About RobPratt

RobPratt · ‎07-27-2015

Maybe it will help if you can post the code that computes the annualized return.

RobPratt · ‎07-27-2015

The first step is to express your desired objective function (annualized return) in terms of your decision variables longdelta and shortdelta. Also, are there bounds on these variables?

RobPratt · ‎07-22-2015

You can use the IMPVAR statement to declare each part: SAS/OR(R) 14.1 User's Guide: Mathematical Programming And then declare your objective as: min Z = Z1 + Z2 + ... This way, you don't have to repeat the expressions.

RobPratt · ‎07-15-2015

You can use data set options in the READ DATA statement: Read Data A(where=(Qty ne 0)) Into p_c=[Prod Comp] M_Qty=Qty; And then change your constraint and objective declarations to use the sparse set p_c: Con Cns1:Sum{<p,c> in p_c} X *M_Qty[p,c]>=5; Con Cns2{c in Components:c="R1"}:Sum{<p,(c)> in p_c} X *M_Qty[p,c]>=5; Min Obj=Sum {<p,c> in p_c} M_Qty[p,c]*M_Price *X ;

RobPratt · ‎07-14-2015

When you solve with IIS=on, the resulting variable values are the same as before the solve. That option is just to diagnose infeasibility, and it looks like you have made changes so that your problem is now feasible. If you run as follows, you should get an integer optimal solution in under a minute, and it is not the zero solution: solve with MILP / logfreq=10000;

RobPratt · ‎07-14-2015

Can you please attach the latest code?

RobPratt · ‎07-14-2015

Glad you got it working. Below is an alternative approach that passes through the data only once (instead of once per customer) after reading it. For large data, you might see a performance improvement. proc optmodel; set<string> Customers init {}; set<string> Bills{c in Customers} init {}; set<string, string> AllData; read data Company_Data into AllData=[customer Bill]; /*This is what I want */ for {<i,j> in AllData} do; Customers = Customers union {i}; Bills = Bills union {j}; end; put Customers; put Bills ; quit;

RobPratt · ‎07-13-2015

You can print the values of all variables as follows: print _VAR_; See this link for details about problem symbols like _VAR_: SAS/OR(R) 13.2 User's Guide: Mathematical Programming

RobPratt · ‎07-12-2015

Are your truck_raw* and truck_pro* variables supposed to be >= 0? Even without those lower bounds, the LP relaxation is infeasible. If you replace your SOLVE statement with the following, you can investigate the resulting IIS to see what makes your model infeasible: solve with LP relaxint / iis=on; expand / iis;

RobPratt · ‎07-10-2015

That note is because you declare M as a numeric parameter: num M = 1000000; but then later use it as a dummy index: m in RAW_MATERIALS (M and m are treated the same because PROC OPTMODEL is case-insensitive.) It is better to rename one of them, say bigM instead of M. Please make these changes and then attach the new code.

RobPratt · ‎07-09-2015

Nothing in your optimization model prevents X from being positive for all groups, and the solution returned by PROC OPTMODEL has objective value 0.00011268, which is better than the Excel solution's objective value of 0.00050028. Even if you fix these X to 0 as follows, you can get an objective value of 0.00011354: for {i in EXAMPLE: data_b = 0} fix X = 0; By the way, you should be able to attach files if you use the "Use advanced editor" button.

RobPratt · ‎07-09-2015

Please attach the Excel file and what you tried in PROC OPTMODEL.

RobPratt · ‎07-08-2015

You need parentheses around the entire summand: sum {q in PRICE_INTERVALS} (raw_quantity1_1[m,q]+raw_quantity2_1[m,q]+raw_quantity3_1[m,q])

RobPratt · ‎07-08-2015

You have indexing issues in several constraint declarations. For example, it does not make sense to use "j in SUPPLIERS" and "p in PRODUCTS" in both places here: constraint inv_flow1 {j in SUPPLIERS, m in RAW_MATERIALS, p in PRODUCTS}: sum {j in SUPPLIERS} raw_quantity_1[j,m] + initial_1 = inv_raw1 + sum {p in Products} bill_ratio[m,p]*pro_size1 ; I suspect that you mean instead: constraint inv_flow1 {m in RAW_MATERIALS}: sum {j in SUPPLIERS} raw_quantity_1[j,m] + initial_1 = inv_raw1 + sum {p in Products} bill_ratio[m,p]*pro_size1 ; But you might have meant: constraint inv_flow1 {j in SUPPLIERS, m in RAW_MATERIALS, p in PRODUCTS}: raw_quantity_1[j,m] + initial_1 = inv_raw1 + bill_ratio[m,p]*pro_size1 ; Please correct these and see if that takes care of things. By the way, you might find the EXPAND statement helpful to see whether the model you generated is what you intended: SAS/OR(R) 13.2 User's Guide: Mathematical Programming

RobPratt · ‎07-01-2015

Your Major_cost data set has missing values, and these values are used in the first sum in Z. By the way, in the future, it is probably better to attach a file (see the "Use advanced editor" button) rather than copy and paste. Looking ahead to the inv_flow* constraints, I see that you have used j as both a constraint index and a summation index within the same constraint. This does not make sense and will cause errors.

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