I am not sure what you are trying to do, but looking at your code, if you are expecting to get the optimization to converge to alpha, beta, and gamma, I believe that you should set p to match the random number stream used in your simulation. Otherwise, I don't see how you could expect it to converge to the right answer. Try doing: ********************* Generating My Data ****************************************;                                                              do j=1 to n;                                                                                                                                  p = Uniform(seed);                                                                                                                   X =(1/alpha)*(-log(p )/gamma)**(-1/beta);                                                                                     end;                                                                                                                            ********************************************************************************;                                                       ... View more