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Posted 07-12-2018 04:43 AM
(983 views)

Hi,

I'm trying to solve a nested optimization problem with SAS/IML, specifically):

I'm not sure how to handle the input vs global variables in this case (which I think is why it is not working). I don't know how to handle z. This is what i have so far:

/* function P*/

start P(z) global(h,b,p1,p2,a_inter,X_I);

return( sum(h#(CDF('NORMAL',(b-p1#(X_I*(a_inter*(z`))))/p2))) );

finish;

/* derivative of theta function*/

start deri(theta_x) global(l,h,z);

return( l - sum(P(z)#h#exp(h*theta_x)/( P(z)#(exp(h*theta_x)-1) + 1 ) ) );

finish;

/* finding root of theta function*/

start theta(z);

bounds = {0,10000};

return( froot( "deri", bounds) );

finish;

/*main function*/

start Func(z) global(l,h);

return( -theta(z)*l + (sum(log(1 + P(z)#(exp(h#theta(z)) - 1) ) )) - 0.5*z*(z`) );

finish;

z = RANDNORMAL(S,0, 1); /*x0*/

z = (z`);

opt = {1,2};

call nlpnra(rc, result, "Func", z, opt);

Given that the equations are done correctly, how would I set this up so that the root/derivative function can make use if the current z that the optimization algorithm is evaluating? Is there something else that is wrong?

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You haven't defined S, l, or h.

I suggest you start by reading the article "Ten tips before you run an optimization." You also might want to look at "Optimizing a function of an integral," which optimizes a function that in turn calls other functions.

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You haven't defined S, l, or h.

I suggest you start by reading the article "Ten tips before you run an optimization." You also might want to look at "Optimizing a function of an integral," which optimizes a function that in turn calls other functions.

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I should have shown the step where i define them, my bad. (They are all vectors of length 1xN)

I'll start reading up on what you linked me, thank you!

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Haven't looked through your functions in depth, but have have a few parameters, which you have not defined yet. Eg S and I.

Also, why do you set z = (z`) ?

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Sorry for the confusion, i should have shown the step where I import the other variables, all of them are defined vectors (1xN)

When trying the function one by one it seemed as z was transposed when i sent it in so i just did that as a quick fix.

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