Adelchi,
R is a volunteer project, and we would need a volunteer to look at this.
`The developers of optim' (who are R-core) used published code for this
method. Since you are getting different answers on different platforms
this might be a bug in your compiler or run-time rather than R.
Please submit a reproducible bug report to R-bugs. As you will see some
bugs don't get fixed very fast (including one I submitted from Padua in
2001).
Brian
On Sat, 21 Jun 2003, Adelchi Azzalini wrote:
>
> There seems to exist peculiar cases where optim does not take care
> of constraints on the parameters to be optimized over. The call to
> optim is of the form
>
> opt <- optim(cp, fn=sn.dev, gr=sn.dev.gh, method="L-BFGS-B",
> lower=c(-Inf, 1e-10, -0.99527),
> upper=c( Inf, Inf, 0.99527),
> control=control, X=X, y=y, hessian=FALSE)
>
> The code has worked fine many times, but I have come across cases
> (for suitable data X and y) where the constraint on the last component
> is ignored; that means that a call is made to sn.dev with
> cp = -1.3546 0.4645 3.1741
> so the third component exceeds 0.99527, and the program stops
> because of a check in the function to be obtimised.
>
> The call just before was to the gradient function
> sn.dev.gh: gradient = 219013 -312643 441647332
> which has rather large values.
>
> To make the problem more interesting, it shows up on a Linux
> (Debian) installation, but it works fine on MS-windows.
> In both cases, R is 1.7.0.
>
> Perhaps this sort of question should not be directed to the R-help
> list, rather to the developer(s) of optim. Please instruct me on this
> point. Also, I appreciate that the above is not a reproducible example;
> this would be longish in text, and I though to ask first to whom
> it is appropriate that I direct my question.
>
>
> Best wishes,
>
> Adelchi Azzalini
>
>
>
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, stats.ox.ac.uk/~ripley
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595