Statistical Simulation of Systems

Abstract

The Monte Carlo method is one of the best known computational methods. It involves utilization of random trials in solving mainly computational problems. To apply this method, a “source of randomness” is required, i.e., a device that produces realizations of random numbers. Such devices are called random number generators (RNG). RNG generate a sequence {ω _n }, which is viewed as a sequence of independent random variables with a given distribution. Usually uniform random numbers, {ω _n }, uniformly distributed on the interval (0,1), are used. We shall adopt this convention in what follows.