topic Re: Using macro inside proc optmodel in Mathematical Optimization, Discrete-Event Simulation, and OR

Using macro inside proc optmodel

gupta_shubham — Wed, 15 Jan 2014 19:22:46 GMT

I want to solve a optimization problem where my objective function includes call of a user defined function. Since SAS do not allow us to create a user-defined function I have to use a macro to use it as if it is a function.

I am stating my problem mathematically below:

var x, y;

min z =x**2-x-2*y-x*y+y**2+function(x,y);

solve;

print x y;

function (x,y)=x+y;

Above function is very simple but it is analogous to my function which is very complicated.

So how should I do this kind of optimization in SAS using proc optmodel.

Thanks in advance for your support.

Re: Using macro inside proc optmodel

LeoLopes — Thu, 16 Jan 2014 03:22:38 GMT

If you have SAS/OR 13.1, this link should help: SAS/OR(R) 13.1 User's Guide: Calling FCMP functions from PROC OPTMODEL

Re: Using macro inside proc optmodel

BrianDoesSas — Thu, 16 Jan 2014 04:11:32 GMT

Does proc fcmp not let you create your own functions?

Base SAS(R) 9.2 Procedures Guide

Re: Using macro inside proc optmodel

gupta_shubham — Thu, 16 Jan 2014 06:19:18 GMT

Actually I want to use data step inside the function. And I can't use data step inside fcmp functions

Re: Using macro inside proc optmodel

LeoLopes — Thu, 16 Jan 2014 14:14:08 GMT

Do the data change in real time? If not, you might be able to load it into PROC OPTMODEL sets and arrays, write an impvar that does the same function evaluation, then use that impvar in your objective.

Re: Using macro inside proc optmodel

gupta_shubham — Thu, 16 Jan 2014 15:06:42 GMT

Yes data changes are required in real time. So loading data at the start of optmodel won't going to work.