|
|
|
An even more powerful method for
simulation analysis,
beyond parameterized simulation, is to use
simulation optimization to
automatically find the best value of one or more variables
that we can control. We can put the computer to work, in
effect performing parameterized simulations for many different
combinations of values for our decision variables, and seeking the
best combination of values for criteria that we specify.
Frontline's Premium Solver
or Premium Solver Platform
-- the leading optimization software for Microsoft Excel models --
works closely in concert with Risk
Solver to find solutions to simulation optimization problems
-- at speeds up to 100 times faster than other software!
The overall process works like this: Your
simulation model includes
uncertain variables whose values are defined by
probability distributions. You can use the cells
containing these uncertain variables in any formula in your model.
Risk Solver performs a simulation
with thousands of trials, where a different value is sampled for
each uncertain variable on each trial, and your model is
recalculated with these values.
Statistics across all the trials are accumulated for any
formula cell you designate. You can access these statistics in
regular Excel formulas. And with Premium Solver or Premium Solver Platform, you can use
these formulas in the objective and constraints of
your optimization model. For example, you could make
average delivery time (computed by your model, based on
decisions and uncertainties) an objective to be minimized, subject
to a constraint that the cost of inventory should, with 95%
probability, be less than a dollar threshold you specify.
Creating a simulation optimization model using Premium Solver and Risk Solver is straightforward.
You follow these steps:
- Define decision variable cells (such as A1),
using either the Solver Parameters dialog or the PsiVar()
function. These are factors that are under your control – you
(or the Solver) will decide what values they should have.
- Define uncertain variable cells (such as A2),
that contain formulas calling the PSI Distribution functions
supplied by Risk Solver – for example PsiUniform() and
PsiNormal(). These are factors that are not under your
control.
- Build your model, using cell formulas that
may depend on the decision variables, uncertain variables, or
both.
- Each cell (such as B1) containing a formula
that depends on uncertain variables (say =A1+2*A2) represents
thousands of trial values, generated during each Monte Carlo
simulation by sampling different values for A2 and computing
=A1+2*A2.
- In other cells (such as C1), define the
summary statistics you want, using functions such as PsiMean(B1)
or PsiStdDev(B1). You may use formulas to compute further values
based on these summary statistics.
- Define your objective and constraints for
optimization. These may be cell formulas that depend only on the
decision variables, depend on the uncertain variables through
PSI Statistics functions, or depend on both.
Solving a simulation optimization model using Premium Solver and Risk Solver is also
straightforward. Follow these steps:
- Activate Interactive Simulation by clicking
the light bulb button on the Risk Solver Ribbon or toolbar.
- Select Tools Premium Solver to display the
Solver Parameters dialog, and click the Solve button.
Simulation optimization is a powerful, general
framework for finding "best solutions," but it is
computationally very expensive, and there are limits on the size
and complexity of your model (number of decision variables,
uncertain variables, constraints, and total formulas) if you want to
find a solution in a reasonable amount of time. Frontline
Systems is already delivering the highest performance
software for simulation optimization in Excel available today -- but
we're taking this capability much further in the future!
Contact us if you'd like to learn more.
Simulation Models
Simulation Analysis
Risk Analysis Tutorial
Back to Simulation Introduction |
To Learn More:
For instant access to example models, full-text User Guides,
and to download free 15-day trial versions of our
software products whenever you're ready, you can register now. |
|
|
| Our Premium Solver Platform
works with existing Excel Solver models, solves much larger problems up to hundreds of
times faster, and solves new kinds of problems via Evolutionary Solver.
Solver Engines plug into the Premium Solver Platform. |
| Solver
Platform SDK makes it easy to solve any type
or size of optimization problem in your Visual Basic,
VB.NET, C/C++, C#, Java, or MATLAB program. And
it's easy to deploy your application with our flexible
licensing for software vendors and corporate
developers. |
|
