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Monte Carlo Simulation in Excel

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Monte Carlo Simulation in Excel. Jake Blanchard Spring 2010. Monte Carlo Simulation in Excel. There are at least three ways to do MCS in Excel Fill a bunch of cells with appropriate random numbers Write a macro in VBA Use an add-in (Crystal Ball, @Risk, etc.). Filling Cells. Advantages

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Monte Carlo Simulation in Excel

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  1. Monte Carlo Simulation in Excel Jake Blanchard Spring 2010 Uncertainty Analysis for Engineers

  2. Monte Carlo Simulation in Excel • There are at least three ways to do MCS in Excel • Fill a bunch of cells with appropriate random numbers • Write a macro in VBA • Use an add-in (Crystal Ball, @Risk, etc.) Uncertainty Analysis for Engineers

  3. Filling Cells • Advantages • Everyone has Excel • Everyone is familiar with formulas in cells • Disadvantages • Slow • Cumbersome if you need many samples • Not many built-in distributions Uncertainty Analysis for Engineers

  4. Typical Sheet Uncertainty Analysis for Engineers

  5. Formulas Uncertainty Analysis for Engineers

  6. Scripting in VBA • Start editor from Developer Tab in Excel 2007 • If you don’t see Developer Tab, Go to Office Button in upper left and then to Excel Options (at bottom of window) • Once editor opens, go to Insert/Module in VBA editor • Then paste in script on next page Uncertainty Analysis for Engineers

  7. The Script Function dice(N, above) Count = 0 For i = 1 To N roll1 = Ceil(6 * Rnd) roll2 = Ceil(6 * Rnd) tot = roll1 + roll2 If tot > above Then Count = Count + 1 End If Next dice = Count / N End Function Public Function Ceil(ByVal X As Double) As Double Ceil = (Int(X) - (X - Int(X) > 0)) End Function Uncertainty Analysis for Engineers

  8. Built-In Tools • Crystal Ball and @Risk both add Monte Carlo Simulation capability into Excel • In @Risk • Build a model, assuming all parameters are deterministic • Replace random variables with appropriate pdf’s • Identify output variables • Run simulation • Look at output Uncertainty Analysis for Engineers

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