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

12-20-2017 12:08 PM

Hi,

I want to solve Mixed Integer Non Linear programming problem. I want to know what all options are available in SAS Proc. Optlso can solve MINLP but I am not sure how efficient and accurate it is for bigger problem with hundreds of constraint and thousands variables.

Thanks in advance for our help.

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

Posted in reply to gupta_shubham

12-20-2017 12:26 PM

Currently, the only direct approaches for MINLP in SAS are to use either PROC OPTLSO or the LSO solver in PROC OPTMODEL, which was just released last week with SAS Optimization 8.2 in SAS Viya 3.3.

But I have personally applied over two dozen indirect approaches that use the other solvers. For example, some problems can be linearized, either exactly or approximately, so that you can use the MILP solver. If you supply more details about your problem, I might be able to provide some recommendations.

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

Posted in reply to RobPratt

12-20-2017 01:10 PM

Thanks for your reply.

Solving the approximate problem in fallback solution for me. Problem involves maximizing the revenue (Demand*Price) where Price is variable and D=D0*(1-cdf(price)). I can make demand function linear but since revenue is Demand*Price therefore objective function would still be quadratic.

Do you know how efficient and accurate is PROC OPTLSO ? Is it recommended to solve a big optimization problem with PROC OPTLSO ?

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

Posted in reply to gupta_shubham

12-20-2017 02:09 PM

The LSO documentation contains this statement in the Overview section:

"As a rule of thumb, derivative-free algorithms are rarely applied to black-box optimization problems that have more than 100 variables."

But there is no hard limit on the number of variables.

What are the integer variables in your problem?

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

Posted in reply to RobPratt

12-20-2017 02:11 PM

I want Demand to be integer. So D0*(1-cdf(p)) should be integer

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

Posted in reply to gupta_shubham

12-20-2017 02:14 PM

Is D0 a constant or a variable?

What is the order of magnitude of demand?

What do the constraints look like?

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

Posted in reply to RobPratt

12-20-2017 02:16 PM

D0 is constant. Order of Magnitude is 10^2

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

Posted in reply to gupta_shubham

12-20-2017 02:28 PM

Do you have PROC OPTMODEL code that you can share?

Highlighted
## Re: Solving Mixed Integer Non linear programming problem in SAS

Options

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

Posted in reply to RobPratt

01-03-2018 02:00 AM

What is your exact problem ?

Please share.