2nd/10_Wiki/Topics/Frontend/몬테카를로 시뮬레이션(Monte Carlo Simulation).md

---
id: wiki-2026-0508-몬테카를로-시뮬레이션-monte-carlo-simulati
title: 몬테카를로 시뮬레이션(Monte Carlo Simulation)
category: 10_Wiki/Topics
status: verified
canonical_id: self
aliases: [Monte Carlo, MC Simulation, 몬테카를로법, Random Sampling]
duplicate_of: none
source_trust_level: A
confidence_score: 0.9
verification_status: applied
tags: [simulation, statistics, numerical-methods, probability]
raw_sources: []
last_reinforced: 2026-05-10
github_commit: pending
tech_stack:
  language: python
  framework: numpy
---

# 몬테카를로 시뮬레이션(Monte Carlo Simulation)

## 매 한 줄
> **"매 random sampling 의 deterministic answer 추정"**. Stanislaw Ulam (Manhattan Project, 1946)이 neutron diffusion 위해 고안. 매 closed-form solution 없는 high-dim integral, optimization, risk modeling 의 해법 — 매 large-N law of large numbers 의 convergence.

## 매 핵심

### 매 4단계
1. **Define domain** of possible inputs (probability distribution).
2. **Sample randomly** from domain (PRNG).
3. **Compute deterministically** for each sample.
4. **Aggregate** results (mean, variance, percentiles).

### 매 수학 기반
- **Law of Large Numbers**: sample mean → expected value as N → ∞.
- **Convergence rate**: O(1/√N) — 매 4× samples 의 2× accuracy.
- **Curse of dimensionality 의 escape**: deterministic methods (grid) 매 d²/d³, MC 매 dimension-independent.

### 매 응용
1. **금융**: VaR, option pricing (Black-Scholes 외 path-dependent).
2. **물리**: particle transport, lattice QCD.
3. **AI**: Monte Carlo Tree Search (AlphaGo, MuZero).
4. **Engineering**: reliability analysis, sensitivity.
5. **3D rendering**: path tracing (Blender Cycles, Pixar RenderMan).

## 💻 패턴

### 1. π 추정 (canonical example)
```python
import numpy as np

def estimate_pi(n: int = 1_000_000) -> float:
    pts = np.random.uniform(-1, 1, (n, 2))
    inside = np.sum(pts[:, 0]**2 + pts[:, 1]**2 <= 1)
    return 4 * inside / n

print(estimate_pi(10_000_000))  # ~3.14159
```

### 2. Option pricing (Black-Scholes via MC)
```python
import numpy as np

def european_call_mc(S0=100, K=105, r=0.05, sigma=0.2, T=1.0, n_paths=1_000_000):
    Z = np.random.standard_normal(n_paths)
    ST = S0 * np.exp((r - 0.5 * sigma**2) * T + sigma * np.sqrt(T) * Z)
    payoff = np.maximum(ST - K, 0)
    return np.exp(-r * T) * payoff.mean()

price = european_call_mc()
print(f"Call price: {price:.4f}")
```

### 3. Value at Risk (VaR)
```python
import numpy as np

def historical_var(returns: np.ndarray, alpha: float = 0.05) -> float:
    return np.quantile(returns, alpha)

def parametric_var(mu, sigma, alpha=0.05, n=100_000):
    samples = np.random.normal(mu, sigma, n)
    return np.quantile(samples, alpha)

# portfolio daily returns
returns = np.random.normal(0.001, 0.02, 10_000)
print(f"5% VaR: {historical_var(returns):.4f}")
```

### 4. Monte Carlo integration
```python
import numpy as np

def mc_integrate(f, a, b, n=1_000_000):
    x = np.random.uniform(a, b, n)
    return (b - a) * np.mean(f(x))

# integrate sin(x) on [0, π] (true value = 2)
result = mc_integrate(np.sin, 0, np.pi)
print(result)  # ~2.0
```

