In tests/: if OpenBLAS | ATLAS | RMO (MKL): skip some tests

DESCRIPTION

 Package: CLA
 Version: 0.95-0
-Date: 2019-02-04
+Date: 2019-03-13
 Title: Critical Line Algorithm in Pure R
 Author: Yanhao Shi <syhelena@163.com>,
 	Martin Maechler <maechler@stat.math.ethz.ch>
@@ -8,9 +8,9 @@ Maintainer: Martin Maechler <maechler@stat.math.ethz.ch>
 Depends: R (>= 3.2.0)
 Imports: stats, grDevices, graphics
 Suggests: fGarch, FRAPO, Matrix
-Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for
-  classical mean-variance portfolio optimization.  Care has been taken for
-  correctness in light of previous buggy implementations.
+Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical
+  mean-variance portfolio optimization, see Markovitz (1952) <doi:10.2307/2975974>.
+  Care has been taken for correctness in light of previous buggy implementations.
 License: GPL (>= 3) | file LICENSE
 Encoding: UTF-8
 URL: https://gitlab.math.ethz.ch/maechler/CLA/

TODO

 ##-*- org -*-->  Emacs .. [Tab] key + [Org] menu; C-c C-o to follow links
 
-* ASAP (no longer "Before release of package")
+* *Before* next CRAN release
+** DONE OpenBLAS, ATLAS, etc: must fix file:tests/SP500-ex.R at least: use
+  R=/usr/bin/R R-pkg-check CLA # Fedora's R pkg using OpenBLAS
+  R=R-3.5.1_MS R-pkg-check CLA # (RMO using MKL)
+  R=R-ATLAS    R-pkg-check CLA # using ATLAS
+ 	see files ./CLA_ATLAS.out ./CLA_MKL.out ./CLA_OpenBLAS.out
+* ASAP (but possibly later than CRAN release)
 ** TODO check arguments  e.g., lB <= uB, sum upper Bounds >= 1
-** TODO References --> (mostly done)
+** TODO References --> (mostly done): Make Master thesis web-available (from SfS ETHZ) ?
 *** DONE 1) References from the thesis, including the "buried" python-paper with *WRONG* algo
 *** TODO 2) Master thesis: I'd like the thesis to be on our web page
 ** TODO Improve plot() method, using hyperbolic interpolation see  R/CLA.R  man/plot.CLA.Rd

inst/NEWS.Rd

@@ -4,7 +4,7 @@
 \title{News for \R Package \pkg{CLA}}% MM: look into ../svn-log-from.all
 \newcommand{\CRANpkg}{\href{https://CRAN.R-project.org/package=#1}{\pkg{#1}}}
 
-\section{Changes in version 0.95-0 (2019-02-04)}{
+\section{Changes in version 0.95-0 (2019-03-13)}{
   \subsection{New Features}{
     \itemize{
       \item \emph{Not} back-compatible \emph{changed} result: The very
@@ -13,6 +13,7 @@
       with the litterature and other implementations.
 
       \item Added data set \code{muS.10ex} orginally from Markowitz and Todd.
+
       \item Added \file{NEWS} file.
     }
   }
@@ -28,6 +29,9 @@
 
       \item adapt \file{man/findSig.Rd} example to R 3.6.0's new default
       \code{sample()} kind.
+
+      \item Run the \file{tests/*.R} with R versions that use one
+      OpenBLAS, ATLAS, or MKL (and skip some tests on these).
     }
   }
 }

man/CLA.Rd

@@ -77,7 +77,7 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
   %% \doi{10.1007/BF02282055}.
 
   Niedermayer, A. and Niedermayer, D. (2010)
-  Applying markowitz’s critical line algorithm, in J. B. Guerard (ed.),
+  Applying Markowitz’s Critical Line Algorithm, in J. B. Guerard (ed.),
   Handbook of Portfolio Construction, Springer; chapter 12, 383--400;
   \doi{10.1007/978-0-387-77439-8_12}.
 
