Using macro inside proc optmodel

[gupta_shubham]

I want to solve a optimization problem where my objective function includes call of a user defined function. Since SAS do not allow us to create a user-defined function I have to use a macro to use it as if it is a function.

I am stating my problem mathematically below:

var x, y;

min z =x**2-x-2*y-x*y+y**2+function(x,y); 

solve;

print x y;

function (x,y)=x+y;

Above function is very simple but it is analogous to my function which is very complicated.

So how should I do this kind of optimization in SAS using proc optmodel.

Thanks in advance for your support.

[LeoLopes]

If you have SAS/OR 13.1, this link should help: SAS/OR(R) 13.1 User's Guide: Calling FCMP functions from PROC OPTMODEL

[gupta_shubham]

Actually I want to use data step inside the function. And I can't use data step inside fcmp functions

[LeoLopes]

Do the data change in real time? If not, you might be able to load it into PROC OPTMODEL sets and arrays, write an impvar that does the same function evaluation, then use that impvar in your objective.

[gupta_shubham]

Yes data changes are required in real time. So loading data at the start of optmodel won't going to work.

[BrianDoesSas]

Does proc fcmp not let you create your own functions?

Base SAS(R) 9.2 Procedures Guide