Administracion De Gestion

THE BEGINNING of the MONTE CARLO METHOD
by N. Metropolis

he year was 1945. Two earthshaking events took place: the successful test at Alamogordo and the building of the first electronic computer. Their combined impact was to modify qualitatively the nature of global interactions between Russia and the West. No less perturbative were the changes wrought in all of academic research and inapplied science. On a less grand scale these events brought about a renascence of a mathematical technique known to the old guard as statistical sampling; in its new surroundings and owing to its nature, there was no denying its new name of the Monte Carlo method. This essay attempts to describe the details that led to this renascence and the roles played by the various actors. It is appropriate thatit appears in an issue dedicated to Stan Ulam.
Los Alamos Science Special Issue 1987

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Some Background
Most of us have grown so blase about computer developments and capabilities -even some that are spectacular—that it is difficult to believe or imagine there was a time when we suffered the noisy, painstakingly slow, electromechanical devices that chomped away on punched cards. Their savinggrace was that they continued working around the clock, except for maintenance and occasional repair (such as removing a dust particle from a relay gap). But these machines helped enormously with the routine, relatively simple calculations that led to Hiroshima.

The ENIAC. During this wartime period, a team of scientists, engineers, and technicians was working furiously on the

firstelectronic computer—the ENIAC— at the University of Pennsylvania in Philadelphia. Their mentors were Physicist First Class John Mauchly and Brilliant Engineer Presper Eckert. Mauchly, familiar with Geiger counters in physics laboratories, had realized that if electronic circuits could count, then they could do arithmetic and hence solve, inter alia, difference equations—at almost incredible speeds! Whenhe’d seen a seemingly limitless array of women cranking out firing tables with desk calculators, he’d been inspired to propose to the Ballistics Research Laboratory at Aberdeen that an electronic computer be built to deal with these calculations. John von Neumann, Professor of Mathematics at the Institute for Advanced Study, was a consultant to Aberdeen and to Los Alamos. For a whole host of
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reasons, he had become seriously interested in the thermonuclear problem being spawned at that time in Los Alamos by a friendly fellow-Hungarian scientist, Edward Teller, and his group. Johnny (as he was affectionately called) let it be known that construction of the ENIAC was nearing completion, and he wondered whether Stan Frankel and I would be interested in preparing apreliminary computational model of a thermonuclear reaction for the ENIAC. He felt he could convince the authorities at Aberdeen that our problem could provide a more exhaustive test of the computer than mere firing-table computations. (The designers of the ENIAC had wisely provided for the capability of much more ambitious versions of firing tables than were being arduously computed by hand, not tomention other quite different applications.) Our response to von Neumann’s suggestion was enthusiastic, and his heuristic arguments were accepted by the authorities at Aberdeen. In March, 1945, Johnny, Frankel, and I visited the Moore School of Electrical Engineering at the University of Pennsylvania for an advance glimpse of the ENIAC. We were impressed. Its physical size was overwhelming—some18,000 double triode vacuum tubes in a system with 500,000 solder joints. No one ever had such a wonderful toy! The staff was dedicated and enthusiastic; the friendly cooperation is still remembered. The prevailing spirit was akin to that in Los Alamos. What a pity that a war seems necessary to launch such revolutionary scientific endeavors. The components used in the ENIAC were jointarmy-navy (JAN)...