[Rd] bug in L-BFGS-B? (PR#8099)

Peter Dalgaard p.dalgaard at biostat.ku.dk
Sat Aug 27 19:14:48 CEST 2005

Prof Brian Ripley <ripley at stats.ox.ac.uk> writes:

> Check your versions of MASS.  The Windows one appears to be an outdated 
> version, and does different things.

Forgetting to run tools/rsync-recommended during build will do that
sort of thing to you, but it would seem that Berwin used a binary
download. But of course he might be picking up an older version of the
package from a private library.
> As for the problem, yes it probably is a bug in L-BFGS-B.  Fancy debugging 
> the code?

B. might just be capable of it, but this is certainly some of the more
impenetrable code in R. While he (or anyone else) is in there, there
seems to be another problem in that the Hessian calculations refuse to
stay within the bounds (which is pretty annoying when the objective
function is undefined outside of them). Try for instance

f <- function(p) sum(ifelse(p>=-1e-4,p,Inf)^2)
optim(f, lower=c(0,0), par=c(5,5), method="L-BFGS-B")
optim(f, lower=c(0,0), par=c(5,5), method="L-BFGS-B", hess=T)

   O__  ---- Peter Dalgaard             Øster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)                  FAX: (+45) 35327907

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