Hi,
Can I specify the use of GRG Non linear Algorithm in Proc OPTMODEL like we do in Excel.
Thanks.
No, the GRG algorithm is not implemented. For nonlinear optimization in PROC OPTMODEL, you can select interior point (the default), active-set, or concurrent:
I am sticking my neck out here, because I am not familiar with GRG, but I suspect R and Pyhton have packages
http://stackoverflow.com/questions/15175869/generalized-reduced-gradient-grg2-algorithm-in-r
If you have IML Studio you should have an interface to R.
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