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Matrix Square Root Example (omode01)

/***************************************************************/
/*                                                             */
/*          S A S   S A M P L E   L I B R A R Y                */
/*                                                             */
/*    NAME: omode01                                            */
/*   TITLE: Matrix Square Root Example (omode01)               */
/* PRODUCT: OR                                                 */
/*  SYSTEM: ALL                                                */
/*    KEYS: OR                                                 */
/*   PROCS: OPTMODEL                                           */
/*    DATA:                                                    */
/*                                                             */
/* SUPPORT:                             UPDATE:                */
/*     REF:                                                    */
/*    MISC: Example 1 from the OPTMODEL chapter of             */
/*          Mathematical Programming.                          */
/*                                                             */
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proc optmodel;
   number n = 5;  /* size of matrix */
   /* random original array */
   number A{1..n, 1..n} = 10 - 20*rand('UNIFORM');
   /* compute upper triangle of the
    * symmetric matrix A*transpose(A) */
   /* should be positive def unless A is singular */
   number P{i in 1..n, j in i..n};
   for {i in 1..n, j in i..n}
       P[i,j] = sum{k in 1..n} A[i,k]*A[j,k];
   /* coefficients of square root array
    * (upper triangle of symmetric matrix) */
   var q{i in 1..n, i..n};
   /* The default initial value q[i,j]=0 is
    * a local minimum of the objective,
    * so you must move it away from that point. */
   q[1,1] = 1;
   /* minimize difference of square of q from P */
   min r = sum{i in 1..n, j in i..n}
           (   sum{k in 1..i} q[k,i]*q[k,j]
             + sum{k in i+1..j} q[i,k]*q[k,j]
             + sum{k in j+1..n} q[i,k]*q[j,k]
             - P[i,j] )**2;
   solve;
   print q;
quit;