The OPTLP Procedure

PROC OPTLP Statement

PROC OPTLP <options> ;

You can specify the following options in the PROC OPTLP statement.

Data Set Options

DATA=SAS-data-set: specifies the input data set corresponding to the LP model. If this option is not specified, PROC OPTLP will use the most recently created SAS data set. See Chapter 9, The MPS-Format SAS Data Set, for more details about the input data set.
DUALIN=SAS-data-set
DIN=SAS-data-set: specifies the input data set corresponding to the dual solution that is required for warm starting the primal and dual simplex solvers. See the section Data Input and Output for details.
DUALOUT=SAS-data-set
DOUT=SAS-data-set: specifies the output data set for the dual solution. This data set contains the dual solution information. See the section Data Input and Output for details.
OBJSENSE=option: specifies whether the LP model is a minimization or a maximization problem. You specify OBJSENSE=MIN for a minimization problem and OBJSENSE=MAX for a maximization problem. Alternatively, you can specify the objective sense in the input data set; see the section ROWS Section for details. If for some reason the objective sense is specified differently in these two places, this option supersedes the objective sense specified in the input data set. If the objective sense is not specified anywhere, then PROC OPTLP interprets and solves the linear program as a minimization problem.
PRIMALIN=SAS-data-set
PIN=SAS-data-set: specifies the input data set corresponding to the primal solution that is required for warm starting the primal and dual simplex solvers. See the section Data Input and Output for details.
PRIMALOUT=SAS-data-set
POUT=SAS-data-set: specifies the output data set for the primal solution. This data set contains the primal solution information. See the section Data Input and Output for details.
SAVE_ONLY_IF_OPTIMAL: specifies that the PRIMALOUT= and DUALOUT= data sets be saved only if the final solution obtained by the solver at termination is optimal. If the PRIMALOUT= and DUALOUT= options are specified, then by default (that is, omitting the SAVE_ONLY_IF_OPTIMAL option), PROC OPTLP always saves the solutions obtained at termination, regardless of the final status. If the SAVE_ONLY_IF_OPTIMAL option is not specified, the output data sets can contain an intermediate solution, if one is available.

Solver Options

IIS= option $\text{[math]}$ num

specifies whether PROC OPTLP attempts to identify a set of constraints and variables that form an irreducible infeasible set (IIS). Table 10.2 describes the valid values of the IIS= option.

Table 10.2 Values for IIS= Option
num	option	Description
0	OFF	Disables IIS detection.
1	ON	Enables IIS detection.

If an IIS is found, information about infeasible constraints or variable bounds can be found in the DUALOUT= and PRIMALOUT= data sets. If no IIS is detected, then the presolver is applied and a solver is called to continue solving the problem. The default value of this option is OFF. See the section Irreducible Infeasible Set for details.

SOLVER=option

SOL=option

specifies one of the following LP solvers:

Option	Description
PRIMAL (PS)	Use primal simplex solver.
DUAL (DS)	Use dual simplex solver.
NETWORK (NS)	Use network simplex solver.
ITERATIVE (II)	Use interior point solver.

The valid abbreviated value for each option is indicated in parentheses. By default, the dual simplex solver is used.

SOLVER2=option

specifies one of the following LP solvers if SOLVER=NS:

Option	Description
PRIMAL (PS)	Use primal simplex solver (after network simplex).
DUAL (DS)	Use dual simplex solver (after network simplex).

The valid abbreviated value for each option is indicated in parentheses. By default, the OPTLP procedure decides which algorithm is best to use after calling the network simplex solver on the extracted network.

Presolve Options

PRESOLVER=option $\text{[math]}$ num

PRESOL=option $\text{[math]}$ num

specifies one of the following presolve options:

num	option	Description
0	NONE	Disable presolver.
–1	AUTOMATIC	Apply presolver by using default setting.
1	BASIC	Perform basic presolve like removing empty rows, columns, and fixed variables.
2	MODERATE	Perform basic presolve and apply other inexpensive presolve techniques.
3	AGGRESSIVE	Perform moderate presolve and apply other aggressive (but expensive) presolve techniques.

The default option is AUTOMATIC (–1). See the section Presolve for details.

Control Options

FEASTOL= $\text{[math]}$

specifies the feasibility tolerance $\text{[math]}$ [1E–9, 1E–4] for determining the feasibility of a variable value. The default value is 1E–6.

MAXITER= $\text{[math]}$

specifies the maximum number of iterations. The value $\text{[math]}$ can be any integer between one and the largest four-byte signed integer, which is $\text{[math]}$ . If you do not specify this option, the procedure does not stop based on the number of iterations performed. For network simplex, this iteration limit corresponds to the solver called after network simplex (either primal or dual simplex).

MAXTIME= $\text{[math]}$

specifies an upper limit of $\text{[math]}$ seconds of time for reading in the data and performing the optimization process. The timer used by this option is determined by the value of the TIMETYPE= option. If you do not specify this option, the procedure does not stop based on the amount of time elapsed.

OPTTOL= $\text{[math]}$

specifies the optimality tolerance $\text{[math]}$ [1E–9, 1E–4] for declaring optimality. The default value is 1E–6.

PRINTFREQ= $\text{[math]}$

specifies that the printing of the solution progress to the iteration log is to occur after every $\text{[math]}$ iterations. The print frequency, $\text{[math]}$ , is an integer between zero and the largest four-byte signed integer, which is $\text{[math]}$ .

