Monte Carlo in Spreadsheets

In 1986, Palisade Corporation released a program called @Risk, which brought Monte Carlo simulation to users of Lotus 1-2-3, the dominant spreadsheet of the 1980s on PCs. In a matter of an hour or so using @Risk, I was able to duplicate the Monte Carlo experiment that had taken me months to program in graduate school using Fortran on a mainframe computer.

Around the same time, Decisioneering Inc released Crystal Ball®, a Monte Carlo program for Microsoft Excel on the Macintosh computer. Today, these two software packages have extensive suport networks, and tens of thousands of users in industry and government, in applications as varied as Finance, Healthcare, and Military planning. Crystal Ball, now owned by Oracle Corp., has been a pioneer in the area of distribution libraries, and was close collabroator on the development of the DIST™ Distribution String.

In the mid 1990s, I developed my own simpler package called XLSim®, for use in my Management Science book, Decision Making with Insight. It has been popular in teaching and smaller applications that did not warrant learning an industrial package such as @Risk or Crystal Ball. The latest version, XLSim III, supports both the generation of DISTs, and their use in simple interactive simulation models.

Teaching probabilistic concepts with simulation is the very antithesis of Steam Era Statistics, and an important pioneer in this area is the Nobel Prize winning University of Chicago Economist Roger B. Myerson, whose book, Probability Models for Economic Decisions, and SIMTOOLS provide a valuable perspective on this subject.

In 1996 the field of Monte Carlo simulation took a quantum leap with the Risk Solver from Frontline Systems. This was the first package to provide Interactive Monte Carlo Simulation in the environment of Microsoft Excel and also the first one to support the constructs of Probability Management including the DIST distribution string data type.

Discrete Event Simulation Programs

ExtendSim is a continuous or discrete event simulation program created by Imagine That inc. which allows you to simulate any system or process by creating a logical representation in an easy-to-use format.