[Rd] optim "CG" bug w/patch proposal (PR#8786)

[Duncan Murdoch]

On 5/16/2006 4:56 AM, westfeld at inf.tu-dresden.de wrote:
> Probably I included too much at once in my bug report. I can live with
> an unfulfilled wishlist and thank you for thinking about it. The
> "badly-behaved" function is just an example to demonstrate the bug I
> reported. I think it is a bug if optim returns (without any warning) an
> unmatching pair of par and value: f(par) != value. And it is easily fixed.

I agree with you that on return f(par) should be value.  I agree with 
Brian that changes to the underlying strategy need much more thought.

Duncan Murdoch

> 
> Andreas
> 
> Prof Brian Ripley wrote:
> 
>> [Sorry for the belated reply: this came in just as I was leaving for a
>> trip.]
>>
>> I've checked the original source, and the C code in optim does
>> accurately reflect the published algorithm.
>>
>> Since your example is a discontinuous function, I don't see why you
>> expect CG to work on it.  John Nash reports on his extensive
>> experience that method 3 is the worst, and I don't think we should let
>> a single 2D example of a badly-behaved function override that.
>>
>> Note that no other optim method copes with the discontiuity here: had
>> your reported that it would have been clear that the problem was with
>> the example.
>>
>> On Fri, 21 Apr 2006, westfeld at inf.tu-dresden.de wrote:
>>
>>> Dear R team,
>>>
>>> when using optim with method "CG" I got the wrong $value for the
>>> reported $par.
>>>
>>> Example:
>>> f<-function(p) {
>>>        if (!all(p>-.7)) return(2)
>>>        if (!all(p<.7)) return(2)
>>>        sin((p[1])^2)*sin(p[2])
>>> }
>>> optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
>>> $par 19280.68 -10622.32
>>> $value -0.2346207 # should be 2!
>>>
>>> optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
>>> $par 3834.021 -2718.958
>>> $value -0.0009983175 # should be 2!
>>>
>>> Fix:
>>> --- optim.c     (Revision 37878)
>>> +++ optim.c     (Arbeitskopie)
>>> @@ -970,7 +970,8 @@
>>>                            if (!accpoint) {
>>>                                steplength *= stepredn;
>>>                                if (trace) Rprintf("*");
>>> -                           }
>>> +                           } else
>>> +                               *Fmin = f;
>>>                        }
>>>                    } while (!(count == n || accpoint));
>>>                    if (count < n) {
>>>
>>> After fix:
>>> optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
>>> $par 0.6993467 -0.4900145
>>> $value -0.2211150
>>> optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
>>> $par 3834.021 -2718.958
>>> $value 2
>>>
>>> Wishlist: 
>>
> [wishlist deleted]
> 
>