Solving Unconstrained Optimization Problems (nlps2)
/*****************************************************************/
/* */
/* S A S S A M P L E L I B R A R Y */
/* */
/* NAME: nlps2 */
/* TITLE: Solving Unconstrained Optimization Problems (nlps2) */
/* PRODUCT: OR */
/* SYSTEM: ALL */
/* KEYS: OR */
/* PROCS: OPTMODEL */
/* DATA: */
/* */
/* SUPPORT: UPDATE: */
/* REF: */
/* MISC: Example 2 from the Nonlinear Programming Solver */
/* chapter of Mathematical Programming. */
/* */
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proc optmodel;
number N=100000;
var x{1..N} init 1.0;
minimize f = sum {i in 1..N - 1} (-4 * x[i] + 3.0) +
sum {i in 1..N - 1} (x[i]^2 + x[N]^2)^2;
solve with nlp;
quit;
proc optmodel;
number N=100000;
var x{1..N} >= 1 <= 2;
minimize f = sum {i in 1..N - 1} cos(-0.5*x[i+1] - x[i]^2);
solve with nlp / algorithm=activeset;
quit;