[R-SIG-Mac] Erroneous zeros in results using Matrix package
Roger Koenker
rkoenker at illinois.edu
Tue Oct 15 20:26:31 CEST 2013
You would be much more likely to get a response to this if you had a _smaller_ reproducible example.
url: www.econ.uiuc.edu/~roger Roger Koenker
email rkoenker at uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Urbana, IL 61801
On Oct 15, 2013, at 11:36 AM, Braun, Michael wrote:
> I've come across some interesting behavior using the Matrix package, and I cannot seem to explain it. I have sent this issue to the Matrix maintainers, and Martin Maechler was unable to replicate it on his Linux system. Since it might be something Mac-specific, he suggested that I post here. The complete code is pasted at the bottom of this email, along with my sessionInfo() output.
>
> The function f takes 3 parameters: p, k and N. First, it creates A, a lower triangle of a sparse block diagonal matrix with p blocks, and each block being k x k. I then let S = AA', and have L be the lower Cholesky decomposition of L. (I use Cholesky instead of chol because, for my "real" application, because I need the permutation matrix also). I then multiply L by a matrix z, where each column in z is a standard MVN sample.
>
> None of the elements should be zero. However, if z becomes very large, I get lots of zero entries.
>
> Additionally, you will see that when I try to coerce a large identity matrix to a dtCMatrix, some of the ones are lost.
>
> A word of warning: this script does consume a lot of RAM, and it will take several minutes to run. But it would be helpful if someone with a Mac Pro with 32GB of RAM could try to replicate the problem.
>
> Thanks in advance for your help.
>
> Michael
>
>
> library(Matrix)
>
> f <- function(p,k,N) {
> A <- tril(kronecker(Diagonal(p),Matrix(1:(k^2),k,k)))
> S <- tcrossprod(A)
> CH <- Cholesky(S)
> L <- expand(CH)$L
> z <- rnorm(N*k*p)
> dim(z) <- c(p*k,N)
> y <- L %*% z
> return(sum(y==0))
> }
>
> system.time(small <- f(p= 100, k=3, N= 200) )
> system.time(medium <- f(p= 200, k=3, N= 5000) )
>
> print(small ) ## 0
> print(medium) ## 0
>
> print( system.time(large.p <- f(p=50000, k=3, N= 5000) ))
> print( system.time(large.N <- f(p=10000, k=3, N=20000) ))
>
> print(large.p) ## I get 536870912, but it should be 0
> print(large.N) ## I get 536870912, but it should be 0
>
> system.time( W1 <- as(diag(10000),"dtCMatrix") )
> print(sum(diag(W1))) ## should be 10000, and that's what I get
>
> system.time( W3 <- as(diag(30000),"dtCMatrix") )
> print(sum(diag(W3)))## should be 30000, I get 12104
>
> sessionInfo()
> R version 3.0.1 (2013-05-16)
> Platform: x86_64-apple-darwin12.3.0/x86_64 (64-bit)
>
> locale:
> [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> other attached packages:
> [1] Matrix_1.0-14 lattice_0.20-15
>
> loaded via a namespace (and not attached):
> [1] grid_3.0.1 tools_3.0.1
>
> --------------------------
> Michael Braun
> Associate Professor of Marketing
> Cox School of Business
> Southern Methodist University
> Dallas, TX 75275
> braunm _at_ smu.edu
>
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