optim "CG" bug w/patch proposal (PR#8786)

Probably I included too much at once in my bug report. I can live with
an unfulfilled wishlist and thank you for thinking about it. The
"badly-behaved" function is just an example to demonstrate the bug I
reported. I think it is a bug if optim returns (without any warning) an
unmatching pair of par and value: f(par) != value. And it is easily fixed.

Andreas

Prof Brian Ripley wrote:

[Sorry for the belated reply: this came in just as I was leaving for a
trip.]

I've checked the original source, and the C code in optim does
accurately reflect the published algorithm.

Since your example is a discontinuous function, I don't see why you
expect CG to work on it.  John Nash reports on his extensive
experience that method 3 is the worst, and I don't think we should let
a single 2D example of a badly-behaved function override that.

Note that no other optim method copes with the discontiuity here: had
your reported that it would have been clear that the problem was with
the example.

On Fri, 21 Apr 2006, westfeld at inf.tu-dresden.de wrote:

Dear R team,

when using optim with method "CG" I got the wrong $value for the
reported $par.

Example:
f<-function(p) {
       if (!all(p>-.7)) return(2)
       if (!all(p<.7)) return(2)
       sin((p[1])^2)*sin(p[2])
}
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
$par 19280.68 -10622.32
$value -0.2346207 # should be 2!

optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
$par 3834.021 -2718.958
$value -0.0009983175 # should be 2!

Fix:
--- optim.c     (Revision 37878)
+++ optim.c     (Arbeitskopie)
@@ -970,7 +970,8 @@
                           if (!accpoint) {
                               steplength *= stepredn;
                               if (trace) Rprintf("*");
-                           }
+                           } else
+                               *Fmin = f;
                       }
                   } while (!(count == n || accpoint));
                   if (count < n) {

After fix:
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
$par 0.6993467 -0.4900145
$value -0.2211150
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
$par 3834.021 -2718.958
$value 2

Wishlist: 

[wishlist deleted]