Re: [Rd] bug in L-BFGS-B? (PR#8099)

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Sat 27 Aug 2005 - 17:14:48 GMT

Prof Brian Ripley <ripley@stats.ox.ac.uk> writes:

> Check your versions of MASS. The Windows one appears to be an outdated
> version, and does different things.

Forgetting to run tools/rsync-recommended during build will do that sort of thing to you, but it would seem that Berwin used a binary download. But of course he might be picking up an older version of the package from a private library.  

> As for the problem, yes it probably is a bug in L-BFGS-B. Fancy debugging
> the code?

B. might just be capable of it, but this is certainly some of the more impenetrable code in R. While he (or anyone else) is in there, there seems to be another problem in that the Hessian calculations refuse to stay within the bounds (which is pretty annoying when the objective function is undefined outside of them). Try for instance

f <- function(p) sum(ifelse(p>=-1e-4,p,Inf)^2) optim(f, lower=c(0,0), par=c(5,5), method="L-BFGS-B") optim(f, lower=c(0,0), par=c(5,5), method="L-BFGS-B", hess=T)

-- 
   O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard@biostat.ku.dk)                  FAX: (+45) 35327907

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Received on Sun Aug 28 03:31:37 2005

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