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Solver doesn't give absolute minimum

  1. #1
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    Solver doesn't give absolute minimum

    Hello everyone,

    I'm working on an Excel sheet where the Solver doesn't give the absolute minimum solution. Regarding the issue I read the following:
    "EXCEL is cool, but not too smart. To find a minimum, it just marches downhill from an initial guess to the first minimum it finds. So if you give it a guess close to the first minimum, it finds that. If you give it a guess close to the second, it will march there instead. If you can invent a computer program that can find the global minimum to a general optimization problem, you will be rich and famous. (then you can retire, enter the America’s cup, and…. Well, you get the picture)."

    I wondered if the statement is true or if it is possible to calculate the minimum solution in Excel. In the file the first tab uses the Solver and the 2nd tab is the minimum solution I calculated, which is 100% correct.

    Is there anyone who can help me with this or can clarify the statement above?

    Siard
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  2. #2
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    Re: Solver doesn't give absolute minimum

    The first step in understanding how Solver works is to understand the algorithms behind it. The default algorithms are built on the Newton-Raphson method. I like this tutorial for understanding how NR algorithms work: http://www.cs.utah.edu/~zachary/isp/...ot/Newton.html It is built on the idea of finding roots, but the same principles apply to minima/maxima, because optimization is essentially about finding the roots of the 1st derivative. In essence, it is as your statement says -- go downhill until you get to the bottom of the valley, but the algorithm cannot tell if this valley is the lowest valley or not.

    The newer versions of Solver have an option for using a computationally more intense Evolutionary algorithm: http://en.wikipedia.org/wiki/Evolutionary_algorithm I am less familiar with programming these algorithms, but I do understand the basic idea. Where EA's use multiple seed values, I expect that EA's are not as limited in this respect and may be able to explore multiple "valleys"/minima and determine which of the valleys it finds is the lowest.

    Getting outside of the "preprogrammed" algorithms, I could see several other possibilities. One could try some kind of Monte Carlo method -- Choose 1000 or so random seed values, then use an NR algorithm on each of those seed value to find a minimum. Then compare the 1000 or so minima you have and see what that tells you about the global minimum.

    I don't know about becoming rich and famous developing these kinds of algorithms, because we have different algorithms already available and tested. What I have given here only scratches the surface of the vast field of numerical analysis and numerical methods. Solver is a good utility with a few different algorithms built into it, but it does not begin to completely cover the field of possible algorithms. I'm not in a position right now to look at your specific case, but there are plenty of algorithms to apply, you just need to try different algorithms until you find one that works (at least most of the time).
    Quote Originally Posted by shg
    Mathematics is the native language of the natural world. Just trying to become literate.

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