@@ -85,6 +85,10 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
   An open-source implementation of the critical-line algorithm for portfolio
   optimization, \emph{Algorithms} \bold{6}(1), 169--196;
   \doi{10.3390/a6010169},
+
+  Yanhao Shi (2017)
+  Implementation and applications of critical line algorithm for
+  portfolio optimization; unpublished Master's thesis, ETH Zurich.
 }
 %% \note{
 %% }

tests/SP500-ex.R

@@ -10,9 +10,41 @@ b64nLD <- (arch == "x86_64" && .M$sizeof.longdouble != 16)
 if(b64nLD) arch <- paste0(arch, "--no-long-double")
 arch
 
-## I'd want
-## strict <- we_are_using_Rs_own_BLAS_and_Lapack()  # but simply for now
-(strict <- Sys.info()[["user"]] == "maechler")# actually
+## <---> sync with ~/R/Pkgs/robustbase/tests/mc-strict.R
+##                 ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
+sInfo <- sessionInfo()
+if(!exists("osVersion")) osVersion <- sInfo$running
+cat("osVersion:", osVersion, "\n")
+if(!is.null(osVersion)) "Fedora" # last resort
+BLAS.is.LAPACK <- sInfo$BLAS == sInfo$LAPACK
+cat("osVersion:", osVersion, "| ",
+    'BLAS "is" Lapack:', BLAS.is.LAPACK, "\n")
+
+## Find out if we are running Micrsoft R Open
+is.MS.Ropen <- {
+    file.exists(Rpr <- file.path(R.home("etc"), "Rprofile.site")) &&
+    length(lnsRpr <- readLines(Rpr)) &&
+        ## length(grep("[Mm]icrosoft", lnsRpr)) > 3 # MRO 3.5.1 has '20' times "[Mm]icrosoft"
+    length(grep("Microsoft R Open", lnsRpr, fixed=TRUE, value=TRUE)) > 0 ## MRO 3.5.1 has it twice
+}
+if(is.MS.Ropen) cat("We are running 'Microsoft R Open'\n")
+
+## I'd really want
+##
+##    strict <- we_are_using_Rs_own_BLAS_and_Lapack()  [ ==> BLAS != Lapack ]
+##
+## Actually the following is currently (2019-03)  equivalent to
+## strict <- !(using ATLAS || OpenBLAS || MKL )
+if(TRUE) {
+    strict <- !BLAS.is.LAPACK && !is.MS.Ropen
+} else { ## workaround:
+    strict <- print(Sys.info()[["user"]]) == "maechler"# actually
+    ## but not when testing with /usr/bin/R [OpenBLAS!] (as "maechler"):
+    if(strict && substr(osVersion, 1,6) == "Fedora" && R.home() == "/usr/lib64/R")
+        strict <- FALSE
+}
+cat("strict:", strict, "\n")
+
 
 data(muS.sp500)
 
@@ -27,7 +59,7 @@ system.time(# ~ 9 sec (64-bit); 13.8 sec (32-b florence); seen 27.44 sec on Winb
 )
 CLs5c.0.120 # -> print() method
 
-un.call <- function(x) { x$call <- NULL ; x }
+uncall <- function(x) `$<-`(x, call, NULL)
 
 doExtras <- TRUE  # for experiments, not normally
 doExtras <- FALSE
@@ -40,14 +72,14 @@ if(doExtras) system.time({
 }) #  78.101 elapsed [nb-mm4] ; 46.108 [lynne 2018-10]
 
 if(doExtras) {
-    identical(un.call(CLs5c.ls[["10^-7"]]), un.call(CLs5c.0.120))
+    identical(uncall(CLs5c.ls[["10^-7"]]), uncall(CLs5c.0.120))
     for(i in seq_along(tols)[-1]) {
         cat("--=--=--=--=--\n", (n1 <- names(tols[i-1])), " vs. ", (n2 <- names(tols[i])), ": ")
-        ae <- all.equal(un.call(CLs5c.ls[[i-1]]),
-                        un.call(CLs5c.ls[[ i ]]))
+        ae <- all.equal(uncall(CLs5c.ls[[i-1]]),
+                        uncall(CLs5c.ls[[ i ]]))
         if(isTRUE(ae)) cat(" are all.equal()\n")
         else {
-            CLA.i. <- un.call(CLs5c.ls[[i-1]]) ; wgt <- CLA.i.$weights_set
+            CLA.i. <- uncall(CLs5c.ls[[i-1]]) ; wgt <- CLA.i.$weights_set
             cat("are different [all.equal()]: dim(..[[",n1,"]]$weights_set) =",
                 dim(wgt)[1],"x", dim(wgt)[2],"\n")
         }
@@ -82,23 +114,26 @@ if(require(Matrix)) withAutoprint(local = FALSE, {
 }
 options(op)
 stopifnot(nrow(wts.non0) == 79)
-
 if(FALSE) # once, manually (into tests/ directory
     saveRDS(wts.non0, "wtsn0.rds")
 file.info("wtsn0.rds")$size  # 2702049
 wtsn0.ref <- readRDS("wtsn0.rds")
 
