Monte Carlo Method (Generation of Random Numbers)

The power of the Monte Carlo method comes from its conceptual simplicity and

the fact that it can be used in situations where there are no other methods of

solution. Although simple, the method relies on the ability to generate random

numbers that are used in the simulations. Although it may sound easy, the

generation of numbers that have all the properties of a random set is extremely

difficult. As R. R. Coveyou, an American mathematician, is reported to have said:

“the generation of random numbers is too important to be left to chance.”