Monte Carlo Simulation continues to increase in popularity as risk becomes a more pressing issue in many activities. This list of Excel add-ins covers varying levels of sophistication and cost – from Risk Analyser at US$49 to others which cost thousands of dollars. This diversity should present enough options to find the most suitable product for particular needs.
@RISK performs risk analysis using Monte Carlo simulation in an Excel environment. The whole simulation environment is contained within Excel, and a BestFit distribution fitting facility supports the best distribution model (of which there are 50). Integration with MS Project is supported or project risk modelling, and various mechanisms exist to define probabilities (distributions, compound distributions, percentile distribution parameters). Results are presented using high quality graphics with a variety of chart types (histograms, area, line, cumulative,box plot etc.). Tornado charts and scatter plots are also supported, as are sensitivity and scenario analysis. A RISKOptimizer combines Monte Carlo simulation with optimization techniques to find the best combination of factors that lead to a desired result under uncertain conditions.
DiscoverSim is bundled with SigmaXL Version 7 and is an Excel add-in for Monte Carlo Simulation and optimization. It provides 53 continuous and 10 discrete distributions, with distribution fitting and automatic best fit. Sensitivity analysis is supported based on correlation or stepwise regression and includes quadratic terms. A global optimisation facility is useful for difficult problems, and statistics can be optimised – such as dpm or Ppk. It is particularly easy to use with Six Sigma language – ideal for DFSS, Risk and project management.
Ersatz is a simulation add-in for Excel with specific features for health economic evaluation modeling and/or microsimulation. It makes more than 80 additional functions available in Excel, most of them producing randomly drawn numbers from specific distributions, but also output, control, statistical, and special functions to calculate such things as health-adjusted discounted life years.
The code is compiled (not VBA), supports parametric and non-parametric bootstrapping, Multinomial and Dirichlet distributions, Correlated random draws including correlated Multinomial and Dirichlet distributions, Multiple options for sensitivity analysis, and four different optimization algorithms. It is also very reasonably priced.
Lumenaut provides Monte Carlo, Decision Tree and Statistical analysis tools for Excel. The Monte Carlo Risk Simulation package uses its own formulas and has 14 input statistical distributions to chose from, and users can tailor each distributions’ parameters and cut off tails as desired. Additional statistics for the output include – Median, Mode, Standard Deviation, Variance, Mean Standard Error, Variance, Range, Max , Min , Skewness and Kurtosis. Pricing is modest at US$149 (the whole package is US$249 at the time of writing).
ModelRisk comes in thee versions (Standard, Professional, Industrial) and has a comprehensive range of tools to run Monte Carlo simulations within Excel. Results are presented in a separate window that allows usrs to customize, save and share a large range of graphical and statistical analyses. ModelRisk incorporates a complete range of distributions. Graphical interfaces, categorization by function, fitting to data and a detailed interactive guide on the theory and use of each distribution help ensure that users find the correct distribution for a problem. Users can also create their own distribution using the shaper tool.
Modeling any correlated behavior between distributions is supported and allows a user to visualize and fit correlation structures to data through its copula tools. Uniquely, ModelRisk has built-in tools for simulating time series, together with graphical interfaces and fitting to data to ensure users understand and select the right time series model. The custom time series tools also let a user create their own expert-based forecasts.
Targets, constraints, decision variables and requirements are all defined with ModelRisk functions within the Excel spreadsheet. A graphical interface reports the optimizer’s progress and allows the user to insert optimal solutions back into the model with one mouse click.
ModelRisk’s Ordinary Differential Equation (ODE) tool numerically evaluates a system of ordinary differential equations. The user can specify any differential equations that can be described with Excel functions. One or more time stamps (specific points in time) can be specified for the evaluation of the variable(s). The interface will plot any variable against time or any two variables together.
