From berwin at maths.uwa.edu.au  Sat Aug 27 16:10:28 2005
From: berwin at maths.uwa.edu.au (berwin@maths.uwa.edu.au)
Date: Sat, 27 Aug 2005 16:10:28 +0200 (CEST)
Subject: [Rd] bug in L-BFGS-B? (PR#8099)
Message-ID: <20050827141028.DCE0218B9F@slim.kubism.ku.dk>


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G'day all,

I believe that this is related to PR#1717 (filed under
not-reproducible) which was reported for a version of R that is a
quite a bit older than the ones used in for this report.  But I
noticed this behaviour under R 2.1.1 and R 2.2.0 on my linux box and
under R 2.0.1 and R 2.1.1 on my Windows box.

I recently ran the examples for fitdistr in the MASS library and on my
linux machine I get the following results:

> library(MASS)
>      set.seed(123)
>      x <- rgamma(100, shape = 5, rate = 0.1)
>      fitdistr(x, "gamma")
     shape         rate   
  6.45947303   0.13593172 
 (0.89052006) (0.01948648)
>      fitdistr(x, dgamma, list(shape = 1, rate = 0.1), lower = 0.01)
      shape         rate    
  2.156761461   0.010000000 
 (0.277607887) (0.001433778)

I find the second result quite extraordinary.  O.k., the likelihood
that is maximised is quite flat along a certain direction, but I don't
think that it is so flat that it should fool the underlying
optimisation routine into believing that it has converged.

Moreover:

>      fitdistr(x, dgamma, list(shape = 1, rate = 0.1), lower = 0.001)
     shape         rate   
  6.48686551   0.13651012 
 (0.89438949) (0.01956818)

As far as I can tell, the problem is with L-BFGS-B hitting the lower
bound and stopping, the same problem as reported in #1717.

I tried the same comments on my Windows box and the result is as
attached below (together with the system information that bug.report
produces on that machine).  Looking at the output given on the Windows
machine, I am actually amazed that my Linux box didn't give me any of
those warning messages --- the R input/output given above is cut and
paste.  I am not aware of any fiddling with ptions regarding warning
messages by any configurations files anywhere on my linux system; and I
ran the same commands using `R --vanilla' on the linux box and did not
get any warning messages.

Cheers,

        Berwin


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> set.seed(123)
>      x <- rgamma(100, shape = 5, rate = 0.1)
>      fitdistr(x, "gamma")
     shape         rate   
  6.48592894   0.13649147 
 (0.89425721) (0.01956555)
Warning messages:
1: NaNs produced in: dgamma(x, shape, scale, log) 
2: NaNs produced in: dgamma(x, shape, scale, log) 
3: NaNs produced in: dgamma(x, shape, scale, log) 
>      fitdistr(x, dgamma, list(shape = 1, rate = 0.1), lower = 0.01)
      shape         rate    
  2.156761461   0.010000000 
 (0.277607888) (0.001433778)
Warning message:
bounds can only be used with method L-BFGS-B in: optim(start, mylogfn, x = x, hessian = TRUE, ...) 
>      fitdistr(x, dgamma, list(shape = 1, rate = 0.1), lower = 0.001)
     shape         rate   
  6.48686551   0.13651012 
 (0.89438949) (0.01956818)
Warning message:
bounds can only be used with method L-BFGS-B in: optim(start, mylogfn, x = x, hessian = TRUE, ...) 

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Version:
 platform = i386-pc-mingw32
 arch = i386
 os = mingw32
 system = i386, mingw32
 status = 
 major = 2
 minor = 1.1
 year = 2005
 month = 06
 day = 20
 language = R

Windows XP Professional (build 2600) Service Pack 2.0

Locale:
LC_COLLATE=English_Australia.1252;LC_CTYPE=English_Australia.1252;LC_MONETARY=English_Australia.1252;LC_NUMERIC=C;LC_TIME=English_Australia.1252

Search Path:
 .GlobalEnv, package:MASS, package:methods, package:stats, package:graphics, package:grDevices, package:utils, package:datasets, Autoloads, package:base

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Version:
 platform = i686-pc-linux-gnu
 arch = i686
 os = linux-gnu
 system = i686, linux-gnu
 status = Under development (unstable)
 major = 2
 minor = 2.0
 year = 2005
 month = 08
 day = 26
 svn rev = 35424
 language = R

Locale:
C

Search Path:
 .GlobalEnv, package:methods, package:stats, package:graphics, package:grDevices, package:utils, package:datasets, Autoloads, package:base

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[Rd] bug in L-BFGS-B? (PR#8099)
berwin@maths.uwa.edu.au