What's New in Risk Solver Platform, Solver Platform SDK, and Solver
Engines V10.x
Welcome to Version 10 of Frontline Systems'
full product line. V10 powerfully expands
the ways you can develop and deploy applications of
optimization and simulation. Here are
several highlights:
- All Excel products support Microsoft Excel 2010 -- 32-bit and 64-bit!
- Full set of 32-bit and 64-bit Solver Engines for use inside and outside Excel!
- Ability to create models in Excel and solve them outside Excel!
We think you'll agree that this is a breakthrough product line release.
Register or login to
download and evaluate
our V10.5 products today!
Risk Solver Platform V10.x and its
subset products Premium Solver Platform,
Premium Solver,
Risk Solver Premium
and Risk Solver work with 32-bit and 64-bit Excel 2010, as well as Excel 2007 and Excel 2003. With V10.5, you can
create an optimization or simulation model in Excel,
build an application program with Solver Platform SDK that
runs anywhere -- on an Intranet or Web server, even on Linux! --
loads your Excel workbook, and solves your
optimization or simulation model at lightning speed!
Risk Solver Platform V10.5 uses a deeply
parallelized software design to exploit the multi-core processors in
modern PCs to analyze and solve larger models, faster than ever before.
Multi-Core Monte Carlo Simulation: V10.5 will exploit multiple
processor cores to further speed its already-fast “vectorized”
Monte Carlo simulation.
Multi-Core Simulation Optimization: V10.5 will also exploit multiple
processor cores to speed up simulation optimization –
usually the most compute-intensive method used to solve
optimization problems.
Multi-Core Global Optimization: When you use the Multistart methods for global
optimization with the GRG Nonlinear Solver or with the
LSGRG, LSSQP or KNITRO Solvers, V10.5
will exploit multiple processor cores to run multiple
nonlinear optimizations in parallel.
Multi-Core Nonlinear Optimization: Even when you’re solving a single smooth nonlinear
optimization with the GRG Nonlinear Solver or with the
LSGRG, LSSQP or KNITRO Solvers, V10.5
is significantly faster – it will exploit multiple
processor cores to speed up gradient computations via
parallelized automatic differentiation.
Multi-Core Mixed Integer Nonlinear Solutions: V10.5’s standard Branch & Bound
algorithm, which is used by the GRG Nonlinear, LSGRG and
LSSQP Solvers, has been parallelized to exploit multiple
processor cores on mixed-integer nonlinear (MINLP)
problems.
Multi-Core Non-Smooth Optimization: V10.5 provides parallelized
function evaluation and parallelized local search searches
to Solver Engines – and these services are exploited in a
major way by our redesigned Evolutionary Solver (see
below).
Solving Problems on Supercomputing Clusters or in the Cloud
Risk Solver Platform V10.5 and Solver Platform SDK V10.5 include built-in support for high performance computing (HPC) clusters running Microsoft’s new Windows HPC Server 2008 R2. Risk Solver Platform includes easy-to-use menus and dialogs for connecting to a compute cluster, using it to solve problems, returning solutions to the desktop, and working with the solutions in Excel – just as if all the computing had been done on the desktop. Both Risk Solver Platform and Solver Platform SDK can run on a cluster’s compute nodes, and solve optimization and simulation problems submitted by users.
With Windows HPC Server 2008 R2 Service Pack 1, users who don’t have a large compute cluster in their company can create one “on the fly” by spinning up compute nodes as virtual machines on Windows Azure, and running Solver Platform SDK on those nodes to solve optimization and simulation problems. Once the problems are solved, the virtual machines are “spun down,” the user pays only for the time he or she uses them, and many IT maintenance issues simply disappear.
Several of the built-in Solvers V10.x feature algorithmic improvements that
speed solutions. Many models will solve faster in V10.x.
LP/Quadratic Solver includes a wide range of
improvements in presolve, preprocessing, cut generation
and heuristics for LP/MIP problems. These methods
are now automatically selected under
overall user control – making them much easier to use.
Performance is very
model-dependent – but overall, you can expect a
significant speed improvement on your LP/MIP problems.
We expect many user models will solve twice as fast as in
V9.0.
GRG Nonlinear Solver uses parallelized
automatic differentiation, parallelized Branch & Bound for
MINLP problems, and parallelized Multistart start for
global optimization problems to greatly improve
performance. On a quad-core PC, we
expect many user models will solve twice as fast as in
V9.0.
Evolutionary Solver has been redesigned to deeply
exploit the search possibilities afforded by multiple
processor cores. In addition to improvements in its
algorithms, ‘balance of effort’ heuristics, and stopping
rules -- which are available in all subset products for
optimization -- the Evolutionary Solver in Risk Solver
Platform and Premium Solver Platform now uses a
parallelized (and ‘vectorized’) global search and a
parallelized local search to find much better solutions in
the same time. Performance is very
model-dependent – but on a quad-core PC, we expect
solutions at least twice as fast on many user models,
and
some models will see better solutions at speeds 10 times
faster or more.
Plug-in Solver Engines Offer Best-Ever Performance with 10.5 upgrade
V10.5 also includes major new releases of several large-scale Solver Engines that “plug into” Risk Solver Platform, Premium Solver Platform and Solver Platform SDK. The Gurobi Solver Engine V10.5 now solves quadratic (QP) and quadratic mixed-integer (QP/MIP) problems with remarkable speed. The XPRESS Solver Engine V10.5 offers a typical 50% performance gain over its previous version on linear, quadratic and mixed-integer models. The KNITRO Solver Engine V10.5 offers industry-leading performance on large-scale non-linear models, and takes advantage of the Intel Math Kernel Library (MKL) to exploit multiple processor cores and advanced features of Intel’s latest processors.
