If you mean creating a new option for an existing procedure then a qualified "no". Sometimes you can accomplish similar effects by creation of additional variables and combinations of existing features but user extentions generally aren't possible. However the SAS/IML matrix language can be used to program many of the modeling procedures and allow the introduction of your algorithms.   You may want to post a question with a few more details in either the SAS/IML Software or Mathematical Optimization, Discrete Event Simulation for general modeling or SAS Forecasting and Econometrics (if your need is time-series related) to get the attention of folks more involved in the guts of modeling. ... View more