Is there another way to modeling a milp problem with special ordered set (SOS)? there 're keywords SOSEQ and SOSLE in PROC LP format, But if I convert this to MPS-format Sas Data Set (to input it to OPTMILP), they will be ignored. So if I have a model with SOS, I can solve it with PROC LP only?
If the variables in SOS are not all binary, but all >= 0, then can add a set of constraints and some extra variables
x1 < M1 * y1
x2 < M1 * y2
x3 < M1 * y3
x4 < M1 * y4
y1 + y2 + y3 + y4 = 1 (for SOREQ) or y1 + y2 + y3 + y4 = 0 (for SORLE)
yi are binary, Mi are upper bound of xi.
PROC LP is a legacy proc, it may not perform well when the instances are large.
OPTMODEL can be used to model this efficiently, it doc can be found at www.sas.com and search for documentation and OPTMODEL.
(somehow the forum doesn't display web link correctly)