[Rd] nlminb with constraints failing on some platforms

[Rui Barradas]

Hello,

R 3.5.2 on ubuntu 18.04. sessionInfo() at the end.
Works with me, same results, cannot reproduce the error.


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$par,         xhat,  tol=0) # good: 5.53 e-7
#[1] "Mean relative difference: 5.534757e-07"
all.equal(opt$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


Hope this helps,

Rui Barradas


sessionInfo()
R version 3.5.2 (2018-12-20)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 18.04.1 LTS

Matrix products: default
BLAS: /usr/lib/x86_64-linux-gnu/blas/libblas.so.3.7.1
LAPACK: /usr/lib/x86_64-linux-gnu/lapack/liblapack.so.3.7.1

locale:
  [1] LC_CTYPE=pt_PT.UTF-8       LC_NUMERIC=C
  [3] LC_TIME=pt_PT.UTF-8        LC_COLLATE=pt_PT.UTF-8
  [5] LC_MONETARY=pt_PT.UTF-8    LC_MESSAGES=pt_PT.UTF-8
  [7] LC_PAPER=pt_PT.UTF-8       LC_NAME=C
  [9] LC_ADDRESS=C               LC_TELEPHONE=C
[11] LC_MEASUREMENT=pt_PT.UTF-8 LC_IDENTIFICATION=C

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

loaded via a namespace (and not attached):
  [1] Rcpp_1.0.0       rstudioapi_0.8   bindr_0.1.1      magrittr_1.5
  [5] tidyselect_0.2.5 munsell_0.5.0    colorspace_1.3-2 lattice_0.20-38
  [9] R6_2.3.0         rlang_0.3.0.1    stringr_1.3.1    plyr_1.8.4
[13] dplyr_0.7.8      tools_3.5.2      grid_3.5.2       yaml_2.2.0
[17] assertthat_0.2.0 tibble_1.4.2     crayon_1.3.4     bindrcpp_0.2.2
[21] purrr_0.2.5      reshape2_1.4.3   glue_1.3.0       stringi_1.2.4
[25] compiler_3.5.2   pillar_1.3.1     scales_1.0.0     lubridate_1.7.4
[29] pkgconfig_2.0.2  zoo_1.8-4




Às 09:00 de 01/02/2019, Martin Maechler escreveu:
>>>>>> Kasper Kristensen via R-devel
>>>>>>      on Mon, 28 Jan 2019 08:56:39 +0000 writes:
> 
>      > I've noticed unstable behavior of nlminb on some Linux
>      > systems. The problem can be reproduced by compiling
>      > R-3.5.2 using gcc-8.2 and running the following snippet:
> 
>      > f <- function(x) sum( log(diff(x)^2+.01) + (x[1]-1)^2 )
>      > opt <- nlminb(rep(0, 10), f, lower=-1, upper=3)
>      > xhat <- rep(1, 10)
>      > abs( opt$objective - f(xhat) ) < 1e-4  ## Must be TRUE
> 
>      > The example works perfectly when removing the bounds. However, when bounds are added the snippet returns 'FALSE'.
> 
>      > An older R version (3.4.4), compiled using the same gcc-8.2, did not have the problem. Between the two versions R has changed the flags to compile Fortran sources:
> 
>      > < SAFE_FFLAGS = -O2 -fomit-frame-pointer -ffloat-store
>      > ---
>      >> SAFE_FFLAGS = -O2 -fomit-frame-pointer -msse2 -mfpmath=sse
> 
>      > Reverting to the old SAFE_FFLAGS 'solves' the problem.
> 
>      >> sessionInfo()
>      > R version 3.5.2 (2018-12-20)
>      > Platform: x86_64-pc-linux-gnu (64-bit)
>      > Running under: Scientific Linux release 6.4 (Carbon)
> 
>      > Matrix products: default
>      > BLAS/LAPACK: /zdata/groups/nfsopt/intel/2018update3/compilers_and_libraries_2018.3.222/linux/mkl/lib/intel64_lin/libmkl_gf_lp64.so
> 
>      > locale:
>      > [1] C
> 
>      > attached base packages:
>      > [1] stats     graphics  grDevices utils     datasets  methods   base
> 
>      > loaded via a namespace (and not attached):
>      > [1] compiler_3.5.2
> 
> So you us Intel's MKL library for BLAS/LAPACK ..
> 
> I also use gcc 8.2 (on Fedora 28 Linux) and R's own BLAS/LAPACK
> and don't see such problems:
> 
> The code
> 
> f <- function(x) sum( log(diff(x)^2+.01) + (x[1]-1)^2 )
> opt <- nlminb(rep(0, 10), f, lower=-1, upper=3)
> str(opt)
> xhat <- rep(1, 10)
> all.equal(opt$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 ?
> 
> 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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