HPFRECONCILE Procedure Enhancements

New options have been added in each release.

SAS High-Performance Forecasting 2.3 introduced the following new options:

• The FORCECONSTRAINT option specifies whether the user-specified constraints should be forced on the PREDICT variable in the OUTFOR= data set when the problem is infeasible because the constraints are incompatible with the aggregation constraint. The default is to leave the input unmodified.

• The OUTPROCINFO= SAS-data-set specifies the output data set to contain the summary information of the processing done by PROC HPFRECONCILE. This option is particularly useful for easy programmatic assessment of the status of the procedure’s execution via a data set instead of looking at or parsing the SAS log.

• The WEIGHTED option specifies that the loss function for top-down reconciliation be weighted by the inverse of the variance of the input forecasts.

• The OUTINFEASIBLE= data set specifies the output data set that contains summary information.

• The ALIGN= option controls the alignment of SAS dates used to identify output observations. Internal processing uses aligned versions of the values of START= and END= options (if specified) and values of ID variable in input observations. The ALIGN= option accepts the following values: BEGIN, MIDDLE, and END. BEGIN is the default.

SAS High-Performance Forecasting 3.1 introduces the following new options:

• The IGNOREMISSF option in the PROC HPFRECONCILE statement specifies that '.F' missing values in the PREDICT variable be treated as regular '.' missing values. If the IGNOREMISSF option is not specified, a '.F' missing value is interpreted as a failed forecast, and PROC HPFRECONCILE generates '.F' missing values for all forecasting variables in the OUTFOR= data set if that value is needed for computing the reconciled forecasts. If the IGNOREMISSF option is specified, observations that correspond to '.F' missing values are considered to belong to inactive series and therefore are not included in the reconciliation process.

• The LOCKZERO option in the PROC HPFRECONCILE statement specifies that zero values of the PREDICT variable in the DISAGGDATA= data be considered locked equalities. This option is available only when DIRECTION=TD. When the LOCKZERO option is active, a zero value for PREDICT in the DISAGGDATA= set implies a zero value for the corresponding observation in the OUTFOR= data set. However, if constraints are specified in the CONSTRAINT= data set for that observation, these constraints have precedence over the LOCKZERO option. Note that an unlocked equality constraint in the CONSTRAINT= data also has precedence over the LOCKZERO option. Similarly, an unlocked equality whose value is zero is not converted to a locked equality, even though the LOCKZERO option is specified.

• The MAXITER=k option in the PROC HPFRECONCILE statement specifies the maximum number of predictor-corrector iterations performed by the interior point algorithm. The value k is an integer between 1 and the largest four-byte, signed integer, . The default value is MAXITER=100.

• The BYVARSSORTED option in the DISAGGDATA statement specifies that the DISAGGDATA= data set be sorted by the BY variables. This option improves input/output performance when there is an index defined on the BY variables. Use of an index degrades the performance as compared to processing a sorted data set. If the BYVARSSORTED option is not specified, PROC HPFRECONCILE uses only the index for processing and disregards the sorting order. If you specify the BYVARSSORTED option in the DISAGGDATA statement, PROC HPFRECONCILE exploits the sorting order to achieve better performance and uses the index minimally.