[Rd] Numerical instability in new R Windows development version
Duncan Murdoch
murdoch.duncan at gmail.com
Fri Jan 27 14:26:50 CET 2012
On 12-01-27 7:23 AM, Hans W Borchers wrote:
> I have a question concerning the new Windows toolchain for R>= 2.14.2.
> When trying out my package 'pracma' on the win-builder development version
> it will stop with the following error message:
>
> > f3<- function(x, y) sqrt((1 - (x^2 + y^2)) * (x^2 + y^2<= 1))
> > dblquad(f3, -1, 1, -1, 1) # 2.094395124 , i.e. 2/3*pi , err = 2e-8
> Warning in sqrt((1 - (x^2 + y^2)) * (x^2 + y^2<= 1)) : NaNs produced
> Warning in sqrt((1 - (x^2 + y^2)) * (x^2 + y^2<= 1)) : NaNs produced
> Error in integrate(function(y) f(x, y), ya, yb, subdivisions = subdivs, :
> non-finite function value
> Calls: dblquad ...
> <Anonymous> -> f -> do.call -> mapply -> <Anonymous> -> integrate
> Execution halted
> ** running examples for arch 'x64' ... ERROR
> Running examples in 'pracma-Ex.R' failed
>
> This probably means that the following expression got negative for some
> values x, y:
>
> (1 - (x^2 + y^2)) * (x^2 + y^2<= 1)
I think you're right, it's a bug, hopefully easy to fix. Here's a
simpler version:
x <- 0*(-1)
sqrt(x)
x is a "negative zero", and the sqrt() function incorrectly produces a
NaN in the new toolchain.
Duncan Murdoch
>
> It appears to be an often used trick in numerical analysis. One advantage is
> that a function using it is immediately vectorized while an expression such
> as, e.g., "max(0, 1 - (x^2 + y^2))" is not.
>
> The example runs fine on Debian Linux and Mac OS X 32-/64-bit architectures.
> In my understanding the approach is correct and, as said above, often used in
> numerical applications.
>
> Can someone explain to me why this fails for the Windows 64-bit compiler and
> what I should use instead. Thanks.
>
> Hans Werner Borchers
> ABB Corporate Research
>
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