Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value

JVenter4Absa — Fri, 21 Jun 2024 08:52:30 GMT

Hi all

To make matters simple, I have two equations of the form f(x) and g(x), and I would like to solve for the value of x that results in f(x) = g(x). I'm using PROC OPTMODEL where the objective is to minimize z(x)=f(x)-g(x) by changing the variable x. Obviously, the value of x that produces z(x) = 0 gives the perfect solution. However, suppose that I am satisfied if z(x) is less than or equal to some value epsilon, i.e., PROC OPTMODEL can terminate and give me the value of x as soon as z(x) <= epsilon (epsilon can be something like 0.005). How can I specify this in my PROC OPTMODEL options? My PROC OPTMODEL statement uses "min z_x = abs (f_x - g_x); solve with nlp / algorithm=interiorpoint maxiter=30;"

P.S. I note that after about 5 to 10 iterations, PROC OPTMODEL gets to a point where z(x) is really small (e.g., z(x) = 0.00001234...), but then it continues in an attempt to minimize z(x). For this reason, I've incorporated a "maxiter=30" option in the PROC OPTMODEL code.

Re: Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value

Ksharp — Fri, 21 Jun 2024 09:17:10 GMT

Try
min z_x = abs (f_x - g_x);
-->
min z_x = (f_x - g_x)**2;

Which is a smooth function could get its derivatives, while abs() could not.

Re: Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value

JVenter4Absa — Fri, 21 Jun 2024 09:50:28 GMT

Thank you. This does the trick!

topic Re: Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value in Mathematical Optimization, Discrete-Event Simulation, and OR

Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value

Re: Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value

Re: Stopping SAS PROC OPTMODEL earlier when objective function reaches a certain value