topic proc optmodel constraints in Mathematical Optimization, Discrete-Event Simulation, and OR

proc optmodel constraints

AB — Mon, 21 Dec 2015 20:17:44 GMT

I am trying to set constraints around a forecasted balance amount but when I try to test setting some constraints, it doesn't seem to match the vector being printed. For example, when I print the vector, I get a 51.9 billion number... [1] portfolio_end_bl_data 1 51909185434 But when I set the below constraint, it returns a solution status of Infeasible... Constraint mon_bal_c1[1]: 51000000000 <= portfolio_end_bl_data[1] <= 52000000000 When I change it to the below, it returns a status of Optimal... Constraint mon_bal_c1[1]: 52000000000 <= portfolio_end_bl_data[1] <= 53000000000 Any ideas would be appreciated.

Re: proc optmodel constraints

RobPratt — Tue, 22 Dec 2015 00:08:50 GMT

Please post complete code and data, and I'll take a look.

Re: proc optmodel constraints

AB — Thu, 31 Dec 2015 15:12:03 GMT

The optmodel code is fairly extensive (over 10k lines) and there are 20+ datasets, both of which I couldn't share on a public forum - was hoping there was maybe something common conceptually to try or options to look at. I'm using solve with nlp. Or let me know if there's another way to handle this without posting the full logic. Appreciate it!

Re: proc optmodel constraints

RobPratt — Mon, 04 Jan 2016 00:27:11 GMT

That number of lines is quite unusual, and I suspect that you aren't exploiting the full capabilities of PROC OPTMODEL, which provides a very expressive modeling language that typically requires at most hundreds of lines even for complicated user-customized algorithms that call multiple solvers. It is hard to recommend anything specific without seeing more detail. Perhaps it would be best to submit your code and log to technical support, and I'll take a look.