Despite its conceptual and algorithmic simplicity, the computational cost associated with a Monte Carlo simulation can be staggeringly high. In general the method requires many samples to get a good approximation, which may incurs an arbitrarily large total runtime if the processing time of a single sample is high. Although this is a severe limitation in very complex problems, the embarrassingly parallel nature of the algorithm allows this large cost to be reduced (perhaps to a feasible level) through parallel computing strategies in local processors, clusters, cloud computing, GPU, FPGA etc. | Despite its conceptual and algorithmic simplicity, the computational cost associated with a Monte Carlo simulation can be staggeringly high. In general the method requires many samples to get a good approximation, which may incurs an arbitrarily large total runtime if the processing time of a single sample is high. Although this is a severe limitation in very complex problems, the embarrassingly parallel nature of the algorithm allows this large cost to be reduced (perhaps to a feasible level) through parallel computing strategies in local processors, clusters, cloud computing, GPU, FPGA etc. |