I am trying to solve the following...
W = pX
X is an i x 1 vector of known values (i is the number of observations in my sample)
p is a constant and is negative (it is unknown).
W is an i x1 vector of unknown values.
The sum of the values in W needs to equal zero. (w1 + w2 + w3 + ...+ wi = 0)
I am trying to solve for W.
I am not sure how to set up this problem so that I can solve for W.
Is this something that I can do using proc OPTMODEL?
If so, can you please help show me how I can set it up?
If not, can you please recommend an alternative that might work?
I know that I am asking a lot but I have been struggling with this all day and any help or advice is appreciated!
I have tried using the documentation, but I am unsure of how to set up the constraints (the sum of w's is zero and that p is negative constant).
Yes, you can do this using PROC OPTMODEL.
If you have declared W as:
var W {1..i};
You can express the constraint that W sums to zero as follows:
con SumToZero:
sum {j in 1..i} W
To make p negative, include a slightly negative upper bound in the variable declaration:
var p <= -1e-6;
Yes, you can do this using PROC OPTMODEL.
If you have declared W as:
var W {1..i};
You can express the constraint that W sums to zero as follows:
con SumToZero:
sum {j in 1..i} W
To make p negative, include a slightly negative upper bound in the variable declaration:
var p <= -1e-6;
Thanks Rob,
This is very helpful.
J
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.