Managing Solutions for Multiple Optimization and Simulation Problems
Users who build optimization or simulation models frequently want to solve many instances of these models with different data or parameters. For some time, Frontline’s Solvers have made it easy to solve multiple problem instances, but as with other software, the final solutions were obtained in memory and had to be used immediately for analysis or creating reports. V10.5 introduces an XML-based solution file that makes it easy to solve multiple problem instances on any machine, save, transfer and load solutions, and use solutions for analysis and reporting on any machine where Frontline’s software is running.
Use RSP's powerful features for sensitivity analysis of your
Excel model, before you even start an
optimization or simulation model. Identify model parameters with the most impact
on your computed results – simply select any formula
cell, and choose Parameters – Identify from the Ribbon to
quickly find the input cells with the greatest impact on
this formula, ranked and shown in a Tornado chart. You can choose some of these input cells to serve as
Sensitivity Parameters, and then produce reports and
charts that show the impact on computed results of varying
these parameters over a range you specify. You can
also turn these parameters into Simulation Parameters or Optimization Parameters, and
produce reports and charts of multiple simulations and optimizations.
Create decision trees on your Excel spreadsheet. Using
the Ribbon, you can easily create decision nodes and
branches, event nodes and branches, and
terminal nodes.
The tree is drawn in graphic form on the spreadsheet;
standard Excel worksheet formulas compute ‘rollback’ values
at each node, and the best-choice value at the root node,
based on either expected value or utility function
(certainty equivalent) criteria. With a Ribbon choice,
you can graphically highlight the optimal path through the
tree. Since all computations for decision trees are
performed via standard Excel worksheet formulas, you can use
decision trees in your simulation and optimization models.
New in Risk Solver Platform V10.x is a facility for
multiple discriminant analysis (MDA).
Discriminant analysis is a statistical technique for
analyzing a data set, consisting of observations of one or
more variables, and classifying the observations into
different groups. It has many applications in financial
services and consumer marketing, among other fields.
Risk Solver Platform implements both linear and quadratic
methods for MDA.
Improved Support for Shared Probability Distributions
In V10.5, Frontline continues its leading-edge support for shared probability distributions, used in simulation and stochastic optimization applications, stored in the DIST 1.1 format described at www.probabilitymanagement.org – an emerging standard now supported by other software vendors such as Oracle and SAS. In Risk Solver Platform V10.5, it is easier than ever to produce and consume arrays of DIST-based probability distributions in a model, and use them in ultra-fast Monte Carlo simulations in Excel – 10 to 100 times faster than most other software.
Risk Solver Platform V10.x and all of its subset products
incorporate a new license manager, from Reprise Software,
that replaces the Sentinel license manager that Frontline
used in V9.0 and earlier versions. For customers with
Flexible Use (“concurrent user”) licenses, we have a new
License Server to work with this license manager.
The Reprise license manager offers simpler and more
reliable trial licenses, plus the considerable convenience
of Internet-based license activation. With V10.5,
we’ll no longer have to ask you for a lock code and email
you a license code that you have to copy and paste; we can
simply give you an “activation code” – about the length of
a credit card number – and you can use this to activate
your own license through our Internet server.
In all V10.x products, you can get quick online Help for
every Solver Result message and error message in the Output
pane, every Platform option and Solver Engine option, and
every element of your simulation model, optimization model,
or sensitivity analysis or decision tree element in
the Task Pane Model tab. V10.5 also has a considerably more useful
startup screen that appears only when you visit the Risk
Solver Platform tab on the Ribbon, and then only
when you’re using a trial license.
Using the Help - About menu choice, you can
switch
between Risk Solver Platform, Risk Solver Premium, Premium
Solver Platform, Premium Solver, and Risk Solver.
You can run any product that equals, or is a subset of,
the product for which you have a license. This is
especially useful when evaluating our software, since you
can 'experience' exactly what features and performance are
available in each subset product.
Solver Platform SDK V10.0 now includes the
full power of PSI (Polymorphic Spreadsheet
Interpreter) that was previously available only in Risk Solver Platform
and Premium Solver Platform. The SDK can read your Excel
workbook, run single or multiple Monte Carlo simulations,
and use any of Frontline's twelve built-in and plug-in Solver Engines for
optimization of large-scale models! It's easy to
obtain new data -- from a database, another application, or an end user --
and use it to update your Excel model, and re-solve.
You can even solve an Excel workbook model on Linux!
With the PSI Interpreter, Solver Platform SDK gains
multiple new capabilities, such as the ability to
analyze and transform your Excel
model, high-speed vectorized Monte Carlo
simulation and simulation optimization, use of the full
spectrum of Excel formulas and the
full Excel function library (even the new
Excel 2010 functions), the power to solve
large-scale linear models with uncertainty
using stochastic programming and
robust optimization methods, and more.
You can still create your optimization or simulation model
in a programming language, from C/C++ to C#
and VB.NET, Java and MATLAB, in Solver Platform SDK V10.5, and
you can still load models defined in MPS format, LP format, or
OSiL format. This makes the SDK an amazingly powerful
and versatile tool for development and
deployment of your models. It's
available for 32-bit and 64-bit Windows and
Linux, and it accepts any of Frontline's
eight plug-in Solver Engines, 32-bit and
64-bit versions.
