SAS Optimization, and SAS Simulation Studio

turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

Find a Community

Topic Options

- RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

12-14-2014 11:31 AM

Hello -

I am trying to solve the following problem:

I need help identifying the proper procedure and structuring the statements.

Your help is apprecated.

Siva

- Mark as New
- Bookmark
- Subscribe
- RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Posted in reply to chittajs

12-14-2014 01:03 PM

You can use PROC OPTMODEL in SAS/OR to formulate the problem and call either the MILP solver or possibly the CLP solver:

SAS/OR(R) 13.2 User's Guide: Mathematical Programming

Besides the v and w decision variables, you need a binary decision variable x[j,k] that indicates whether observation j fails constraint k. You want to fix x[j,k] = 0 for all observations j with FLAG = 0 and all constraints k. If you are using the MILP solver, you can enforce this relationship by introducing big-M constraints (assuming DC also depends on j):

/* if x[j,k] = 1 then v* * DC[i,j] >= 0 */*

-v* * DC[i,j] <= M1[j,k] * (1 - x[j,k])*

/* if x[j,k] = 0 then v* * DC[i,j] < 0 */*

v* * DC[i,j] + epsilon <= M2[j,k] * x[j,k]*

where M1[j,k] and M2[j,k] are upper bounds on the left hand sides, and epsilon is a small positive number, say 1e-6, that represents how far away from 0 you consider "negative" to be.

If you are using the CLP solver, you can enforce the relationship with a single set of REIFY constraints, without big-M or epsilon:

REIFY(x[j,k], v* * DC[i,j] >= 0)*

But note that the CLP solver requires all variables to be integer, and I don't know whether your v and w have that restriction.

There is a bit of ambiguity in the problem statement. Does "fail these constraints" mean fail all constraints or fail at least one constraint?

In either case, you need another binary variable y

- Mark as New
- Bookmark
- Subscribe
- RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Posted in reply to RobPratt

12-14-2014 01:25 PM

RobPratt ..

Thank you for the detailed reply. That was really helpful.

Regarding the questions in your post..

1. "But note that the CLP solver requires all variables to be integer, and I don't know whether your v and w have that restriction."

In my problem, v and w are real numbers

2. "There is a bit of ambiguity in the problem statement. Does "fail these constraints" mean fail all constraints or fail at least one constraint?"

You have it right. "Fail these constraints" means "Fail at least one constraint".

Thanks for your help.

Siva

- Mark as New
- Bookmark
- Subscribe
- RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Posted in reply to chittajs

12-15-2014 10:37 AM

Glad to help. Please mark this question as Answered.