SAS/IML

IML is an Interactive Matrix Programming Language for SAS. This is similar to R, Matlab and Stata/Mata language. You deal with matrix and you can perform any operation on those matrix.

Optimization
IML includes lots of optimization routines.

Resources

 * SAS Help for IML
 * Introduction to SAS IML (1000 pages, pdf)
 * Introduction to SAS IML by Michael Friendly