5.2 A bit of history
There were several approaches to the Monte Carlo method in the early 20th century, but it was in the mid-1940s during the Manhattan Project at “Los Alamos” that this method was first intentionally developed by Stanislaw Ulam and John von Neumann for early work relating to the development of nuclear weapons.
Below you can read a quote from Stanislaw Ulam in which he explains how he came up with this simple but powerful method:
The first thoughts and attempts I made to practice [the Monte Carlo Method] were suggested by a question which occurred to me in 1946 as I was convalescing from an illness and playing solitaires. The question was what are the chances that a Canfield solitaire laid out with 52 cards will come out successfully? After spending a lot of time trying to estimate them by pure combinatorial calculations, I wondered whether a more practical method than “abstract thinking” might not be to lay it out say one hundred times and simply observe and count the number of successful plays. This was already possible to envisage with the beginning of the new era of fast computers, and I immediately thought of problems of neutron diffusion and other questions of mathematical physics, and more generally how to change processes described by certain differential equations into an equivalent form interpretable as a succession of random operations. Later [in 1946], I described the idea to John von Neumann, and we began to plan actual calculations.
Being secret, the work of von Neumann and Ulam required a code name. A colleague of von Neumann and Ulam, Nicholas Metropolis, suggested using the name Monte Carlo, which refers to the Monte Carlo Casino in Monaco where Ulam’s uncle would borrow money from relatives to gamble.