
The Beginning of the Monte Carlo Method (1987) - mgdo
https://fermatslibrary.com/s/the-beginning-of-the-monte-carlo-method
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blt
The jewel of monte carlo methods is Markov Chain Monte Carlo (MCMC) for
sampling from high-dimensional probability distributions. The math is more
involved, but the problem it solves is really hard and really important.

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tmalsburg2
While the math is complex, the algorithms are not necessarily. In its simplest
form, MCMC sampling can be implemented in 10 lines of code (Metropolis-
Hastings algorithm) -- an exercise that I recommend to everyone who's
interested in the topic.

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blt
Yeah I've noticed that pattern when I implement numerical algorithms by hand.
A lot of the time they're pretty simple. But you need the analysis to be
confident that it will work. A point in favor of formal CS / applied math :)

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QasimK
I’ve tried several times, but th page is just unreadable for me! I like to
click the page and highlight words as I read. However, the interactive side
bar moves the page and kills your (my) ability to read. So despite being
signed up for the last few months, I haven’t ever made it past the first
couple of pages :(

Can I not just have the PDF to read? The problems ultimately stem from the
desire to prevent people from consuming the content in their own way.

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almata
It's usually easier to just look for the paper somewhere else once you've
decided you want to read it your own way. In this case, you can find it here
[0]. As they often show kind-of-classic papers, many of them are publicly
available through a Google search.

[0] [http://library.lanl.gov/cgi-
bin/getfile?00326866.pdf](http://library.lanl.gov/cgi-
bin/getfile?00326866.pdf)

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QasimK
Thanks for this solution! I had just assumed it would be too difficult to find
elsewhere :/

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perfectnsphere
At its heart, Monte Carlo is just trying something a bunch of times and seeing
what happens, right1?

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tunesmith
My wife and I used Monte Carlo to buy our second house. We were trying to sell
a house, buy a new one, juggle a couple of other transactions, predict
interest rates, all while trying to understand our new budget (we were newly
together and hadn't lived together yet at that time).

So, there were a bunch of different variables that led to a final scenario of
how big our final monthly payment would be. We were both conservative in our
choices, too.

The trick with Monte Carlo is that if we had been conservative on our
predictions on every single variable, I don't think we ever would have bought
our house.

But by doing a Monte Carlo simulation - assuming each variable was roughly
independent of the others, and picking a sane-seeming variance for each
prediction - we were able to simulate 10,000 scenarios, and then pick the
numbers that led to us meeting our budget in 95% of cases. They key number
there was the "asking price" of the house we were looking for.

That asking price - that was safe in 95% of scenarios - was much higher than
it would have been had we been conservative with every single variable.

And it worked great. The conservatism of the 95% estimate gave us some wiggle
room, a couple of the other variables broke our way, and our combined monthly
budget still allowed us to save more money than when we were living
separately.

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randogp
I'd love to have a web-app for that

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noja
Me too. Or a layman's level worked write-up.

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commandlinefan
> The war ended before we finished our problems

Damn, how do you get a job like that? If something takes more than a couple
hours I get criticized.

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jeisc
unsolvable problems require unmeasurable time to be resolved

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bcaa7f3a8bbc
In addition to the historical account of Mote Carlo Meothod, an accurate
prediction of computing was given in 1987 at the end of the article...

> The miracle of the chip, like most miracles, is almost unbelievable. Yet the
> fantastic performances achieved to date havenot quieted all users. At the
> same time we are reaching upper limits on the computing power of a single
> processor.

> One bright facet of the miracle is the lack of macroscopic moving parts,
> which makes the chip a very reliable bit of hardware. Such reliability
> suggests parallel processing. The thought here is not a simple extension to
> two, or even four or eight, processing systems.

> Such extensions are adiabatic transitions that, to be sure, should be part
> of the immediate, short-term game plan. Rather, the thought is massively
> parallel operations with thousands of interacting processors-even millions!

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petermcneeley
The neutron diffusion simulation seems simplistic and probably reflects the
limitations of the time. Can one imagine what John Von Neumann would do given
access a modern supercomputer?

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mlthoughts2018
Just imagine how many personalized ads von Neumann could get us to click on.

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tomrod
Few, for many, because digital ads aren't terribly persuasive.

