You could be talking about custom algorithm development, and the answer is yes.
http://technet.microsoft.com/en-US/library/aa964125(v=SQL.90).aspx and also the book "Data Mining with SQL Server 2008" -- there are some helpful resources at
Mark Tabladillo PhD (MVP, SAS Expert; MCT, MCITP, MCAD .NET) http://www.marktab.net
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