[Rd] nlminb with constraints failing on some platforms

[Avraham Adler]

No error on Windows 10, R.3.5.2 patched, Rblas compiled with OpenBLAS
0.20, Rlapack is base.

> 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$par,         xhat,  tol=0)
[1] "Mean relative difference: 3.266165e-07"
> all.equal(opt$objective, f(xhat), tol=0)
[1] "Mean relative difference: 6.722005e-13"
> abs( opt$objective - f(xhat) ) < 1e-4
[1] TRUE

> sessionInfo()
R version 3.5.2 Patched (2018-12-26 r75909)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

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

loaded via a namespace (and not attached):
[1] compiler_3.5.2 tools_3.5.2    yaml_2.2.0

On Fri, Feb 1, 2019 at 3:24 PM Rui Barradas <ruipbarradas using sapo.pt> wrote:
>
> 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
> >
> > ______________________________________________
> > R-devel using r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-devel
> >
>
> ______________________________________________
> R-devel using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel