R devel - May 2019 - R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

Dear all,

when using optim() for a function that uses the parent environment, I
see the following unexpected behavior:

makeFn <- function(){
??? xx <- ret <- NA
??? fn <- function(x){
?????? if(!is.na(xx) && x==xx){
?????????? cat("x=", xx, ", ret=", ret, "
(memory)", fill=TRUE, sep="")
?????????? return(ret)
?????? }
?????? xx <<- x; ret <<- sum(x^2)
?????? cat("x=", xx, ", ret=", ret, "
(calculate)", fill=TRUE, sep="")
?????? ret
??? }
??? fn
}
fn <- makeFn()
optim(par=10, fn=fn, method="L-BFGS-B")
# x=10, ret=100 (calculate)
# x=10.001, ret=100.02 (calculate)
# x=9.999, ret=100.02 (memory)
# $par
# [1] 10
#
# $value
# [1] 100
# (...)

I would expect that optim() does more than 3 function evaluations and
that the optimization converges to 0.

Same problem with optim(par=10, fn=fn, method="BFGS").

Any ideas?

See also my related post:
https://stackoverflow.com/questions/53826521/r-optim-unexpected-behavior-when-working-with-parent-environments
???
platform?????? x86_64-pc-linux-gnu????????
arch?????????? x86_64?????????????????????
os???????????? linux-gnu??????????????????
system???????? x86_64, linux-gnu??????????
status????????????????????????????????????
major????????? 3??????????????????????????
minor????????? 6.0????????????????????????
year?????????? 2019???????????????????????
month????????? 04?????????????????????????
day??????????? 26?????????????????????????
svn rev??????? 76424??????????????????????
language?????? R??????????????????????????
version.string R version 3.6.0 (2019-04-26)
nickname?????? Planting of a Tree?????????

Best,
Florian

On 02/05/2019 21:35, Florian Gerber wrote:
> Dear all,
>
> when using optim() for a function that uses the parent environment, I
> see the following unexpected behavior:
>
> makeFn <- function(){
>  ??? xx <- ret <- NA
>  ??? fn <- function(x){
>  ?????? if(!is.na(xx) && x==xx){
>  ?????????? cat("x=", xx, ", ret=", ret, "
(memory)", fill=TRUE, sep="")
>  ?????????? return(ret)
>  ?????? }
>  ?????? xx <<- x; ret <<- sum(x^2)
>  ?????? cat("x=", xx, ", ret=", ret, "
(calculate)", fill=TRUE, sep="")
>  ?????? ret
>  ??? }
>  ??? fn
> }
> fn <- makeFn()
> optim(par=10, fn=fn, method="L-BFGS-B")
> # x=10, ret=100 (calculate)
> # x=10.001, ret=100.02 (calculate)
> # x=9.999, ret=100.02 (memory)
> # $par
> # [1] 10
> #
> # $value
> # [1] 100
> # (...)
>
> I would expect that optim() does more than 3 function evaluations and
> that the optimization converges to 0.
>
> Same problem with optim(par=10, fn=fn, method="BFGS").
>
> Any ideas?
I don't have an answer but may be an insight. For some mysterious reason 
xx is getting changed when in should not. Consider:
 > fn=local({n=0; xx=ret=NA; function(x) {n <<- n+1; cat(n, "in 
x,xx,ret=", x, xx, ret, "\n"); if (!is.na(xx) && x==xx)
ret else {xx <<-
x; ret <<- x**2; cat("out x,xx,ret=", x, xx, ret,
"\n"); ret}}})
 > optim(par=10, fn=fn, method="L-BFGS-B")
1 in x,xx,ret= 10 NA NA
out x,xx,ret= 10 10 100
2 in x,xx,ret= 10.001 10 100
out x,xx,ret= 10.001 10.001 100.02
3 in x,xx,ret= 9.999 9.999 100.02
$par
[1] 10

$value
[1] 100

$counts
function gradient
 ?????? 1??????? 1

$convergence
[1] 0

$message
[1] "CONVERGENCE: NORM OF PROJECTED GRADIENT <= PGTOL"

At the third call, xx has value 9.999 while it should have kept the 
value 10.001.

Serguei.

