[R-SIG-Mac] Erroneous zeros in results using Matrix package

[Braun, Michael]

I was unaware of the 32-bit overflow issue, and I must have missed the announcement of R-3.0.2.  I cannot update from 3.0.1 to 3.0.2 right away, for some unrelated reasons, but I will do that ASAP.  I did peruse the NEWS file for R-3.0.2, R-3.0.2-patched, and R-devel, but I did not see any items that immediately jumped out as being connected.

My installation of R links to the Intel MKL BLAS, version 11.0, Update 3.  I compiled R using clang, with flags -msse4.2 -mtune=corei7 -O2 (among some others).  I would doubt that the BLAS choice is the problem, since a simple coercion of a large identity matrix to its sparse counterpart should not have to call a BLAS routine.  I can send my Makeconf file if you think that would be useful.


On Oct 15, 2013, at 2:37 PM, Simon Urbanek <simon.urbanek at r-project.org> 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?
> 
> 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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> 

--------------------------
Michael Braun
Associate Professor of Marketing
Cox School of Business
Southern Methodist University
Dallas, TX 75275
braunm at smu.edu