Alternatives to Frontline Solver API to do Monte Carlo simulations and Optimization

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Hi,

I have to re-write an application that is in Excel and VBA which performs Monte Carlo simulations and Optimization. It uses Oracle's Crystal Ball product. I need to move it to C# or C++. Crystal Ball's API is going to be discontinued so I can't use that. Frontline have Solver which seems to do the job but I wondered if anyone else knows of any other options to comapre with.

many thanks
Jackie

Posted 28-Feb-13 6:02am

Jackie Lloyd

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Espen Harlinn · Accepted Answer · 2013-02-28T06:21:00

Solution 1

Have a look at the NVIDIA CUDA Libraries SDK Code Samples[^]

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Espen Harlinn

Posted 28-Feb-13 6:21am

Espen Harlinn

Comments

Jackie Lloyd 1-Mar-13 6:08am

Thank you for this suggestion. I couldn't see an optimizatin option (I mean the statistical optimization of a parameter in a simulation) there and it seems that you have to buy extra hardware (with the CUDA parallel computing architecture) - is that right?

Espen Harlinn 1-Mar-13 6:30am

Most (all recent?) nVidia graphics cards have CUDA capabilities.
As for optimizaton, that's one of the areas where CUDA often shines, the trick is to find a good parallel algorithm for your problem that's suitable for the GPU.
Google returned a serious number of results for 'gpu statistical optimization', so it's more than likely that you'll find something that suits your purpose.

Jackie Lloyd 3-Mar-13 14:08pm

thanks, that looks useful

Sergey Alexandrovich Kryukov 12-Mar-13 17:12pm

CUDA?! In fact, quite a good idea. Numerical simulation can be very performance-demanding, so it would be a good reason to give it a try. And nVidia presents a good source of under-used computing resources at OP's disposal. What's nice, it does not mean that screen graphics suffers... :-) My 5.
—SA

Espen Harlinn 12-Mar-13 17:15pm

Thank you, Sergey :-D
Have you ever looked at https://www.openmodelica.org/

Sergey Alexandrovich Kryukov 12-Mar-13 17:19pm

You often feed to me fresh ideas on looking to some interesting projects. Thank you very much. I never saw this one, will certainly take a look (starting to look right now).
—SA

Espen Harlinn 12-Mar-13 17:33pm

I suspect it's possible to improve the performance significantly by linking with Intel MKL - I also seem to remember that there exists a paralell version of the solver they're using somewhere else.

Sergey Alexandrovich Kryukov 12-Mar-13 17:42pm

I never tried that...
—SA

Espen Harlinn 12-Mar-13 17:50pm

MKL is, among other things, Intels' take on BLAS/LAPACK, carefully optimized for their CPUs'.