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Ravi Varadhan

2019-May-06 14:06 UTC

[Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

Optim's Nelder-Mead works correctly for this example.

> optim(par=10, fn=fn, method="Nelder-Mead")x=10, ret=100.02 (memory)
x=11, ret=121 (calculate)
x=9, ret=81 (calculate)
x=8, ret=64 (calculate)
x=6, ret=36 (calculate)
x=4, ret=16 (calculate)
x=0, ret=0 (calculate)
x=-4, ret=16 (calculate)
x=-4, ret=16 (memory)
x=2, ret=4 (calculate)
x=-2, ret=4 (calculate)
x=1, ret=1 (calculate)
x=-1, ret=1 (calculate)
x=0.5, ret=0.25 (calculate)
x=-0.5, ret=0.25 (calculate)
x=0.25, ret=0.0625 (calculate)
x=-0.25, ret=0.0625 (calculate)
x=0.125, ret=0.015625 (calculate)
x=-0.125, ret=0.015625 (calculate)
x=0.0625, ret=0.00390625 (calculate)
x=-0.0625, ret=0.00390625 (calculate)
x=0.03125, ret=0.0009765625 (calculate)
x=-0.03125, ret=0.0009765625 (calculate)
x=0.015625, ret=0.0002441406 (calculate)
x=-0.015625, ret=0.0002441406 (calculate)
x=0.0078125, ret=6.103516e-05 (calculate)
x=-0.0078125, ret=6.103516e-05 (calculate)
x=0.00390625, ret=1.525879e-05 (calculate)
x=-0.00390625, ret=1.525879e-05 (calculate)
x=0.001953125, ret=3.814697e-06 (calculate)
x=-0.001953125, ret=3.814697e-06 (calculate)
x=0.0009765625, ret=9.536743e-07 (calculate)
$par
[1] 0

$value
[1] 0

$counts
function gradient
      32       NA

$convergence
[1] 0

$message
NULL




________________________________
From: R-devel <r-devel-bounces at r-project.org> on behalf of Duncan
Murdoch <murdoch.duncan at gmail.com>
Sent: Friday, May 3, 2019 8:18:44 AM
To: peter dalgaard
Cc: Florian Gerber; r-devel at r-project.org
Subject: Re: [Rd] R optim(method="L-BFGS-B"): unexpected behavior when
working with parent environments


It looks as though this happens when calculating numerical gradients:  x
is reduced by eps, and fn is called; then x is increased by eps, and fn
is called again.  No check is made that x has other references after the
first call to fn.

I'll put together a patch if nobody else gets there first...

Duncan Murdoch

On 03/05/2019 7:13 a.m., peter dalgaard wrote:> 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
>
______________________________________________
R-devel at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-devel


	[[alternative HTML version deleted]]

Ben Bolker

2019-May-06 14:40 UTC

head link

[Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

That's consistent/not surprising if the problem lies in the numerical
gradient calculation step ...

On 2019-05-06 10:06 a.m., Ravi Varadhan wrote:> Optim's Nelder-Mead works correctly for this example.
> 
> 
>> optim(par=10, fn=fn, method="Nelder-Mead")
> x=10, ret=100.02 (memory)
> x=11, ret=121 (calculate)
> x=9, ret=81 (calculate)
> x=8, ret=64 (calculate)
> x=6, ret=36 (calculate)
> x=4, ret=16 (calculate)
> x=0, ret=0 (calculate)
> x=-4, ret=16 (calculate)
> x=-4, ret=16 (memory)
> x=2, ret=4 (calculate)
> x=-2, ret=4 (calculate)
> x=1, ret=1 (calculate)
> x=-1, ret=1 (calculate)
> x=0.5, ret=0.25 (calculate)
> x=-0.5, ret=0.25 (calculate)
> x=0.25, ret=0.0625 (calculate)
> x=-0.25, ret=0.0625 (calculate)
> x=0.125, ret=0.015625 (calculate)
> x=-0.125, ret=0.015625 (calculate)
> x=0.0625, ret=0.00390625 (calculate)
> x=-0.0625, ret=0.00390625 (calculate)
> x=0.03125, ret=0.0009765625 (calculate)
> x=-0.03125, ret=0.0009765625 (calculate)
> x=0.015625, ret=0.0002441406 (calculate)
> x=-0.015625, ret=0.0002441406 (calculate)
> x=0.0078125, ret=6.103516e-05 (calculate)
> x=-0.0078125, ret=6.103516e-05 (calculate)
> x=0.00390625, ret=1.525879e-05 (calculate)
> x=-0.00390625, ret=1.525879e-05 (calculate)
> x=0.001953125, ret=3.814697e-06 (calculate)
> x=-0.001953125, ret=3.814697e-06 (calculate)
> x=0.0009765625, ret=9.536743e-07 (calculate)
> $par
> [1] 0
> 
> $value
> [1] 0
> 
> $counts
> function gradient
>       32       NA
> 
> $convergence
> [1] 0
> 
> $message
> NULL
> 
> 
> 
> 
> ________________________________
> From: R-devel <r-devel-bounces at r-project.org> on behalf of Duncan
Murdoch <murdoch.duncan at gmail.com>
> Sent: Friday, May 3, 2019 8:18:44 AM
> To: peter dalgaard
> Cc: Florian Gerber; r-devel at r-project.org
> Subject: Re: [Rd] R optim(method="L-BFGS-B"): unexpected behavior
when working with parent environments
> 
> 
> It looks as though this happens when calculating numerical gradients:  x
> is reduced by eps, and fn is called; then x is increased by eps, and fn
> is called again.  No check is made that x has other references after the
> first call to fn.
> 
> I'll put together a patch if nobody else gets there first...
> 
> Duncan Murdoch
> 
> On 03/05/2019 7:13 a.m., peter dalgaard wrote:
>> Yes, I think you are right. I was at first confused by the fact that
after the optim() call,
>>
>>> environment(fn)$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
>>
> 
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
> 
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>

