Hmmm, I think that IML uses all the memory that SAS can give it, so you'd have to invoke SAS to give you more memory.  I don't think I've ever tried it myself, but here's a University web page (http://www.ciser.cornell.edu/FAQ/SAS/MemoryAllocation.shtm) that shows how to edit the sasv9.cfg file.  You could try adding -memsize 0 If you have questions about memory, search for 'memsize' in this forum. ... View more

Thanks a lot for providing the reference papers. ... View more

I suggest improving the efficiency of your code by using the ideas in the blog post "Eight tips to make your simulation run faster." All those loops over "i" I'll even add a few more tips: Tip #9: Don't read the data in the F_GLOBAL function. This is KILLING your performance because you are reading the data at EVERY STEP of the optimization!  Instead, read the data once and then include those vectors as global variables by using the GLOBAL statement Tip #10: det(inv(X) = 1/det(X) so there is no need to take the inverse ... View more

start f1(a,b,c);    f1=a complex expression involving a,b and c;    return(f1); finish f1; start f(x); return( f1(x[1], x[2], x[3]) ); finish f; start g(x); return( f1(x[1], x[2], 4) ); finish f; ... View more

The NLPFDD function uses computes numerical first and second derivatives: http://blogs.sas.com/content/iml/2011/10/14/hints-for-derivatives/ ... View more