Answered offline via email discussion. The final code, shown below, did not use any macros. Also, questions about PROC OPTMODEL in SAS/OR are better suited for the Mathematical Optimization and Operations Research Community. %let variables = 12;
data indata;
input X1-X&variables;
datalines;
0.1153 0.3095 0.0749 0.1320 0.1043 0.0434 0.0086 0.0225 0.0162 0.0312 0.0159 0.1261
0.1504 0.3091 0.0794 0.1308 0.0471 0.0491 0.0057 0.0199 0.0327 0.0252 0.0160 0.1344
0.2557 0.2531 0.0906 0.0932 0.0386 0.0495 0.0047 0.0180 0.0336 0.0208 0.0113 0.1308
0.2894 0.2535 0.0846 0.0447 0.0530 0.0518 0.0042 0.0177 0.0260 0.0166 0.0134 0.1451
0.2692 0.2765 0.0830 0.0259 0.0598 0.0524 0.0122 0.0184 0.0241 0.0168 0.0131 0.1486
0.3013 0.2538 0.0765 0.0297 0.0435 0.0452 0.0132 0.0186 0.0240 0.0172 0.0130 0.1642
0.3077 0.2485 0.0812 0.0437 0.0418 0.0449 0.0368 0.0201 0.0266 0.0119 0.0125 0.1245
0.2825 0.2347 0.0829 0.0779 0.0421 0.0449 0.0415 0.0253 0.0253 0.0139 0.0184 0.1105
0.2822 0.2237 0.0889 0.0509 0.0550 0.0431 0.0404 0.0246 0.0276 0.0169 0.0128 0.1338
0.3030 0.2273 0.0936 0.0718 0.0543 0.0572 0.0377 0.0302 0.0232 0.0165 0.0113 0.0737
;
proc optmodel;
set OBS;
num c {OBS, 1..&variables};
read data indata into OBS=[_N_] {j in 1..&variables} <c[_N_,j]=col('X'||j)>;
************* step 1********************;
set EQS = (OBS diff {1}) cross 1..&variables;
var u{EQS}>= 0,v{EQS}>= 0;
************* step 2********************;
var x {1..&variables, 1..&variables} >= 0;
************* step 3********************;
min z = sum{<i,j> in EQS} u[i,j] + sum{<i,j> in eqs} v[i,j];
************* step 4********************;
con Mycon {<i,j> in EQS}:
sum {k in 1..&variables} c[i-1,k] * x[k,j] + u[i,j] - v[i,j] = c[i,j];
************* step 5********************;
con SumToOne {i in 1..&variables}:
sum {k in 1..&variables} x[i,k] = 1;
solve;
************* step 6********************;
print x;
create data tm_all from [col1=i]=(1..&variables) {k in 1..&variables} <col('x'||k)=x[k,i]>;
quit;
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