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 $message NULL ________________________________ From: R-devel <r-devel-boun...@r-project.org> on behalf of Duncan Murdoch <murdoch.dun...@gmail.com> Sent: Friday, May 3, 2019 8:18:44 AM To: peter dalgaard Cc: Florian Gerber; r-devel@r-project.org Subject: Re: [Rd] R optim(method="L-BFGS-B"): unexpected behavior when working with parent environments It looks as though this happens when calculating numerical gradients: x is reduced by eps, and fn is called; then x is increased by eps, and fn is called again. No check is made that x has other references after the first call to fn. I'll put together a patch if nobody else gets there first... Duncan Murdoch On 03/05/2019 7:13 a.m., peter dalgaard wrote:Yes, I think you are right. I was at first confused by the fact that after the optim() call,environment(fn)$xx[1] 10environment(fn)$ret[1] 100.02 so not 9.999, but this could come from x being assigned the final value without calling fn. -pdOn 3 May 2019, at 11:58 , Duncan Murdoch <murdoch.dun...@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, "inx,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@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel [[alternative HTML version deleted]] ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
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