The OPTLSO Procedure

All nonlinear objective and constraint functions should be defined by using the FCMP procedure. In PROC FCMP, you specify the objective and constraint functions by using SAS statements that are similar to syntax that is used in the SAS DATA step; these functions are then compiled into function libraries for subsequent use. The SAS CMPLIB= system option specifies where to look for previously compiled functions and subroutines. All procedures (including PROC FCMP) that support the use of FCMP functions and subroutines use this system option. After your objective and constraint functions have been specified in a library, PROC OPTLSO requires the names and context of the functions within this library that are relevant to the current optimization problem. You can provide this information to PROC OPTLSO by using SAS data sets. You use additional data sets to describe variables and linear constraints in either a sparse or a dense format.