Hi,   I posted a question about this earlier but it was poorly written so i thought i'd try again and hopefully be more clear.    I'm trying to solve a nested optimization problem where I first find the optimal x based on y and then y is "updated" based on this x. I'm using the froot function which as i understand it can take in parameters and global variables. Since this y is constantly changing i'm not sure it should be a global variable but it shouldn't be changed when finding x either.   Maybe this is a simple syntax question, what I want is something like this (just example functions):   start f1(x) global(a,b,y);    return(a*y-b##x); finish;   start f2(y); bounds = {0,10000};    return( froot( "f1", bounds) ); finish;   start f3(y) global(a,b); return(f2(y)*a-y##2); finish;   y0 = 1; opt = {1,2}; call nlpnra(rc, result, "f3", y0, opt);   in function f1 the current value of y needs to be known but is should not be changed (so its not a parameter in froot?). Should f2 somehow declare y as a global variable, if so how is that done? ... View more

Hi,   I'm trying to solve a nested optimization problem with SAS/IML, specifically):    I'm not sure how to handle the input vs global variables in this case (which I think is why it is not working). I don't know how to handle z.  This is what i have so far:   /* function P*/ start P(z) global(h,b,p1,p2,a_inter,X_I);    return( sum(h#(CDF('NORMAL',(b-p1#(X_I*(a_inter*(z`))))/p2))) ); finish;   /* derivative of theta function*/ start deri(theta_x) global(l,h,z);     return( l - sum(P(z)#h#exp(h*theta_x)/( P(z)#(exp(h*theta_x)-1) + 1 ) ) ); finish;   /* finding root of theta function*/ start theta(z); bounds = {0,10000};  return( froot( "deri", bounds) ); finish;   /*main function*/ start Func(z) global(l,h);     return( -theta(z)*l + (sum(log(1 + P(z)#(exp(h#theta(z)) - 1) ) )) - 0.5*z*(z`) ); finish;   z = RANDNORMAL(S,0, 1); /*x0*/ z = (z`); opt = {1,2}; call nlpnra(rc, result, "Func", z, opt);   Given that the equations are done correctly, how would I set this up so that the root/derivative function can make use if the current z that the optimization algorithm is evaluating? Is there something else that is wrong? ... View more

Hi,   I'm trying to find the root of my function and after some googling i found the FROOT function. As far as I can see/find there is no way to use this on a function that has more than one input. Surely it is possible to something along the lines of:   start Func(x,a,b);      return(a*x##2-b); finish;   bounds = {0,2}; roots = froot( "Func", bounds);   To clarify I want to send in constants in the function and find the root changing only "x".   ... View more

This could be something that is trivial or trivial to look up but my experience with with the subject is lacking to the point that i don't know where i would start so i'm hoping someone could provide information on where to look (if not a straightforward answer).   I have an issue with insufficient memory when i'm trying to execute my code. The way i understand it this makes no sense since i have a loop with temporary variables  and the problem starts when the number of iterations in said loop are to high. In other words the code works for a low number of iterations but not for a large number.   The only explanation i can think of is that the vector that i save the answers in is the same size as the number of iterations but compared to the rest of the calculations i would think this to be negligible in size, especially for such small numbers that i'm sending in.     Below i show the code i'm using. I'm not sure how much it will help but what i'm looking for is an answer why this code would work for 5000 iterations but not 10 000; which i know is specific to what i'm using but i'm hoping that there is a more general answer as to why the memory runs out.     m = 10000; /*size of port.*/ S = 13;   X_I = j(m,S,0); do j=1 to m; X_I[j,sector_id[j]] = 1; end;   n = 5000; norm1 = j(S,1); norm2 = j(m,1); L = j(n,(S+1));   do j=1 to n; norm1 = RANDNORMAL(S, 0, 1); /*sector factors*/ norm2 = RANDNORMAL(m, 0, 1); /*idosyncratic factors*/   X_vector = (a_inter*norm1); /*vector with shock of each sector*/ X_s = X_I*X_vector; /*Only keep the right sector for each exposure*/   A = p1#X_s+p2#norm2; /*Simulated asset value*/ Ind = A < b; /*Indicator function*/   L_k = w#LGD#Ind; /*simulated loss of iteration j*/ L[j,1] = sum(L_k);   tmp = REPEAT(L_k,1,S); L_i = X_I#(tmp); L[j,2:(S+1)] = L_i[+,]; end;   ... View more

I'm new to SAS EG and also new to IML. I have two similar problems that i have encountered.   1. %include does not seem to work as it did in sas base. There i would just give it the location of the sas file and it worked. How do i include a sas file in SAS EG?   2. Is there a way to import/include a module that is not defined inside the same proc iml; statement? I'd rather not define all my modules inside my "main" program.   Thanks! ... View more