Monte Carlo Simulation in Excel for Uncertainty Analysis in Engineering
Explore various methods to perform Monte Carlo Simulation (MCS) in Excel, such as filling cells, using VBA macros, or add-ins like Crystal Ball and @Risk. Learn about advantages and disadvantages, scripting in VBA, and utilizing built-in tools for MCS in Excel to analyze uncertainties in engineering scenarios.
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Presentation Transcript
Monte Carlo Simulation in Excel Jake Blanchard Spring 2010 Uncertainty Analysis for Engineers 1
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 2
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 3
Typical Sheet Uncertainty Analysis for Engineers 4
Formulas Uncertainty Analysis for Engineers 5
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 6
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 7
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 8
