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From Frontline Systems, developers of the Excel Solver.

Solver tutorials

Learn to use optimization for resource allocation, and Monte Carlo simulation for risk analysis of your model.


 

Premium Solver Platform - Simulation Optimization with Risk Solver

Simulation Optimization with Risk Solver

You can solve simulation optimization problems with the combination of the Premium Solver Platform and Risk Solver. By itself, Risk Solver (which is licensed as a separate product) gives you lightning-fast, Interactive Simulation in Microsoft Excel - new simulation results each time you change the spreadsheet, up to 100 times faster than using Excel alone.

With Risk Solver, your models can include 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 will perform a Monte Carlo 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.

 


PSI Simulation Options dialog

Statistics across all the trials are accumulated for any formula cell you designate. You can access these statistics in regular Excel formulas. And in the Premium Solver Platform, you can use these formulas in the objective and constraints of your optimization model. When you click Solve, the Platform performs a Monte Carlo simulation through Risk Solver on each Trial Solution of the optimization. Doing this is usually an order of magnitude faster than in competitive products for simulation optimization.

Defining a Simulation Optimization Model

Creating a simulation optimization model using the Premium Solver Platform and Risk Solver is straightforward. You follow these steps:

  1. 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.
  2. 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.
  3. Build your model, using cell formulas that may depend on the decision variables, uncertain variables, or both.
  4. 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.
  5. 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.
  6. 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

Solving a simulation optimization model using the Premium Solver Platform and Risk Solver is also straightforward. Follow these steps:

  1. Activate Interactive Simulation by clicking the light bulb button on the Risk Solver Ribbon or toolbar.
  2. Select Tools Premium Solver to display the Solver Parameters dialog, and click the Solve button.

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