[SciPy-Dev] optimize.fsolve endless loop with nan

josef.pktd@gmai... josef.pktd@gmai...
Wed Mar 13 11:59:02 CDT 2013


On Wed, Mar 13, 2013 at 12:17 PM,  <josef.pktd@gmail.com> wrote:
> On Wed, Mar 13, 2013 at 10:51 AM,  <josef.pktd@gmail.com> wrote:
>> preliminary question, I didn't have time yet to look closely
>>
>>>>> scipy.__version__
>> '0.9.0'
>>
>> I have a problem where fsolve goes into a range where the values are
>> nan. After that it goes into an endless loop, as far as I can tell.
>>
>> Something like this has been fixed for optimize.fmin_bfgs. Was there a
>> fix for this also for fsolve, since 0.9.0?
>>
>>
>> (The weirder story: I rearranged some test, and made unfortunately
>> also some other changes, and now when I run nosetests it never
>> returns. Ctrl+C kills nosetests, but leaves a python process running.
>> I have no clue why the test sequence should matter.)
>
> I had left the starting values in a module global even after I started
> to adjust them in one of the cases.
>
> The starting value for fsolve was in a range where the curvature is
> very flat, and fsolve made huge steps into the invalid range. After
> getting nans, it went AWOL.
>
> If I return np.inf as soon as I get a nan, then fsolve seems to stop
> right away. Is there a way to induce fsolve to stay out of the nan
> zone, for example returning something else than inf?
>
> I don't want to find a very specific solution, because I'm throwing
> lot's of different cases at the same generic method.

same result with python 2.7, scipy version 0.11.0b1

>"C:\Programs\Python27\python.exe" fsolve_endless_nan.py
scipy version 0.11.0b1
args 0.3 [100] 0.05
args 0.3 [ 100.] 0.05
args 0.3 [ 100.] 0.05
args 0.3 [ 100.00000149] 0.05
args 0.3 [-132.75434239] 0.05
fsolve_endless_nan.py:36: RuntimeWarning: invalid value encountered in sqrt
  pow_ = stats.nct._sf(crit_upp, df, d*np.sqrt(nobs))
fsolve_endless_nan.py:39: RuntimeWarning: invalid value encountered in sqrt
  pow_ += stats.nct._cdf(crit_low, df, d*np.sqrt(nobs))
args 0.3 [ nan] 0.05


standalone test case (from my power branch)

Don't run in an interpreter (session) that you want to keep alive!
And open TaskManager if you are on Windows :)

------------
# -*- coding: utf-8 -*-
"""Warning: endless loop in runaway process, requires hard kill of process

Created on Wed Mar 13 12:44:15 2013

Author: Josef Perktold
"""

import numpy as np
from scipy import stats, optimize

import scipy
print "scipy version", scipy.__version__


def ttest_power(effect_size, nobs, alpha, df=None, alternative='two-sided'):
    '''Calculate power of a ttest
    '''
    print 'args', effect_size, nobs, alpha
    d = effect_size
    if df is None:
        df = nobs - 1

    if alternative in ['two-sided', '2s']:
        alpha_ = alpha / 2.  #no inplace changes, doesn't work
    elif alternative in ['smaller', 'larger']:
        alpha_ = alpha
    else:
        raise ValueError("alternative has to be 'two-sided', 'larger' " +
                         "or 'smaller'")

    pow_ = 0
    if alternative in ['two-sided', '2s', 'larger']:
        crit_upp = stats.t.isf(alpha_, df)
        # use private methods, generic methods return nan with negative d
        pow_ = stats.nct._sf(crit_upp, df, d*np.sqrt(nobs))
    if alternative in ['two-sided', '2s', 'smaller']:
        crit_low = stats.t.ppf(alpha_, df)
        pow_ += stats.nct._cdf(crit_low, df, d*np.sqrt(nobs))
    return pow_

func = lambda nobs, *args: ttest_power(args[0], nobs, args[1])

print optimize.fsolve(func, 100, args=(0.3, 0.05))
------------

>
> Josef
>
>>
>> Josef


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