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Название: Introduction to monte-carlo algorithms
Автор: Krauth W.
Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on random sampling to obtain numerical results. They are often used in physical and mathematical problems and are most suited to be applied when it is impossible to obtain a closed-form expression or infeasible to apply a deterministic algorithm. Monte Carlo methods are mainly used in three distinct problems: optimization, numerical integration and generation of samples from a probability distribution.