topic Re: Replicate Solver in excel without PROC OPTMODEL in Mathematical Optimization, Discrete-Event Simulation, and OR

Replicate Solver in excel without PROC OPTMODEL

Minh2710 — Sun, 21 Feb 2021 03:53:47 GMT

Hello, I'm a very new SAS user and would like to know if there is any solution to the problem I am facing. I have read through many questions regarding replicating Solver in excel and most of them require SAS/OR, which I unfortunately don't have access to. Is there any way to achieve the same result without PROC OPTMODEL?

Please see the attached file for details of the problem.

Re: Replicate Solver in excel without PROC OPTMODEL

RobPratt — Sun, 21 Feb 2021 05:25:22 GMT

With OPTMODEL:

data indata;
   input Weight Probability;
   Probability = Probability / 100;
   datalines;
2	0.001
34	0.010
56	0.030
90	0.070
27	0.120
10	1.100
;

proc optmodel;
   set OBS;
   num weight {OBS};
   num probability {OBS};
   read data indata into OBS=[_N_] weight probability;
   num logit {i in OBS} = log(probability[i]/(1-probability[i]));
   print weight probability logit;

   var X;
   impvar OptimizedLogit {i in OBS} = logit[i] + X;
   impvar OptimizedProbability {i in OBS} = 1/(1+exp(-OptimizedLogit[i]));
   impvar WeightedAverage = (sum {i in OBS} weight[i] * OptimizedProbability[i]) / (sum {i in OBS} weight[i]);
   num target = 0.003;
   min Error = abs(WeightedAverage - target);

   solve with nlp / ms;
   print X WeightedAverage OptimizedLogit OptimizedProbability;
quit;

Solution Summary
Solver	Multistart NLP
Algorithm	Interior Point Direct
Objective Function	Error
Solution Status	Best Feasible
Objective Value	6.505213E-17

Number of Starts	100
Number of Sample Points	320
Number of Distinct Optima	73
Random Seed Used	7412291
Optimality Error	0.0029506036
Infeasibility	0

Presolve Time	0.00
Solution Time	0.05

X	WeightedAverage
1.0799	0.003

[1]	OptimizedLogit	OptimizedProbability
1	-10.4331	0.000029442
2	-8.1304	0.000294370
3	-7.0316	0.000882766
4	-6.1839	0.002058189
5	-5.6444	0.003524902
6	-3.4189	0.031708828

With DATA step, using discrete steps on interval [0,2]:

%let numObs = 6;
data sample;
   array Weight[&numObs] (2 34 56 90 27 10);
   array Probability[&numObs] (0.00001 0.0001 0.0003 0.0007 0.0012 0.011);
   array Logit[&numObs];
   SumOfWeights = sum(of Weight[*]);
   do i = 1 to &numObs;
      Logit[i] = log(Probability[i]/(1-Probability[i]));
   end;
   array OptimizedLogit[&numObs];
   array OptimizedProbability[&numObs];
   do X = 0 to 2 by 0.01;
      WeightedAverage = 0;
      do i = 1 to &numObs;
         OptimizedLogit[i] = Logit[i] + X;
         OptimizedProbability[i] = 1/(1+exp(-OptimizedLogit[i]));
         WeightedAverage + Weight[i] * OptimizedProbability[i];
      end;
      WeightedAverage = WeightedAverage / SumOfWeights;
      output;
   end;
run;

proc sgplot data=sample;
   scatter x=X y=WeightedAverage;
   refline 0.003;
run;

Re: Replicate Solver in excel without PROC OPTMODEL

Minh2710 — Mon, 22 Feb 2021 04:50:13 GMT

Thank you for your reply. However I'm still unsure of how to get X as an output without proc optmodel. Is eyeballing the graph the only way to get X with this method?

Re: Replicate Solver in excel without PROC OPTMODEL

RobPratt — Mon, 22 Feb 2021 16:06:38 GMT

You can examine the resulting data set to find that X = 1.08 yields WeightedAverage = 0.0030004091.

Various other ways to solve nonlinear equations in SAS are described in the blog post https://blogs.sas.com/content/iml/2018/02/28/solve-system-nonlinear-equations-sas.html