[R] optim with contraints

[Adelchi Azzalini]

There seems to exist peculiar cases where optim does not take care
of constraints on the parameters to be optimized over.  The call to
optim is of the form

  opt <- optim(cp, fn=sn.dev, gr=sn.dev.gh, method="L-BFGS-B",
           lower=c(-Inf, 1e-10, -0.99527), 
           upper=c( Inf, Inf,    0.99527), 
           control=control, X=X, y=y, hessian=FALSE)

The code has worked fine many times, but I have come across cases 
(for suitable data X and y) where the constraint on the last component 
is ignored;  that means that a call is made to sn.dev with
       cp = -1.3546  0.4645  3.1741
so the third component exceeds 0.99527, and the program stops 
because of a check in the  function to be obtimised.

The call just before was to the gradient function
sn.dev.gh: gradient =    219013   -312643 441647332
which has rather large values.

To make the problem more interesting, it shows up on a Linux
(Debian) installation, but it works fine on MS-windows.
In both cases, R is 1.7.0.  

Perhaps this sort of question should not be directed to the R-help
list, rather to the developer(s) of optim. Please instruct me on this 
point. Also, I appreciate that the above is not a reproducible example;
this would be longish in text, and I though to ask first to whom 
it is appropriate that I direct my question.


Best wishes,

Adelchi Azzalini


-- 
Adelchi Azzalini  <azzalini at stat.unipd.it>
Dipart.Scienze Statistiche, Università di Padova, Italia
http://azzalini.stat.unipd.it/