optimize
In susieR: Sum of Single Effects Linear Regression

knitr::opts_chunk$set(echo = TRUE)

Diagnose optimization issues with Lei's example

set.seed(777)
devtools::load_all(".")
X <- matrix(rnorm(1010 * 1000), 1010, 1000)
beta <- rep(0, 1000)
beta[1 : 200] <- 100
y <- X %*% beta + rnorm(1010)
s = susie(X,y,L=1,estimate_residual_variance = TRUE)
Y = y-s$Xr
s2 = s$sigma2
x = seq(1,100000,length=100)
l  = rep(0,100)
lg = rep(0,100)
for(i in 1:100){
  l[i] = loglik(x[i],Y,X,s2)
  lg[i] = loglik.grad(x[i],Y,X,s2)
}
plot(x,l)
plot(x,lg)
# > which.max(l)
# [1] 23
# > lg[23]
# [1] -2.398905e-07
# > lg[22]
# [1] 6.282734e-07

lx = log(x)
l2=l
lg2=lg
for(i in 1:100){
  l2[i] = negloglik.logscale(lx[i],Y,X,s2)
  lg2[i] = negloglik.grad.logscale(lx[i],Y,X,s2)
}
plot(lx,l2)
plot(lx,lg2)

y = seq(0,20,length=100)
l3=l2
lg3=lg2
for(i in 1:100){
  l3[i] = negloglik.logscale(y[i],Y,X,s2)
  lg3[i] = negloglik.grad.logscale(y[i],Y,X,s2)
}
plot(y,l3)
plot(y,lg3)
uniroot(negloglik.grad.logscale,c(-20,20),extendInt = "upX",Y=Y,X=X,s2=s2)