### 5. MCTS (Monte Carlo Tree Search) — AI
```python
import math, random

class Node:
    def __init__(self, state, parent=None):
        self.state = state
        self.parent = parent
        self.children = []
        self.visits = 0
        self.wins = 0

    def ucb1(self, c=1.41):
        if self.visits == 0:
            return float('inf')
        return self.wins / self.visits + c * math.sqrt(math.log(self.parent.visits) / self.visits)

def mcts(root, n_iter=10_000, get_actions=None, simulate=None):
    for _ in range(n_iter):
        # 1. select via UCB1
        node = root
        while node.children:
            node = max(node.children, key=lambda n: n.ucb1())
        # 2. expand
        for action in get_actions(node.state):
            node.children.append(Node(apply(node.state, action), node))
        # 3. simulate (random rollout)
        leaf = random.choice(node.children) if node.children else node
        result = simulate(leaf.state)
        # 4. backpropagate
        cur = leaf
        while cur:
            cur.visits += 1
            cur.wins += result
            cur = cur.parent
    return max(root.children, key=lambda n: n.visits)
```

### 6. Variance reduction: antithetic variates
```python
import numpy as np

def mc_call_antithetic(S0=100, K=105, r=0.05, sigma=0.2, T=1.0, n=500_000):
    Z = np.random.standard_normal(n)
    ST_plus = S0 * np.exp((r - 0.5 * sigma**2) * T + sigma * np.sqrt(T) * Z)
    ST_minus = S0 * np.exp((r - 0.5 * sigma**2) * T - sigma * np.sqrt(T) * Z)
    payoff = (np.maximum(ST_plus - K, 0) + np.maximum(ST_minus - K, 0)) / 2
    return np.exp(-r * T) * payoff.mean()
# 매 same N 의 ~2× variance reduction
```

### 7. Reproducibility (seed)
```python
import numpy as np
rng = np.random.default_rng(seed=42)
samples = rng.normal(0, 1, 1000)  # reproducible
```

## 매 결정 기준
| 상황 | Approach |
|---|---|
| Low-dim (d ≤ 3), smooth integrand | quadrature (Gauss, Simpson) — faster. |
| High-dim integral | MC — escapes curse of dimensionality. |
| Path-dependent option | MC. |
| European option (closed form) | Black-Scholes formula — instant. |
| Need confidence interval | MC + bootstrap. |
| Game tree search | MCTS + UCB1. |

**기본값**: NumPy MC 매 baseline, antithetic variates / control variates 매 variance reduction. JAX/CUDA 매 GPU acceleration.

## 🔗 Graph
- Adjacent: [[Bayesian_Inference|Bayesian Inference]]

## 🤖 LLM 활용
**언제**: high-dim integral, risk metrics, option pricing, game AI, sensitivity analysis.
**언제 X**: 매 closed-form 존재 매 (Black-Scholes European), low-dim quadrature 효율적인 case, deterministic answer 필요 매 (use seed).

## ❌ 안티패턴
- **Too few samples**: O(1/√N) 매 slow — 매 1% accuracy 의 N=10000+.
- **No seed in production**: non-reproducible bugs.
- **Bad PRNG**: `random.random()` 매 OK, `Math.random()` (JS) 매 not crypto-safe — but fine 매 simulation.
- **No variance reduction**: antithetic / control variates 매 free 2-10× speedup.
- **MC 의 deterministic 문제**: 매 closed form 존재 의 use that.

## 🧪 검증 / 중복
- Verified (Metropolis & Ulam 1949 original, Glasserman "Monte Carlo Methods in Financial Engineering" 2003, Kalos & Whitlock 2008).
- 신뢰도 A.

## 🕓 Changelog
| 날짜 | 변경 |
|---|---|
| 2026-05-08 | Phase 1 |
| 2026-05-10 | Manual cleanup — full content with π/option/VaR/MCTS patterns |