[Rd] nlminb with constraints failing on some platforms

[William Dunlap]

Microsoft R Open 3.4.2
The enhanced R distribution from Microsoft
Microsoft packages Copyright (C) 2017 Microsoft Corporation

Using the Intel MKL for parallel mathematical computing (using 12 cores).

Default CRAN mirror snapshot taken on 2017-10-15.
See: https://mran.microsoft.com/.

> 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$objective - f(xhat) ) < 1e-4  ## Must be TRUE
[1] FALSE
> opt$objective - f(xhat)
[1] 3.696533
> str(opt)
List of 6
 $ par        : num [1:10] 0.797 0.303 0.285 0.271 0.258 ...
 $ objective  : num -37.7
 $ convergence: int 1
 $ iterations : int 150
 $ evaluations: Named int [1:2] 155 1611
  ..- attr(*, "names")= chr [1:2] "function" "gradient"
 $ message    : chr "iteration limit reached without convergence (10)"

Bill Dunlap
TIBCO Software
wdunlap tibco.com


On Tue, Jan 29, 2019 at 3:59 AM Kasper Kristensen via R-devel <
r-devel using r-project.org> wrote:

> 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
>
>
>
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>
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