-## see on all platforms what we get
+## see on all platforms what we get -- on OpenBLAS, the dim() differs !
 all.equal(target = wtsn0.ref, current = wts.non0, tol=0)
                                         # expect TRUE only on 64bit (Lnx, R's BLAS)
                                         # 3.10416e-15 and 1.366427e-15 on other BLAS
-
-stopifnot(all.equal(target = wtsn0.ref, current = wts.non0,
-                    tol = 1e-13))
-
+differWts <- ncol(wtsn0.ref) != ncol(wts.non0)
+if(differWts) {
+    cat("Got",ncol(wts.non0), "weights from CLA() -- different than ref with",
+        ncol(wtsn0.ref), "\n")
+    strict <- FALSE # !
+} else {
+    stopifnot(all.equal(target = wtsn0.ref, current = wts.non0,
+                        tol = 1e-13))
+}
 non.0.assets <- Filter(function(.) . > 0, apply(wts.non0, 1, function(c) sum(c > 0)))
 
-
 b64.n0 <-
     c(AAPL = 135L, ADSK = 66L, AET = 147L, AMGN = 3L, ATI = 75L,
       AYE = 56L, AZO = 26L, BAX = 95L, BCR = 35L, BDX = 36L, BIIB = 118L,
@@ -177,18 +212,19 @@ if(all(non.0.assets == non.0.TARG)) { ## show differences:
 }
 
 ## They have the same names and only differ by  +/- 1:
-stopifnot(
+stopifnot(exprs = {
     identical(names(b64.n0), names(b32.n0))
-  ,
-    if(b64) !strict || identical(non.0.assets, non.0.TARG) # fails on ATLAS, MKL, OpenBLAS
+
+    if(b64) !strict || identical(non.0.assets, non.0.TARG) # identical(*) fails on ATLAS, MKL, OpenBLAS
     else if(nonWindows) identical(non.0.assets, b32.n0)
     else ## 32-bit Windows
         TRUE ## for now
-  , identical(head(CLs5c.0.120$free_indices, 12),
+
+    differWts || identical(head(CLs5c.0.120$free_indices, 12),
               list(c(295L, 453L), 453L, c(453L, 472L), c(19L, 453L, 472L),
                    c(19L, 453L), 453L, c(15L, 453L), 15L, c(15L, 320L),
                    c(15L, 105L, 320L), c(105L, 320L), c(105L, 320L, 472L)))
-)
+})
 
 ## Check some of the 'Env<n>' versions: ---------
 
@@ -219,12 +255,16 @@ if(is.environment(e8 <- nsCLA$Env8)) local(withAutoprint({
     system.time(r8 <- e8$cla.solve(muS.sp500$mu, muS.sp500$covar,
                                    lB = rep(0,n), uB= rep(1/20, n)))
     ## lynne (2017): 9.6--9.8 sec; 2018: 6.1 sec
-    stopifnot(all.equal(claDrop1st(r8), rCLA, tol = 1e-14)) # they are the same!
+    if(ncol(claDrop1st(r8)$weights_set) == ncol(rCLA$weights_set))
+        stopifnot(all.equal(claDrop1st(r8), rCLA, tol = 1e-14)) # they are the same!
+    else cat("#{columns} differ in r8\n")
 }))
 
 if(is.environment(e9 <- nsCLA$Env9)) local(withAutoprint({
     system.time(r9 <- e9$cla.solve(muS.sp500$mu, muS.sp500$covar,
                                    lB = rep(0,n), uB= rep(1/20, n)))
     ## lynne(2017): 10.0 sec;  2018: 6.6 sec
-    stopifnot(all.equal(claDrop1st(r9), rCLA, tol = 1e-14)) # they are the same!
+    if(ncol(claDrop1st(r9)$weights_set) == ncol(rCLA$weights_set))
+        stopifnot(all.equal(claDrop1st(r9), rCLA, tol = 1e-14)) # they are the same!
+    else cat("#{columns} differ in r9\n")
 }))