Accession Number : AD0648192

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

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Halton,John J.

Report Date : NOV 1966

Pagination or Media Count : 18

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)

Descriptors :   (*MONTE CARLO METHOD, *SEQUENTIAL ANALYSIS), PROBABILITY, RANDOM VARIABLES, SEQUENCES(MATHEMATICS), TOPOLOGY, CONVERGENCE, REAL NUMBERS, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE