The Count of Monte Carlo

Abstract

In the famous Dumas novel The Count of Monte Cristo[4], the (future) count is falsely accused of treason. Only after a long and difficult fight does he achieve respectability and reveal his adversaries as imposters. Similarly, Monte Carlo techniques are falsely accused of several crimes, including wasting computational resources, missing errors, and inadequate feedback. However, a more detailed analysis shows that the real problem involves many more variables than commonly thought, that proposed solutions do poorly in these cases, and that Monte Carlo is not as expensive as has been thought. Furthermore the drawbacks are either easy to overcome or shared by the other possible solutions. In short, the stage is set for Monte Carlo to return to respectability, if not triumph.