My first post got messed up. Here is my whole answer
OPTMILP doesn't support SOS yet. It is in our plan to add it.
If the variables (for example, x1, x2, x 3, x4) in SOS are all binary, then can add a constraint
x1 + x2 + x3 + x4 = 1 (for SOREQ) or x1 + x2 + x3 + x4 = 0 (for SORLE)
If the variables in SOS are not all binary, but all >= 0, then can add a set of constraints and some extra variables
x1 < M1 * y1
x2 < M1 * y2
x3 < M1 * y3
x4 < M1 * y4
y1 + y2 + y3 + y4 = 1 (for SOREQ) or y1 + y2 + y3 + y4 = 0 (for SORLE)
yi are binary, Mi are upper bound of xi.
PROC LP is a legacy proc, it may not perform well when the instances are large.
OPTMODEL can be used to model this efficiently, it doc can be found at www.sas.com and search for documentation and OPTMODEL.
(somehow the forum doesn't display web link correctly)
... View more