ModelRisk’s DataObject tool allows the user to create links to unopened Excel files or various types of databases. An SQL wizard guides the user to select what is required from the database, and a preview feature shows the selected data. The data can then be used in various ways within ModelRisk, including fitting to distributions, correlation structures and time series models.
The support for these features varies by version.
Oracle Crystal Ball is a spreadsheet-based software suite for predictive modeling, forecasting, simulation, and optimization. Features include:
View simulation results, descriptive statistics, and capability metrics all at once with split-view charts and graphs.
- Capability metrics include Cp/CpK, Pp/Ppk, Z metrics, and many others.
- Fit distributions to historical data and calculate correlations between distributions, to more accurately model and forecast.
- Set up and analyze models. Includes: Data Analysis, Batch Fit, Correlation Matrix, Tornado Chart, Bootstrap,
- Decision Table, Scenario Analysis, and Two-Dimensional Simulation.
- Analyze historical data with time-series analysis and regression.
Quantum XL allows users to design experiments, perform statistical analysis and perform Monte Carlo simulation within Excel. The fast simulation engine is capable of performing 2 million simulations a second, and Quantum XL’s optimizer will find the optimal set points for a design across multiple outputs and inputs. Optimization criteria can be a variety of statistics, including defects per million (dpm), Cp, Cpk, Mean, standard deviation, percentile, median, and more.
Quantum XL supports custom discrete and continuous distributions as well as the Normal, Uniform, Triangular, Log-Normal, Logistic, LogLogistic, Gamma, 3 parameter Weibull, 2 parameter Exponential, Uniform Discrete, Poisson, Binary, and Binomial Distributions. A single window provides an overview of all inputs, outputs, and custom distributions. This simple interface allows large, complex models to be managed much more easily than by finding the cells in the worksheet. Quantum XL introduces Latitude plots to Monte Carlo simulation and analysis. Latitude plots provide a graphical representation of the variation being consumed by the inputs as compared to the latitude window. Supports Latin Hypercube Samples and Descriptive Samples for validation strategies, and NOLHS designs which are ideal for multi-level experiments with deterministic simulators.
Risk Analyzer is a low cost (US$49) Monte Carlo add-in for Excel. It provides a decent set of distributions (which can be truncated) and various graphics to illustrate a simulation.
Excel Risk Kit Suite comprises Risk Kit for Monte Carlo analysis, Risk Kit R for analytics, and Risk Kit Data for access to web based data sources. Risk Kit supports rapid Monte Carlo prototyping with 50 univariate probability distributions each available as random numbers, cumulative distribution function, inverse cumulative distribution function, density or mass function. It also provides 10 multivariate distributions and copula functions, 17 univariate and multivariate stochastic processes, and resampling of empirical data. Portfolio optimization, rating methods, sensitivity analysis and calibration of distributions and stochastic processes are also supported.
Risk Solver Pro and Platform address Risk Analysis, Monte Carlo Simulation and Stochastic Optimization in Excel. It is easy to use with an intuitive Ribbon and Task Pane, a unique step by step Distribution Wizard, and in-product Help. Over 50 probability distributions and over 50 statistics, risk measures and Six Sigma metrics are included, as well as the ability to fit distributions and automatically update them. The user interface provides instant preview charts of distributions and fully customizable charts of inputs and outputs, customizable multi-chart windows with full data visualization features, and charts that automatically cover multiple parameterized simulations. Decision trees can be built within Excel and probability distributions added for simulation purposes. Other features include sensitivity analysis, very large optimization models, dimension modeling and a very fast optimization engine.
RiskAMP is a full-featured Monte Carlo Simulation Engine for Microsoft Excel. It has an integrated ribbon toolbar, supports VBA scripting and supports latin hypercube sampling, multivariate distributions and over 40 random distributions. More recently RiskAMP SMART has been introduced and is a new platform for web-based risk and stochastic modeling tools. Two models are being offered for Conditional Revenue/Risk Modeling and Retirement Planning. The interface runs in a web browser.