### Author Topic: Monte Carlo Simulation: History and Application Example  (Read 648 times)

#### najnin

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##### Monte Carlo Simulation: History and Application Example
« on: October 11, 2014, 01:24:25 PM »
Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results; typically one runs simulations many times over in order to obtain the distribution of an unknown probabilistic entity. The name comes from the resemblance of the technique to the act of playing and recording results in a real gambling casino. They are often used in physical and mathematical problems and are most useful when it is difficult or impossible to obtain a closed-form expression, or unfeasible to apply a deterministic algorithm. Monte Carlo methods are mainly used in three distinct problem classes: optimization, numerical integration and generation of draws from a probability distribution.

The modern version of the Monte Carlo method was invented in the late 1940s by Stanislaw Ulam, while he was working on nuclear weapons projects at the Los Alamos National Laboratory. It was named by Nicholas Metropolis, after the Monte Carlo Casino, where Ulam's uncle often gambled. Immediately after Ulam's breakthrough, John von Neumann understood its importance and programmed the ENIAC computer to carry out Monte Carlo calculations.

Monte Carlo methods are widely used in engineering for sensitivity analysis and quantitative probabilistic analysis in process design. The need arises from the interactive, co-linear and non-linear behavior of typical process simulations. For example,

In telecommunications, when planning a wireless network, design must be proved to work for a wide variety of scenarios that depend mainly on the number of users, their locations and the services they want to use. Monte Carlo methods are typically used to generate these users and their states. The network performance is then evaluated and, if results are not satisfactory, the network design goes through an optimization process.

Monte Carlo Example for BER in BPSK System:

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