Re: [Rd] bug in '...' of constrOptim (PR#14071)

From: Ravi Varadhan <RVaradhan_at_jhmi.edu>
Date: Wed, 18 Nov 2009 17:04:14 -0500

Hi Elizabeth,

I have fixed this problem. See the attached function. There is also another bug that can create a problem when control$fnscale = -1, i.e. when the objective function is to be maximized. I have commented this in the code and have also fixed this problem.

There is a word of caution. Hessian is problematic when the converged parameter estimate is on the boundary of the feasible region, since the derivatives are not defined there.

Also, note that the default method is Nelder-Mead. If you want to use "BFGS", you have to specify the gradient function. I have written an extension of constrOptim that can use numerical gradients, and can also handle nonlinear constraints.

Hope this helps,

Ravi.



Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan_at_jhmi.edu

Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h tml  



-----Original Message-----
From: r-devel-bounces_at_r-project.org [mailto:r-devel-bounces_at_r-project.org] On Behalf Of epurdom_at_stat.berkeley.edu
Sent: Wednesday, November 18, 2009 1:10 PM To: r-devel_at_stat.math.ethz.ch
Cc: R-bugs_at_r-project.org
Subject: [Rd] bug in '...' of constrOptim (PR#14071)

Dear all,

There appears to be a bug in how constrOptim handles ... arguments that are suppose to be passed to optim, according to the documentation. This means you can't get the hessian to be returned, for example (so this is a real problem, and not just a question of mistaken documentation).

Looking at the code, it appears that a call to the user-defined f includes the ..., when the ... should only be passed to the optim call.   I get around it by putting a dummy 'hessian=TRUE' argument in my f function, but this is not how the function should work.

I show the relevant problem in the code, give an example, and also give my sessionInfo() call below.

Thanks,
Elizabeth

##Copy of the relevant segment of the code of constrOptim and where I think the problem might be:
for (i in 1L:outer.iterations) {

         obj.old <- obj
         r.old <- r
         theta.old <- theta
         fun <- function(theta, ...) { ##this one's okay
             R(theta, theta.old, ...)##this one's okay

}
gradient <- function(theta, ...) {##this one's okay dR(theta, theta.old, ...)##this one's okay
}
a <- optim(theta.old, fun, gradient, control = control, method = method, ...)##this one's okay r <- a$value if (is.finite(r) && is.finite(r.old) && abs(r - r.old)/(outer.eps + abs(r - r.old)) < outer.eps) break theta <- a$par obj <- f(theta, ...)##this one's NOT okay if (obj > obj.old) break }

###Here is an example modified from the examples of the help page of constrOptim:
 > fr <- function(x) { ## Rosenbrock Banana function

+     x1 <- x[1]
+     x2 <- x[2]
+     100 * (x2 - x1 * x1)^2 + (1 - x1)^2
+ }
 > grr <- function(x) { ## Gradient of 'fr'
+     x1 <- x[1]
+     x2 <- x[2]
+     c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1),
+        200 *      (x2 - x1 * x1))

+ }
 > constrOptim(c(-1.2,0.9), fr, grr, ui=rbind(c(-1,0),c(0,-1)), ci=c(-1,-1)) $par
[1] 0.9999761 0.9999522

$value
[1] 5.708626e-10

$counts
function gradient

        6 1

$convergence
[1] 0

$message
NULL $outer.iterations
[1] 14

$barrier.value
[1] -0.0001999198

 > constrOptim(c(-1.2,0.9), fr, grr, ui=rbind(c(-1,0),c(0,-1)), ci=c(-1,-1),hessian=TRUE)
Error in f(theta, ...) : unused argument(s) (hessian = TRUE) #add in a dummy argument to my f function  > fr <- function(x,hessian=TRUE) { ## Rosenbrock Banana function

+     x1 <- x[1]
+     x2 <- x[2]
+     100 * (x2 - x1 * x1)^2 + (1 - x1)^2
+ }

 > constrOptim(c(-1.2,0.9), fr, grr, ui=rbind(c(-1,0),c(0,-1)), ci=c(-1,-1),hessian=TRUE)
$par
[1] 0.9999761 0.9999522

$value
[1] 5.708626e-10

$counts
function gradient

        6 1

$convergence
[1] 0

$message
NULL $hessian

           [,1] [,2]
[1,] 801.9599 -399.9905
[2,] -399.9905 199.9952

$outer.iterations
[1] 14

$barrier.value
[1] -0.0001999198
###My Session info
 > sessionInfo()
R version 2.10.0 (2009-10-26)
x86_64-apple-darwin9.8.0

locale:
[1] en_US.UTF-8/en_US.UTF-8/C/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats graphics grDevices utils datasets methods base

other attached packages:

[1] GEOquery_2.10.0    RCurl_1.2-1        bitops_1.0-4.1 
Biobase_2.5.8      biomaRt_2.1.0      projectManager_1.0 lattice_0.17-26 

    RColorBrewer_1.0-2
[9] XML_2.6-0 loaded via a namespace (and not attached): [1] grid_2.10.0 tools_2.10.0

-- 
Elizabeth Purdom
Assistant Professor
Department of Statistics
UC, Berkeley
Evans Hall, Rm 433
epurdom_at_stat.berkeley.edu
(510) 642-6154 (office)
(510) 642-7892 (fax)

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Received on Wed 18 Nov 2009 - 23:08:45 GMT

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