This happens because your Function Module REML does not return a 1x1 matrix ie. a scalar. The NLPNRR Subroutine requires that. From the NLPNRR Documentation, you can see the small example program
proc iml;
start F_BETTS(x);
f = .01 * x[1] * x[1] + x[2] * x[2] - 100.;
return(f);
finish F_BETTS;
con = { 2. -50. . .,
50. 50. . .,
10. -1. 1. 10.};
x = {-1. -1.};
optn = {0 2};
call nlpnrr(rc,xres,"F_BETTS",x,optn,con);
quit;
If you change the BETTS Function Module to return a (2x1) vector instead of a scalar, you get that exact error:
proc iml;
start F_BETTS(x);
f = .01 * x[1] * x[1] + x[2] * x[2] - 100.;
return(f//f);
finish F_BETTS;
con = { 2. -50. . .,
50. 50. . .,
10. -1. 1. 10.};
x = {-1. -1.};
optn = {0 2};
call nlpnrr(rc,xres,"F_BETTS",x,optn,con);
quit;
So debug and rewrite your REML Function module to return a scalar
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