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.
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