The value $\text{[math]}$ disables the printing of the progress of the solution.

If the PRINTFREQ= option is not specified, then PROC OPTLP displays the iteration log with a dynamic frequency according to the problem size if the primal or dual simplex solver is used, with frequency 10,000 if the network simplex solver is used, or with frequency 1 if the interior point solver is used.

PRINTLEVEL=0 $\text{[math]}$ 1 $\text{[math]}$ 2

specifies whether a summary of the problem and solution should be printed. If PRINTLEVEL=1, then two ODS (Output Delivery System) tables named "ProblemSummary" and "SolutionSummary" are produced and printed. If PRINTLEVEL=2, then the "ProblemSummary" and "SolutionSummary" tables are produced and printed along with a third table called "ProblemStatistics." If PRINTLEVEL=0, then no ODS tables are produced or printed. The default value of this option is 1.

For details about the ODS tables created by PROC OPTLP, see the section ODS Tables.

PRINTLEVEL2=option $\text{[math]}$ num

controls the amount of information displayed in the SAS log by the LP solver, from a short description of presolve information and summary to details at each iteration. Table 10.3 describes the valid values for this option.

Table 10.3 Values for PRINTLEVEL2= Option
num	option	Description
0	NONE	Turn off all solver-related messages in SAS log.
1	BASIC	Display a solver summary after stopping.
2	MODERATE	Print a solver summary and an iteration log by using the interval dictated by the PRINTFREQ= option.
3	AGGRESSIVE	Print a detailed solver summary and an iteration log by using the interval dictated by the PRINTFREQ= option.

The default value is MODERATE.

TIMETYPE=option $\text{[math]}$ num

specifies whether CPU time or real time is used for the MAXTIME= option and the _OROPTLP_ macro variable in a PROC OPTLP call. Table 10.4 describes the valid values of the TIMETYPE= option.

Table 10.4 Values for TIMETYPE= Option
num	option	Description
0	CPU	Specifies units of CPU time.
1	REAL	Specifies units of real time.

The default value of this option is CPU.

Simplex Algorithm Options

BASIS=option $\text{[math]}$ num

specifies the following options for generating an initial basis:

num	option	Description
0	CRASH	Generate an initial basis by using crash techniques (Maros; 2003). The procedure creates a triangular basic matrix consisting of both decision variables and slack variables.
1	SLACK	Generate an initial basis by using all slack variables.
2	WARMSTART	Start the primal and dual simplex solvers with a user-specified initial basis. The PRIMALIN= and DUALIN= data sets are required to specify an initial basis.

The default option for the primal simplex solver is CRASH (0). The default option for the dual simplex solver is SLACK(1). For network simplex, this option has no effect.

PRICETYPE=option $\text{[math]}$ num

specifies one of the following pricing strategies for the primal and dual simplex solvers:

num	option	Description
0	HYBRID	Use a hybrid of Devex and steepest-edge pricing strategies. Available for the primal simplex solver only.
1	PARTIAL	Use the Dantzig’s rule on a queue of decision variables. Optionally, you can specify QUEUESIZE=. Available for the primal simplex solver only.
2	FULL	Use the Dantzig’s rule on all decision variables.
3	DEVEX	Use Devex pricing strategy.
4	STEEPESTEDGE	Use steepest-edge pricing strategy.

The default pricing strategy for the primal simplex solver is HYBRID (0) and for the dual simplex solver is STEEPESTEDGE (4). For the network simplex solver, this option applies only to the solver specified by the SOLVER2= option. See the section Pricing Strategies for the Primal and Dual Simplex Solvers for details.

QUEUESIZE= $\text{[math]}$

specifies the queue size $\text{[math]}$ , where $\text{[math]}$ is the number of decision variables. This queue is used for finding an entering variable in the simplex iteration. The default value is chosen adaptively based on the number of decision variables. This option is used only when PRICETYPE=PARTIAL.

SCALE=option $\text{[math]}$ num

specifies one of the following scaling options:

num	option	Description
0	NONE	Disable scaling.
–1	AUTOMATIC	Automatically apply scaling procedure if necessary.

The default option is AUTOMATIC (–1).

Interior Point Algorithm Options

CROSSOVER=option $\text{[math]}$ num ^Experimental

specifies whether to convert the interior point solution to a basic simplex solution. If the interior point algorithm terminates with a solution, the crossover algorithm uses the interior point solution to create an initial basic solution. After performing primal fixing and dual fixing, the crossover algorithm calls a simplex algorithm to locate an optimal basic solution.

num	option	Description
0	OFF	Do not convert the interior point solution to a basic simplex solution.
1	ON	Convert the interior point solution to a basic simplex solution.

The default value of the CROSSOVER= option is OFF.

STOP_DG= $\text{[math]}$

specifies the desired relative duality gap $\text{[math]}$ [1E–9, 1E–4]. This is the relative difference between the primal and dual objective function values and is the primary solution quality parameter. The default value is 1E–6. See the section The Interior Point Algorithm for details.

STOP_DI= $\text{[math]}$

specifies the maximum allowed relative dual constraints violation $\text{[math]}$ [1E–9, 1E–4]. The default value is 1E–6. See the section The Interior Point Algorithm for details.

STOP_PI= $\text{[math]}$

specifies the maximum allowed relative bound and primal constraints violation $\text{[math]}$ [1E–9, 1E–4]. The default value is 1E–6. See the section The Interior Point Algorithm for details.