Thomas Petzoldt

2019-May-06 16:21 UTC

head link

[Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

It seems that it's an old bug that was found in some other packages, but 
at that time not optim:

https://bugs.r-project.org/bugzilla/show_bug.cgi?id=15958

and that Duncan Murdoch posted a patch already last Friday :)

Thomas

Am 06.05.2019 um 16:40 schrieb Ben Bolker:>    That's consistent/not surprising if the problem lies in the
numerical
> gradient calculation step ...
>
> On 2019-05-06 10:06 a.m., Ravi Varadhan wrote:
>> Optim's Nelder-Mead works correctly for this example.
>>
>>
>>> optim(par=10, fn=fn, method="Nelder-Mead")
>> x=10, ret=100.02 (memory)
>> x=11, ret=121 (calculate)
>> x=9, ret=81 (calculate)
>> x=8, ret=64 (calculate)
>> x=6, ret=36 (calculate)
>> x=4, ret=16 (calculate)
>> x=0, ret=0 (calculate)
>> x=-4, ret=16 (calculate)
>> x=-4, ret=16 (memory)
>> x=2, ret=4 (calculate)
>> x=-2, ret=4 (calculate)
>> x=1, ret=1 (calculate)
>> x=-1, ret=1 (calculate)
>> x=0.5, ret=0.25 (calculate)
>> x=-0.5, ret=0.25 (calculate)
>> x=0.25, ret=0.0625 (calculate)
>> x=-0.25, ret=0.0625 (calculate)
>> x=0.125, ret=0.015625 (calculate)
>> x=-0.125, ret=0.015625 (calculate)
>> x=0.0625, ret=0.00390625 (calculate)
>> x=-0.0625, ret=0.00390625 (calculate)
>> x=0.03125, ret=0.0009765625 (calculate)
>> x=-0.03125, ret=0.0009765625 (calculate)
>> x=0.015625, ret=0.0002441406 (calculate)
>> x=-0.015625, ret=0.0002441406 (calculate)
>> x=0.0078125, ret=6.103516e-05 (calculate)
>> x=-0.0078125, ret=6.103516e-05 (calculate)
>> x=0.00390625, ret=1.525879e-05 (calculate)
>> x=-0.00390625, ret=1.525879e-05 (calculate)
>> x=0.001953125, ret=3.814697e-06 (calculate)
>> x=-0.001953125, ret=3.814697e-06 (calculate)
>> x=0.0009765625, ret=9.536743e-07 (calculate)
>> $par
>> [1] 0
>>
>> $value
>> [1] 0
>>
>> $counts
>> function gradient
>>        32       NA
>>
>> $convergence
>> [1] 0
>>
>> $message
>> NULL
>>
>>
>>
>>
>> ________________________________
>> From: R-devel <r-devel-bounces at r-project.org> on behalf of
Duncan Murdoch <murdoch.duncan at gmail.com>
>> Sent: Friday, May 3, 2019 8:18:44 AM
>> To: peter dalgaard
>> Cc: Florian Gerber; r-devel at r-project.org
>> Subject: Re: [Rd] R optim(method="L-BFGS-B"): unexpected
behavior when working with parent environments
>>
>>
>> It looks as though this happens when calculating numerical gradients: 
x
>> is reduced by eps, and fn is called; then x is increased by eps, and fn
>> is called again.  No check is made that x has other references after
the
>> first call to fn.
>>
>> I'll put together a patch if nobody else gets there first...
>>
>> Duncan Murdoch
>>
>> On 03/05/2019 7:13 a.m., peter dalgaard wrote:
>>> Yes, I think you are right. I was at first confused by the fact
that after the optim() call,
>>>
>>>> environment(fn)$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
>> ______________________________________________
>> R-devel at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-devel
>>
>>
>> 	[[alternative HTML version deleted]]
>>
>> ______________________________________________
>> 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

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[Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

[Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments

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