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Allocation Optimization using Solver

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    Allocation Optimization using Solver

    Hi All!
    Let me first explain what I'm trying to do. I work for a real estate company that has properties across Canada. The properties are in different provinces, different asset classes (Retail, Industrial, etc.), and are each valued at different amounts. I am trying to split the portfolio into three different months, while trying to equally distribute it as evenly as possible by province, asset class, and total valuation. I have built out a spreadsheet with 50 sample properties, each with a randomized value, asset class, and province. I have then added a column where I can assign a month, 1,2 or 3. Then I have added tables that use a sum if, or count if, to breakdown the distribution by month.

    What I was thinking is that I would use a measurement of variance across each attribute, so something the absolute value of the difference in each month from the average, and then try to use solver to minimize it. Unfortunately my solver seems to be ignoring my constraints, and doesn't provide any kind of answer. I'm confused. Can someone help me on this? I have attached the sample workbook. THANK YOU!!
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    Forum Expert Alf's Avatar
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    Re: Allocation Optimization using Solver

    In a nutshell, Solver can not work with CountIf and If functions in the
    model. This is because these are discontinuous functions. Solver is
    not capable of determining a "finite difference" to help with a
    derivative. Solver will often give up without warning at the first sign
    of confusion.
    As this model is set up as a Simplex LP neither Simplex nor GRG Nonlinear will work. I did a run using the "Evolutionary" engine an lo and behold solver managed to find a solution.

    What I did changed range F5:F54 to integers and set a min value for this range >= 1 and a max value <= 3, and I also specified a constraint for K5 => 21

    Solver seemed happy with this a found a solution.

    Evolut_solver.jpg

    To see image properly right click on it and select "open in new tab"

    Alf
    Last edited by Alf; 08-14-2019 at 02:17 AM.

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    Valued Forum Contributor Hydraulics's Avatar
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    Re: Allocation Optimization using Solver

    Assuming you are minimizing the difference between the average and the sum for each month, the problem can be solved exactly with Simplex LP.

    I have added some binary variables and used the function SUMPRODUCT to override Solver limits. Moreover, there are three dummy variables as a workaround for the (non-linear) ABS function.

    Solver.jpg

    I have set integer optimization to 0% as a test for my new PC, but I wouldn't suggest it as a rule. 0.5% or 1% should be fine in most situations.
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