Why use Monte-Carlo method?

Gili picture Gili · May 27, 2010 · Viewed 10k times · Source

When should the Monte-Carlo method be used?

For example, why did Joel decide to use the Monte-Carlo method for Evidence Based Scheduling instead of methodically processing all user data for the past year?

Answer

jmbr picture jmbr · Jun 20, 2010

Monte Carlo methods are commonly used when the dimensionality of the problem is too high for traditional schemes. A great introductory paper on the subject is Persi Diaconis' The Markov Chain Monte Carlo Revolution.