[Rd] nlminb with constraints failing on some platforms

[Berend Hasselman]

> On 1 Feb 2019, at 10:00, Martin Maechler <maechler using stat.math.ethz.ch> wrote:
> 
> ........
>>> sessionInfo()
>> R version 3.5.2 (2018-12-20)
>> Platform: x86_64-pc-linux-gnu (64-bit)
>> Running under: Scientific Linux release 6.4 (Carbon)
> 
>> Matrix products: default
>> BLAS/LAPACK: /zdata/groups/nfsopt/intel/2018update3/compilers_and_libraries_2018.3.222/linux/mkl/lib/intel64_lin/libmkl_gf_lp64.so
> 
>> locale:
>> [1] C
> 
>> attached base packages:
>> [1] stats     graphics  grDevices utils     datasets  methods   base
> 
>> loaded via a namespace (and not attached):
>> [1] compiler_3.5.2
> 
> So you us Intel's MKL library for BLAS/LAPACK ..
> 
> I also use gcc 8.2 (on Fedora 28 Linux) and R's own BLAS/LAPACK
> and don't see such problems:
> 
> The code
> 
> f <- function(x) sum( log(diff(x)^2+.01) + (x[1]-1)^2 )
> opt <- nlminb(rep(0, 10), f, lower=-1, upper=3)
> str(opt)
> xhat <- rep(1, 10)
> all.equal(opt$par,         xhat,  tol=0) # good: 5.53 e-7
> all.equal(opt$objective, f(xhat), tol=0) # good: 1.8 e-12
> abs( opt$objective - f(xhat) ) < 1e-4  ## Must be TRUE
> 
> gives
> 
>> f <- function(x) sum( log(diff(x)^2+.01) + (x[1]-1)^2 )
>> opt <- nlminb(rep(0, 10), f, lower=-1, upper=3)
>> str(opt)
> List of 6
> $ par        : num [1:10] 1 1 1 1 1 ...
> $ objective  : num -41.4
> $ convergence: int 0
> $ iterations : int 66
> $ evaluations: Named int [1:2] 96 830
>  ..- attr(*, "names")= chr [1:2] "function" "gradient"
> $ message    : chr "relative convergence (4)"
>> xhat <- rep(1, 10)
>> all.equal(opt$par,         xhat,  tol=0) # good: 5.53 e-7
> [1] "Mean relative difference: 5.534757e-07"
>> all.equal(opt$objective, f(xhat), tol=0) # good: 1.8 e-12
> [1] "Mean relative difference: 1.816536e-12"
>> abs( opt$objective - f(xhat) ) < 1e-4  ## Must be TRUE
> [1] TRUE
>> 
> 
> for me. Maybe others can quickly run the above  7 lines and report ?
> 

Identical result on R 3.5.2 on macOS 10.14.3 with the CRAN version of R.


Berend Hasselman

> Maybe there's something else unusual with your Linux
> distribution's libraries?
> 
> I'm not an expert on these compiler flags; have you seen what
> the R-admin manual
>    https://cran.r-project.org/doc/manuals/R-admin.html#Linux
> says about them?
> 
> Best,
> Martin
> 
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