Monte Carlo Simulation Techniques

Abstract: Monte Carlo simulations are widely used in many areas including particle accelerators. In this lecture, after a short introduction and reviewing of some statistical backgrounds, we will discuss methods such as direct inversion, rejection method, and Markov chain Monte Carlo to sample a probability distribution function, and methods for variance reduction to evaluate numerical integrals using the Monte Carlo simulation. We will also briefly introduce the quasi-Monte Carlo sampling at the end of this lecture.