Combining MPS and FCMP Function Definitions (lsoe04)

/**********************************************************************/
/*                                                                    */
/*               S A S   S A M P L E   L I B R A R Y                  */
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/*    NAME: lsoe04                                                    */
/*   TITLE: Combining MPS and FCMP Function Definitions (lsoe04)      */
/* PRODUCT: OR                                                        */
/*  SYSTEM: ALL                                                       */
/*    KEYS: OR                                                        */
/*   PROCS: OPTLSO, OPTMODEL, FCMP                                    */
/*    DATA:                                                           */
/*                                                                    */
/* SUPPORT:                             UPDATE:                       */
/*     REF:                                                           */
/*    MISC: Example 4 from the OPTLSO chapter of the                  */
/*          Local Search Optimization book.                           */
/*                                                                    */
/**********************************************************************/

%macro lsompsmod(setold,setnew);
   data &setnew(drop=i);
      set &setold;
      array FC{*} _CHARACTER_;
      do i=1 to dim(FC);
         FC[i] = compress(FC[i], "[]");
      end;
   run;
%mend;

proc optmodel;
   var x{1..13} >= 0 <= 1;
   for {i in 10..12} x[i].ub = 100;
   min linobj = 5*sum{i in 1..4} x[i] - sum{i in 5..13} x[i];
   con a1: 2*x[1] + 2*x[2] + x[10] + x[11] <= 10;
   con a2: 2*x[1] + 2*x[3] + x[10] + x[12] <= 10;
   con a3: 2*x[1] + 2*x[3] + x[11] + x[12] <= 10;
   con a4: -8*x[1] + x[10] <= 0;
   con a5: -8*x[2] + x[11] <= 0;
   con a6: -8*x[3] + x[12] <= 0;
   con a7: -2*x[4] - x[5] + x[10] <= 0;
   con a8: -2*x[6] - x[7] + x[11] <= 0;
   con a9: -2*x[8] - x[9] + x[12] <= 0;
   save mps lindataOld;
quit;
%lsompsmod(lindataOld, lindata);

proc fcmp outlib=sasuser.myfuncs.mypkg;
   function quadobj(x1,x2,x3,x4,f1);
      return (f1 - 5*(x1**2 + x2**2 + x3**2 + x4**2));
   endsub;
run;

data objdata;
   input _id_ $ _function_ $ _sense_ $;
   datalines;
f1  linobj    .
f   quadobj   min
;

options cmplib = sasuser.myfuncs;
proc optlso
   primalout = solution
   mpsdata   = lindata
   objective = objdata;
   performance nthreads=2;
run;

proc print data=solution;
run;