Proc Optmodel sample average constraint

SASEnthusiast — Thu, 22 Mar 2018 15:36:04 GMT

Hi,

I am trying to solve a simple implementation of a knapsack problem. My objective is to select maximum units of a plan keeping it constrained to the budget and an average cost. Data looks like this.

**Please let me know if you need any other information.

Network	Daypart	Selling ID	Spot_ids	Dollars	New_budget	cost
CBS	Primetime	20110	22212	348	350	25.00
CBS	Primetime	20112	22213	365	350	25.69
CBS	Early Fringe	20113	22214	380	750	35.00
CBS	Early Fringe	20113	22215	380	750	38.50
CBS	Early Fringe	20114	22216	375	750	22.50
ABC	Daytime	30110	22217	290	1500	23.00
ABC	Daytime	30110	22218	290	1500	25.00
ABC	Daytime	30110	22219	290	1500	28.00
ABC	Daytime	30112	22220	545	1500	32.50
ABC	Daytime	30113	22221	548	1500	36.48
ABC	Primetime	30114	22222	650	1000	42.50
ABC	Primetime	30114	22223	650	1000	25.90
ABC	Primetime	30115	22224	679	1000	33.30

Optimization Code:


proc optmodel;
		   /* declare variables */
			
			set <str> SPOT_IDS;

			num Dollars {SPOT_IDS};
			num cost {SPOT_IDS};

/*Value is a value assinged to each unique Spot_id. For now it's all equal to 1*/
			num Value {SPOT_IDS};

/*Data temp is a small subset of entire dataset. It is one Network and 1 daypart at a time processing to reach to the new desired budget amount*/

			read data temp into SPOT_IDS = [Spot_Ids] Dollars cost Value;

			/* declare variables, objective, and constraints */
			var NumSelected {SPOT_IDS} binary;


			/*Objective Function*/
			max TotalValue = sum {i in SPOT_IDS} Dollars[i] * NumSelected[i];

			/*Budget Constraint*/
			con budgetCon:
      			sum {i in SPOT_IDS} Dollars[i] * NumSelected[i] <= New_Budget;

/*Cost Constraint*/
/***** Need help with this****/
/*****I need to average over i****/
/*****Cost Lower bound and Upper bound is the average Cost per Network Daypart multiplied with 0.75 for lower bound and 1.25 for upper bound*****/

			con costCon:

			&Cost_LB_per_Bucket <= (avg{i in SPOT_IDS} cost *  NumSelected[i]) <= &Cost_UB_per_Bucket;*/

		   /* call mixed integer linear programming (MILP) solver */
		    solve with MILP/RELOBJGAP=&RelGap;
			expand;

		/*create result in form of a dataset*/
			create data results_iter1 from
		        [Spot_Ids] = {i in SPOT_IDS}
		        selected_units_prop_dp = NumSelected [i]
		        Dollars= Dollars [i]
				;

		quit;

			

	%end;

Question:

1. Is this the right way of handling this problem?

2. Also how can I average over a sample without making it non linear? A simple sum over count makes it a non linear constraint. If it is a non linear constraint solving it using 'NLP' gives an error too.

Re: Proc Optmodel sample average constraint

RobPratt — Thu, 22 Mar 2018 15:43:54 GMT

You can linearize such a ratio constraint by clearing the denominator. Look for "ratio constraint" in this book of examples in the SAS/OR documentation.

Re: Proc Optmodel sample average constraint

SASEnthusiast — Thu, 22 Mar 2018 21:49:52 GMT

Oh I feel so dumb. This was so simple. Thanks a lot. And the resource is really helpful too.

topic Re: Proc Optmodel sample average constraint in Mathematical Optimization, Discrete-Event Simulation, and OR

Proc Optmodel sample average constraint

Re: Proc Optmodel sample average constraint

Re: Proc Optmodel sample average constraint