Monte Carlo Simulation in Python – Simulating a Random Walk
Ok so it’s about that time again – I’ve been thinking what my next post should be about and I have decided to have a quick look at Monte Carlo simulations.
Wikipedia states “Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. Their essential idea is using randomness to solve problems that might be deterministic in principle. They are often used in physical and mathematical problems and are most useful when it is difficult or impossible to use other approaches. Monte Carlo methods are mainly used in three distinct problem classes: optimization, numerical integration, and generating draws from a probability distribution.”