | uniform distribution theory