julia - Optim: InexactError: Int64(0.01) when using IPNewton

Question

I have this code to optimise a function using the IPNewton method (error.jl):

import Optim

"""
Generate a matrix of constants used in computation
"""
function get_const(x::Vector{Float64}, sigma::Vector{Float64})::Array{Float64, 2}
    exp.(-x'.^2 ./ (2 .* sigma.^2)) ./ (sigma .* sqrt(2 * π))
end

# Log likelihood for mixture model
log_likelihood(p, C::Array{Float64, 2}) = sum(log.(p' * C))

"""
Constraint: all probabilities (ps) must sum to 1
"""
function constraint!(c, ps)::typeof(c)
    c[1] = sum(ps)
    c
end

N = 100
x = range(-1, 1, length=1000) |> collect
sigma = range(0.001, 2, length=N) |> collect

C = get_const(x, sigma)

constraints = Optim.TwiceDifferentiableConstraints(
    constraint!,
    fill(0, N), fill(1, N), # 0 <= (each probability) <= 1
    fill(1, N), fill(1, N)  # 1 <= constraint(p) <= 1 (probabilities sum to 1)
)
p0 = fill(1, N) / N # initial guess == equal probabilities

res = Optim.optimize(
    ps -> -log_likelihood(ps, C), # want to MAXIMIZE, so negate
    constraints, p0,
    Optim.IPNewton()
)

Project.toml:

[deps]
Optim = "429524aa-4258-5aef-a3af-852621145aeb"

Julia version:

forcebru@thing ~/test> julia --version
julia version 1.5.3

Error message:

forcebru@thing ~/test> julia error.jl
ERROR: LoadError: InexactError: Int64(0.01)
Stacktrace:
 [1] Int64 at ./float.jl:710 [inlined]
 [2] convert at ./number.jl:7 [inlined]
 [3] setindex! at ./array.jl:847 [inlined]
 [4] _unsafe_copyto!(::Array{Int64,1}, ::Int64, ::Array{Float64,1}, ::Int64, ::Int64) at ./array.jl:257
 [5] unsafe_copyto! at ./array.jl:311 [inlined]
 [6] _copyto_impl! at ./array.jl:335 [inlined]
 [7] copyto! at ./array.jl:321 [inlined]
 [8] copyto! at ./array.jl:347 [inlined]
 [9] finite_difference_jacobian!(::Array{Float64,2}, ::typeof(constraint!), ::Array{Float64,1}, ::FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}, ::Nothing; relstep::Float64, absstep::Float64, colorvec::UnitRange{Int64}, sparsity::Nothing, dir::Bool) at /Users/forcebru/.julia/packages/FiniteDiff/jLwWI/src/jacobians.jl:338
 [10] finite_difference_jacobian!(::Array{Float64,2}, ::Function, ::Array{Float64,1}, ::FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}, ::Nothing) at /Users/forcebru/.julia/packages/FiniteDiff/jLwWI/src/jacobians.jl:334 (repeats 2 times)
 [11] jac! at /Users/forcebru/.julia/packages/NLSolversBase/QPnui/src/objective_types/constraints.jl:298 [inlined]
 [12] initial_state(::Optim.IPNewton{typeof(Optim.backtrack_constrained_grad),Symbol}, ::Optim.Options{Float64,Nothing}, ::NLSolversBase.TwiceDifferentiable{Float64,Array{Float64,1},Array{Float64,2},Array{Float64,1}}, ::NLSolversBase.TwiceDifferentiableConstraints{typeof(constraint!),NLSolversBase.var"#jac!#126"{typeof(constraint!),FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},NLSolversBase.var"#con_hess!#130"{Int64,Array{Int64,2},Array{Int64,3},NLSolversBase.var"#jac_vec!#129"{Int64,Int64},FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},Int64}, ::Array{Float64,1}) at /Users/forcebru/.julia/packages/Optim/D7azp/src/multivariate/solvers/constrained/ipnewton/ipnewton.jl:135
 [13] optimize(::NLSolversBase.TwiceDifferentiable{Float64,Array{Float64,1},Array{Float64,2},Array{Float64,1}}, ::NLSolversBase.TwiceDifferentiableConstraints{typeof(constraint!),NLSolversBase.var"#jac!#126"{typeof(constraint!),FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},NLSolversBase.var"#con_hess!#130"{Int64,Array{Int64,2},Array{Int64,3},NLSolversBase.var"#jac_vec!#129"{Int64,Int64},FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},Int64}, ::Array{Float64,1}, ::Optim.IPNewton{typeof(Optim.backtrack_constrained_grad),Symbol}, ::Optim.Options{Float64,Nothing}) at /Users/forcebru/.julia/packages/Optim/D7azp/src/multivariate/solvers/constrained/ipnewton/interior.jl:228
 [14] optimize(::Function, ::NLSolversBase.TwiceDifferentiableConstraints{typeof(constraint!),NLSolversBase.var"#jac!#126"{typeof(constraint!),FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},NLSolversBase.var"#con_hess!#130"{Int64,Array{Int64,2},Array{Int64,3},NLSolversBase.var"#jac_vec!#129"{Int64,Int64},FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},Int64}, ::Array{Float64,1}, ::Optim.IPNewton{typeof(Optim.backtrack_constrained_grad),Symbol}, ::Optim.Options{Float64,Nothing}; inplace::Bool, autodiff::Symbol) at /Users/forcebru/.julia/packages/Optim/D7azp/src/multivariate/optimize/interface.jl:148
 [15] optimize(::Function, ::NLSolversBase.TwiceDifferentiableConstraints{typeof(constraint!),NLSolversBase.var"#jac!#126"{typeof(constraint!),FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},NLSolversBase.var"#con_hess!#130"{Int64,Array{Int64,2},Array{Int64,3},NLSolversBase.var"#jac_vec!#129"{Int64,Int64},FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},Int64}, ::Array{Float64,1}, ::Optim.IPNewton{typeof(Optim.backtrack_constrained_grad),Symbol}, ::Optim.Options{Float64,Nothing}) at /Users/forcebru/.julia/packages/Optim/D7azp/src/multivariate/optimize/interface.jl:147 (repeats 2 times)
 [16] top-level scope at /Users/forcebru/test/error.jl:27
 [17] include(::Function, ::Module, ::String) at ./Base.jl:380
 [18] include(::Module, ::String) at ./Base.jl:368
 [19] exec_options(::Base.JLOptions) at ./client.jl:296
 [20] _start() at ./client.jl:506
in expression starting at /Users/forcebru/test/error.jl:27
forcebru@thing ~/test [1]> 

