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

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.

Your results below make it look like a bug in optim():  it is not 
duplicating a value when it should, so changes to x affect xx as well.

Duncan Murdoch

On 03/05/2019 4:41 a.m., Serguei Sokol wrote:
> 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.
> 
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>

Yes, I think you are right. I was at first confused by the fact that after the
optim() call,
> environment(fn)$xx
[1] 10
> environment(fn)$ret
[1] 100.02

so not 9.999, but this could come from x being assigned the final value without
calling fn.

-pd

> On 3 May 2019, at 11:58 , Duncan Murdoch <murdoch.duncan at
gmail.com> wrote:
> 
> Your results below make it look like a bug in optim():  it is not
duplicating a value when it should, so changes to x affect xx as well.
> 
> Duncan Murdoch
> 
> On 03/05/2019 4:41 a.m., Serguei Sokol wrote:
>> 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.
>> ______________________________________________
>> R-devel at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-devel
>> 
> 
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Office: A 4.23
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com