Monte Carlo simulation is a method for exploring the sensitivity of a complex system by varying parameters within statistical constraints. These systems can include financial, physical, and mathematical models that are simulated in a loop, with statistical uncertainty between simulations. The results from the simulation are analyzed to determine the characteristics of the system.
Common tasks for performing Monte Carlo analysis include:
See also: formal verification, financial engineering, random number, system verification and validation, Monte Carlo simulation in computational finance, parameter estimation, load forecasting, modeling and simulation, simulation software, Monte Carlo simulation videos