Otimization function

pedroy341 — Fri, 23 May 2025 14:07:16 GMT

Hello. I am trying to approximate a 36 points series to a quaterly data of 9 quarters. The objetive here is that the optimized series of 36 points fits the goal for those 9 quarters with minimal error while being a smooth and monotonous function. I was trying to use the following code:

proc iml;

/* Step 1: Define Bayes values from macro variables */

bayes = {

&bayes1,

&bayes2,

&bayes3,

&bayes4,

&bayes5,

&bayes6,

&bayes7,

&bayes8,

&bayes9

};

/* Step 2: Define initial guess (e.g., from macro variables &pd1–&pd36) */

PD_ini = {

&PD1, &PD2, &PD3, &PD4, &PD5, &PD6, &PD7, &PD8, &PD9, &PD10, &PD11, &PD12, &PD13, &PD14, &PD15, &PD16, &PD17, &PD18, &PD19, &PD20, &PD21, &PD22, &PD23, &PD24, &PD25, &PD26, &PD27, &PD28, &PD29, &PD30, &PD31, &PD32, &PD33, &PD34, &PD35, &PD36

};

PD_init=t(PD_ini);

/* Step 3: Define the objective function */

start objetive(pd) global(bayes);

S = j(1, 36, .);

CumPD = j(1, 36, .);

S[1] = 1 - pd[1];

CumPD[1] = 1 - S[1];

do t = 2 to 36;

S[t] = S[t-1] * (1 - pd[t]);

CumPD[t] = 1 - S[t];

end;

obj = 0;

do i = 0 to 8;

t = i * 3 + 1; /* Corresponds to months 0, 3, ..., 24 */

condPD = (CumPD[t+12] - CumPD[t]) / S[t];

err = (condPD - bayes[i+1]) * 100;

obj = obj + err##2;

end;

return (obj);

finish;

/* Step 4: Call optimizer */

optn = {0}; /* 0 = minimize */

call nlpqn(rc, result, "objetive", initPD, optn);

/* Step 5: Output results */

print rc result;

quit;

But I keep getting this error:
74 ! /* 0 = minimize */
75 call nlpqn(rc, result, "objetive", initPD, optn);
ERROR: (execution) Matrix has not been set to a value.

I have also tried to use the initial matrixes as constants but it didnt work either.
Ex: bayes = {0.0002639011, 0.0003372667, 0.0004005217, 0.0004619689, 0.0005238603, 0.0005852403, 0.000645032, 0.0007037884, 0.0007612079 and PD_ini = j(1,36,0.01);

Note: My base SAS software is 9.4 and the IML is For SAS/IML 15.2.

Can someone give some pointers or some help. I would apreciate it 😃

Re: Otimization function

Rick_SAS — Wed, 28 May 2025 17:42:39 GMT

The vector for the initial guess is called PD_init in the program, but you are passing initPD (which is undefined) as an argument to CALL NLPQN.

That information (which matrix was not set to a value) is part of the log, so please copy/paste the entire error message in future posts.

Re: Otimization function

pedroy341 — Fri, 30 May 2025 19:14:20 GMT

Hello! Thank you a lot for your answer. This was my first post and I didn't submit it in a acceptable format. Luckly I have sorted it out.
I will make sure to be more carefully next time.

Re: Otimization function

Rick_SAS — Fri, 30 May 2025 19:42:06 GMT

No worries. Glad your problem is solved!

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