Generate an index value used in Calculating Predicted values

[Satyakshma]

Hi,

I have to calculated predicted PD for year 2015, 2016 and 2017 for Bucket1, Bucket2, Bucket3 and Bucket4 using a Z_score and an Index value. This Index value is a random value. The index value is to be generated such that, when we calculate predicted PD for each year then the sum square error of Predicted Pd and Actual PD shoud be minimum.

I am able to do this in Excel using Run solver, and proc optmodel is an equivalent for this. But I am not able to use proc opt model in SAS EG.

Attached is the Input table and desired output table in excel file attached:

Table 1: Need to use Z Score from this

Table 2: Bucket-wise Actual PD for each year

Table 3: Highlighted yellow values are index values generated, and used in calculating predicted values

Table 4: Min sum of squares between actual and predicted.

Please help with this, as I am in urgent need to perform this calculation in SAS. 

[sbxkoenk]

Hello,

I assume you are running SAS 9.4 (Maintenance Level 'something') in SAS Enterprise Guide.

Find out by running:

%PUT &=sysvlong;

Do you have the Operational Research module of SAS (SAS/OR)?

Find out by submitting:

proc setinit; run;
proc product_status; run;

If you have SAS/OR there's no reason why you couldn't use it in SAS/EG (but you will not find a 'wizard' for it, it needs to be a program).

Can someone with superpowers move this thread to the Analytics > 'Mathematical Optimization, Discrete-Event Simulation, and OR' board?

Thanks,

Koen

[Satyakshma]

I don't have SAS/OR licensed. Is there other way I can create code for above problem using loops or arrays.

[sbxkoenk]

Hello,

Optimization can be done with SAS/OR (a.o. PROC OPTMODEL) but also with SAS/IML (PROC IML).

Do you have SAS/IML (IML = Interactive Matrix Language)?

I think some intelligent use of loops and arrays can probably be used as well, but I do not have time to write that for you. I am sorry.

You can give it a try and if you are stuck, start a new topic (so that everybody can help, and not just me).

Good luck,

Koen