On 03/05/2019 10:31, Serguei Sokol wrote:
> On 02/05/2019 21:35, Florian Gerber wrote:
>> Dear all,
>>
>> when using optim() for a function that uses the parent environment, I
>> see the following unexpected behavior:
>>
>> makeFn <- function(){
>> ???? xx <- ret <- NA
>> ???? fn <- function(x){
>> ??????? if(!is.na(xx) && x==xx){
>> ??????????? cat("x=", xx, ", ret=", ret, "
(memory)", fill=TRUE, sep="")
>> ??????????? return(ret)
>> ??????? }
>> ??????? xx <<- x; ret <<- sum(x^2)
>> ??????? cat("x=", xx, ", ret=", ret, "
(calculate)", fill=TRUE, sep="")
>> ??????? ret
>> ???? }
>> ???? fn
>> }
>> fn <- makeFn()
>> optim(par=10, fn=fn, method="L-BFGS-B")
>> # x=10, ret=100 (calculate)
>> # x=10.001, ret=100.02 (calculate)
>> # x=9.999, ret=100.02 (memory)
>> # $par
>> # [1] 10
>> #
>> # $value
>> # [1] 100
>> # (...)
>>
>> I would expect that optim() does more than 3 function evaluations and
>> that the optimization converges to 0.
>>
>> Same problem with optim(par=10, fn=fn, method="BFGS").
>>
>> Any ideas?
> I don't have an answer but may be an insight. For some mysterious 
> reason xx is getting changed when in should not. Consider:
> > fn=local({n=0; xx=ret=NA; function(x) {n <<- n+1; cat(n,
"in
> x,xx,ret=", x, xx, ret, "\n"); if (!is.na(xx) &&
x==xx) ret else {xx
> <<- x; ret <<- x**2; cat("out x,xx,ret=", x, xx, ret,
"\n"); ret}}})
> > optim(par=10, fn=fn, method="L-BFGS-B")
> 1 in x,xx,ret= 10 NA NA
> out x,xx,ret= 10 10 100
> 2 in x,xx,ret= 10.001 10 100
> out x,xx,ret= 10.001 10.001 100.02
> 3 in x,xx,ret= 9.999 9.999 100.02
> $par
> [1] 10
>
> $value
> [1] 100
>
> $counts
> function gradient
> ?????? 1??????? 1
>
> $convergence
> [1] 0
>
> $message
> [1] "CONVERGENCE: NORM OF PROJECTED GRADIENT <= PGTOL"
>
> At the third call, xx has value 9.999 while it should have kept the 
> value 10.001.
>
A little follow-up: if you untie the link between xx and x by replacing 
the expression "xx <<- x" by "xx <<- x+0" it
works as expected:
 > fn=local({n=0; xx=ret=NA; function(x) {n <<- n+1; cat(n, "in 
x,xx,ret=", x, xx, ret, "\n"); if (!is.na(xx) && x==xx)
ret else {xx <<-
x+0; ret <<- x**2; cat("out x,xx,ret=", x, xx, ret,
"\n"); ret}}})
 > optim(par=10, fn=fn, method="L-BFGS-B")
1 in x,xx,ret= 10 NA NA
out x,xx,ret= 10 10 100
2 in x,xx,ret= 10.001 10 100
out x,xx,ret= 10.001 10.001 100.02
3 in x,xx,ret= 9.999 10.001 100.02
out x,xx,ret= 9.999 9.999 99.98
4 in x,xx,ret= 9 9.999 99.98
out x,xx,ret= 9 9 81
5 in x,xx,ret= 9.001 9 81
out x,xx,ret= 9.001 9.001 81.018
6 in x,xx,ret= 8.999 9.001 81.018
out x,xx,ret= 8.999 8.999 80.982
7 in x,xx,ret= 1.776357e-11 8.999 80.982
out x,xx,ret= 1.776357e-11 1.776357e-11 3.155444e-22
8 in x,xx,ret= 0.001 1.776357e-11 3.155444e-22
out x,xx,ret= 0.001 0.001 1e-06
9 in x,xx,ret= -0.001 0.001 1e-06
out x,xx,ret= -0.001 -0.001 1e-06
10 in x,xx,ret= -1.334475e-23 -0.001 1e-06
out x,xx,ret= -1.334475e-23 -1.334475e-23 1.780823e-46
11 in x,xx,ret= 0.001 -1.334475e-23 1.780823e-46
out x,xx,ret= 0.001 0.001 1e-06
12 in x,xx,ret= -0.001 0.001 1e-06
out x,xx,ret= -0.001 -0.001 1e-06
$par
[1] -1.334475e-23

$value
[1] 1.780823e-46

$counts
function gradient
 ?????? 4??????? 4

$convergence
[1] 0

$message
[1] "CONVERGENCE: NORM OF PROJECTED GRADIENT <= PGTOL"

Serguei.