General introduction to Monte Carlo and multi-level Monte Carlo methods

Abstract

In this chapter, we present a general introduction to Monte Carlo (MC)-based methods, sampling methodologies, stratification methods, and variance reduction techniques. In the first part, we will discuss the theoretical basis and the convergence proprieties of MC methods. The next part is devoted to pseudorandom and quasi-random number generation, the generation of random variables and the application of stratification. It is followed by techniques for correlation and discrepancy control. The third part presents the concept of Latin Hypercube Sampling (LHS). The last part introduces the concept of Multi-Level Monte Carlo (MLMC).