Monte Carlo Methods: Early History and Recent Developments

Name:    Prof. Michael Mascagni                 
Address: Department of Computer Science and
         Department of Mathematics and
	 Department of Scientific Computing and
         Graduate Program in Molecular Biophysics	
         Florida State University
         Tallahassee, FL  32306-4530  USA
         AND
         Information Technology Laboratory
         Applied and Computational Mathematics Division
         100 Bureau Drive M/S 8910
         National Institute of Standards and Technology (NIST)
         Gaithersburg, MD  20899-8910  USA

Offices: 498 Dirac Science Library/207A Love Building (FSU) Building 225/Room B154 (NIST)
Phone:   +1.850.644.3290 (FSU) +1.301.975.2051 (NIST)
FAX:     +1.850.644.0058
e-mail:  mascagni@fsu.edu (FSU) mascagni@nist.gov (NIST)

Title: Monte Carlo Methods: Early History and Recent Developments

Abstract:
We give a brief overview of the early history of probability theory, which leads to the early history of the Monte Carlo method. Early Monte Carlo came together with a special group of physicists and mathematicians at Los Alamos along with the transition from analog and hand computation to automatic digital computing. This early marriage of Monte Carlo and high-performance computing (HPC) has continued. We then present an overview of some Monte Carlo methods, and show how modern developments continue to be strongly linked to developments in HPC. We conclude with some remarks about future trends in HPC and how Monte Carlo is very well situated to enable further developments.