I often PROC OPTMODEL, especially for cases where I need the solver to run group by group on a single dataset and am extremely impressed with the functionality. Recently I was trying to run it for a problem where there is more than one set of decision variables. Even after going through several examples on many of the problems posted on these fora I was unable to find one that involves multiple set of of decision variables. A typical PROC OPTMODEL objective function looks like min z = <formula that requires adjusting the decision variable so that z can be minimized> However, in the present case I'm working on the decision variables are functions of other values. For e.g. in my dataset I have variables a, b and c and a dependent value f as follows a b c f (depending on a, b and c) 1 5 4 0.2 1 6 5 0.3 2 5 3 0.21 2 6 4 0.31 3 5 2 0.42 3 6 3 0.81 4 5 1 0.92 4 6 2 0.11 For values of a, b and c we have functions A(a), B(b) and C(c). The objective function needs to minimize the difference between sum of square of difference of f(a,b,c) and A(a)*B(b)*C(c) and initializing A(a), B(b) and C(c) as 1. The decision variables in this case are A(a),B(b) and C(c). Any help on putting the objective function in PROC OPTMODEL syntax will be greatly appreciated.
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