A GENERAL FORMULATION OF THE MONTE CARLO METHOD AND 'STRONG LAWS' FOR CERTAIN SEQUENTIAL SCHEMES.

Abstract

The paper gives a new, general definition of the Monte Carlo method, couched in rigorous mathematical terms, which covers all known procedures which are described as 'Monte Carlo', and may suggest possible lines for future exploration of this field as a branch of applied mathematics. The concept of 'sequential Monte Carlo', originally introduced by the author in a previous work, is related to this broad definition, and two theorems are established which can be used as 'strong laws of large numbers' for a large class of sequential Monte Carlo processes. (Author)

Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1966
Accession Number
AD0648192

Entities

People

  • John J. Halton

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Applied Mathematics
  • Approximation (Mathematics)
  • Data Science
  • Information Science
  • Mathematical Analysis
  • Mathematics
  • Monte Carlo Method
  • Numerical Analysis
  • Smoothing (Mathematics)
  • Statistical Algorithms

Fields of Study

  • Mathematics

Readers

  • Aerospace Propulsion Engineering.
  • Theoretical Analysis.