So... InexactError: Int64(0.01)? And it also seems to originate from within Optim?

I understand that InexactError here means that Julia couldn't convert 0.01 to an integer, which makes sense. But I have no idea where that 0.01 even came from! How to find out where to originated? What's wrong with this code and what can be done to fix this?

---

EDIT: I noticed that the 0.01 must be an element of p0 = fill(1, N) / N because if I set N = 50, the error becomes InexactError: Int64(0.02), where 0.02 == 1/N. But why is it attempting to convert it to an integer??

Answer 1

After some intense looking at these parts of the error message:

 [8] copyto! at ./array.jl:347 [inlined]
 [9] finite_difference_jacobian!(::Array{Float64,2}, ::typeof(constraint!), ::Array{Float64,1}, ::FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}, ::Nothing; relstep::Float64, absstep::Float64, colorvec::UnitRange{Int64}, sparsity::Nothing, dir::Bool) at /Users/forcebru/.julia/packages/FiniteDiff/jLwWI/src/jacobians.jl:338
 ...
 [15] optimize(::Function, ::NLSolversBase.TwiceDifferentiableConstraints{typeof(constraint!),NLSolversBase.var"#jac!#126"{typeof(constraint!),FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},NLSolversBase.var"#con_hess!#130"{Int64,Array{Int64,2},Array{Int64,3},NLSolversBase.var"#jac_vec!#129"{Int64,Int64},FiniteDiff.JacobianCache{Array{Int64,1},Array{Int64,1},Array{Int64,1},UnitRange{Int64},Nothing,Val{:central}(),Int64}},Int64}, ::Array{Float64,1}, ::Optim.IPNewton{typeof(Optim.backtrack_constrained_grad),Symbol}, ::Optim.Options{Float64,Nothing}) at /Users/forcebru/.julia/packages/Optim/D7azp/src/multivariate/optimize/interface.jl:147 (repeats 2 times)
 [16] top-level scope at /Users/forcebru/test/error.jl:27

...I saw that the FiniteDiff.JacobianCache for the constraints was inferred to be parametrised over Int64:

FiniteDiff.JacobianCache{
    Array{Int64,1},
    Array{Int64,1},
    Array{Int64,1},
    UnitRange{Int64},
    Nothing,
    Val{:central}(),
    Int64
}

...which is pretty odd because I clearly want to optimise over the reals.

Turns out that in this part of the code:

constraints = Optim.TwiceDifferentiableConstraints(
    constraint!,
    fill(0, N), fill(1, N), # 0 <= (each probability) <= 1
    fill(1, N), fill(1, N)  # 1 <= constraint(p) <= 1 (probabilities sum to 1)
)

the fill(0, N) and friends are all integers, because 0 is an integer. Looks like this lead to that attempted conversion from float to integer.

I changed this code to read:

constraints = Optim.TwiceDifferentiableConstraints(
    constraint!,
    fill(0., N), fill(1., N), # 0 <= (each probability) <= 1
    fill(1., N), fill(1., N)  # 1 <= constraint(p) <= 1 (probabilities sum to 1)
)

...and now there's no error (the algorithm doesn't converge, though, but that's a different problem).