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Posted 03-30-2016 05:20 AM
(1015 views)

Hi, I want to route the log generated by SAS IML to an external file. I have a loop to execute and I want to route the log of each loop to a different file. I have used proc printto procedure in combination with submit and endsubmit statement to execute the procedure inside SAS IML. However the result I got is empty log file.

The code looks like this:

proc iml;

do i=1 to 7;

submit i;

proc printto log="D:\SAS generated files\log &i.log" new;

run;

endsubmit;

end;

quit;

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OK. I assume that you are using a built-in NLP routine (such as NLPNRA) to compute each optimization. The first argument to an NLP function is a return code (rc). So your call looks like this:

call nlpnra(rc, result, "ObjectiveFunc", InitGuess, options);

When the function returns, the value of the return code will be positive if the optimization converged and negative if the optimization did not converge. Therefore you can save the value of each return code and examine them later, together with the initial guess. Here's some pseudocode to get you started:

```
proc iml;
...
convergence = j(100,1,.);
initialGuess = j(100, numParams);
do i = 1 to 100;
/* set i_th guess from file or randomly or systematically */
initGuess = T( randfun(NumParams, "Normal") );
call nlpnra(rc, result, "ObjectiveFunc", InitGuess, options);
/* save the initial guess and the return code */
convergence[i] = rc;
initialGuess[i,] = initGuess;
end;
/* now analyze relationship between convergence and initial guess */
```

You might be interested in reading this article about how to choose a good starting guess for an optimization.

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Hi Rick. I have a long time series of bond price and I am trying to compute

the yield to maturity by mininizing the distance between the discounted

coupon value and par value and the quoted dirty bond price. Therefore I

need to do a lot of optimisation for each bond price. Some of the

optimisation cannot converge probably because I cannot manually try

different starting values; There are too many bond prices. I want to

analyze the log file each time I try a different starting value for the

entire series to see which starting value generate the least amount of no

convergence.

##- Please type your reply above this line. Simple formatting, no

attachments. -##

the yield to maturity by mininizing the distance between the discounted

coupon value and par value and the quoted dirty bond price. Therefore I

need to do a lot of optimisation for each bond price. Some of the

optimisation cannot converge probably because I cannot manually try

different starting values; There are too many bond prices. I want to

analyze the log file each time I try a different starting value for the

entire series to see which starting value generate the least amount of no

convergence.

##- Please type your reply above this line. Simple formatting, no

attachments. -##

- Mark as New
- Bookmark
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OK. I assume that you are using a built-in NLP routine (such as NLPNRA) to compute each optimization. The first argument to an NLP function is a return code (rc). So your call looks like this:

call nlpnra(rc, result, "ObjectiveFunc", InitGuess, options);

When the function returns, the value of the return code will be positive if the optimization converged and negative if the optimization did not converge. Therefore you can save the value of each return code and examine them later, together with the initial guess. Here's some pseudocode to get you started:

```
proc iml;
...
convergence = j(100,1,.);
initialGuess = j(100, numParams);
do i = 1 to 100;
/* set i_th guess from file or randomly or systematically */
initGuess = T( randfun(NumParams, "Normal") );
call nlpnra(rc, result, "ObjectiveFunc", InitGuess, options);
/* save the initial guess and the return code */
convergence[i] = rc;
initialGuess[i,] = initGuess;
end;
/* now analyze relationship between convergence and initial guess */
```

You might be interested in reading this article about how to choose a good starting guess for an optimization.

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