[R-SIG-Mac] Erroneous zeros in results using Matrix package
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue Oct 15 22:03:21 CEST 2013
On 15/10/2013 20:37, Simon Urbanek wrote:
> On Oct 15, 2013, at 3:10 PM, Braun, Michael wrote:
>
>> I suppose that is true. But the problem does not occur in smaller examples. It only occurs when working with very large matrices. That's the whole point. And to be fair, I did warn the members of the list that this is a memory-intensive example.
>>
>
> Isn't this related to the mysterious issue with 32-bit overflow in matrices on some OS X systems? Unfortunately I can't seem to find that thread - I recall Brian committing a work-around, so can you test more recent R? In addition, which BLAS implementation are you using?
That was my guess, and the workaround is in 3.0.2 so please try current
R (as the posting guide asked to be done before posting).
> Thanks,
> Simon
>
>
>
>> On Oct 15, 2013, at 1:26 PM, Roger Koenker <rkoenker at illinois.edu> wrote:
>>
>>> 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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>>
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--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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