How do i find argmax of the solution in OPTMODEL??

[karthick_gopal]

Hi,

I am trying to do an iterative linearization procedure by row generation in proc optmodel. Between successive iterations i need to find the argmax of the current solution and also store the solution value of that particular index to add a cut and the cuts keep accumulating until convergence is reached. I could not find a fucntion that could give me the index. what is the best way to go about this?

[RobPratt · Accepted solution]

There is no built-in support for argmax of an array, but here are five ways to compute it yourself:

proc optmodel;
   set MYSET = /a b c d e/;
   num a {MYSET} = [13 100 37 100 42];
   num max = max {i in MYSET} a[i];
   put max=;

   /* set of indices that achieve the max */
   set ARGMAXSET = {i in MYSET: a[i] = max};
   put ARGMAXSET=;

   /* last index that achieves the precomputed max */
   str argmax;
   for {i in MYSET: a[i] = max} argmax = i;
   put argmax=;

   /* first index that achieves the precomputed max */
   for {i in MYSET: a[i] = max} do;
      argmax = i;
      leave;
   end;
   put argmax=;

   /* last index that achieves the max, calculated within the loop */
   num max1 init -constant('BIG');
   for {i in MYSET} do;
      if max1 <= a[i] then do;
         max1 = a[i];
         argmax = i;
      end;
   end;
   put max1= argmax=;

   /* first index that achieves the max, calculated within the loop */
   num max2 init -constant('BIG');
   for {i in MYSET} do;
      if max2 < a[i] then do;
         max2 = a[i];
         argmax = i;
      end;
   end;
   put max2= argmax=;
quit;

For some examples of row generation in PROC OPTMODEL, see this SAS Global Forum paper...

http://support.sas.com/resources/papers/proceedings16/SAS3161-2016.pdf

...and the "Milk Collection" and "Lost Baggage Distribution" examples in the SAS/OR doc:

http://go.documentation.sas.com/?docsetId=ormpex&docsetVersion=14.2&docsetTarget=titlepage.htm&local...

[karthick_gopal]

Thank you rob!