MIS 383N

Decision Support Modeling

Class 27 - Spring 2011

1. Learning Objectives

A. Today’s discussions

a. Monte Carlo Simulation.

B. Homework and reading assignment for this session

a. Monte Carlo Simulation.

2. We consider the problems on p. 78 of the Risk Solver Platform (RSP) User guide. (the 3 yield management models)

A. We select tickets sold as a decision variable, limit it to be an integer between 100 and 150, and find the value which maximizes expected revenue. We try the standard GRG solver and the OPTQUEST solver and the standard evolutionary solver, which both require upper and lower limits on the decision variables because they are search methods.

B. We visit the website opttek.com, OptTek Systems, which created OptQuest.

3. We consider the problem BusinessPlanSLURP.xlsx from the RSP list of simulation examples. See also pp 225-230 of the RSP user guide for a discussion of SIP’s and SLURP’s. Each group discusses it, then we do so as a class.

4. We consider the problem from the RSP simulation examples, “NPVAnalysisModel.xls”. It calculates NPV for a multi-year project with uncertain costs and demands.

5. We consider the problem “ProjectSelect.xls” from the RSP simulation examples. It maximizes the expected cash flow from a portfolio of risky projects.

6. We compare 2 approaches for optimizing portfolios under uncertainty:

A. Optimizing a simulation as in (4) above.

B. The scenario approach as in the example eppo.xls.

7. Homework Assignment

A. Please do the online course-instructor survey.

B. Work on your term projects. Due 5/12 by the end of the day.