Markov-Chain Monte Carlo

Abstract

There are various things named after Monte Carlo, almost all of which originated from the Monte Carlo Casino in Monaco. In the mid-1940s, mathematicians John von Neumann and Stanislaw Ulam were working on a secret (nuclear) project at the Los Alamos National Laboratory in New Mexico. The project involved such calculations as the amount of energy that a neutron is likely to give off following a collision with an atomic nucleus. It turned out that the calculations could not be carried out analytically, so the two scientists suggested to solve the problem by using a random number-generating computer. Due to the secrecy of their project, they code-named their method Monte Carlo, referring to the Monaco casino, where Ulam’s uncle would borrow money to gamble (Ulam was born in Europe).