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Defining the Unknown Member and Null Processing Properties
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When Microsoft SQL Server 2005 Analysis Services (SSAS) processes a dimension, all distinct values from the underlying columns in the tables or views in the data source view populate the attributes in the dimension. If Analysis Services encounters a null value during processing, by default, it converts this null to a zero for numeric columns or to an empty string for string columns - no error is thrown. You can modify these defaults or convert null values in your extract, transform, and load process (if any) of the underlying relational data warehouse. You can also have Analysis Service convert the null value to a designated value by configuring three properties: the UnknownMember and UnknownMemberName properties for the dimension and the NullProcessing property for the dimension's key attribute.

Book sample cubes are quite easy to be create and processed, but what happens to real cases? For instance... what if you have a dimension that links using a nullable FK attribute table?

More interesting is the answer... the problem is not in the cube it's on the DM :-), or convert your unknown to a dummy entry.

You can check here the official response from Ms, ... if you have to apply some trick that looks dirty just go with this paper and use the "Ms chaps say that..." trick.