Proposed fix for bug 17703.

Author: astamm

src/library/stats/R/constrOptim.R

@@ -54,22 +54,37 @@ constrOptim <-
     } else function(theta, ...) dR(theta, theta.old, ...)
     totCounts <- 0
     s.mu <- sign(mu)
+    a <- NULL
+    optim_failure <- FALSE
 
     for(i in seq_len(outer.iterations)) {
         obj.old <- obj
         r.old <- r
         theta.old <- theta
+        a.old <- a
 
         a <- optim(theta.old, fun, gradient, control = control,
                    method = method, hessian = hessian, ...)
         r <- a$value
         if (is.finite(r) && is.finite(r.old) &&
  	    abs(r - r.old) < (1e-3 + abs(r)) * outer.eps) break
         theta <- a$par
- 	totCounts <- totCounts + a$counts
+
+	    if (any(ui%*%theta-ci<0) || !is.finite(r) || any(!is.finite(theta))) {
+            i <- i - 1
+            a <- a.old
+            optim_failure <- TRUE
+            break
+	    }
+ 	
+        totCounts <- totCounts + a$counts
         obj <- f(theta, ...)
         if (s.mu * obj > s.mu * obj.old) break
     }
+    if (optim_failure) {
+        a$convergence <- 21 # See https://github.com/nashjc/optimx/blob/main/man/optimx.Rd
+        a$message <- gettextf("Returning solution from outer iteration %d, either because the solution is not in the feasible region or `optim()` provided non-finite outputs. Consider either checking the gradient implementation or using a derivative-free opimizer or reducing `outer.eps`.", i)
+    }
     if (i == outer.iterations) {
         a$convergence <- 7
         a$message <- gettext("Barrier algorithm ran out of iterations and did not converge")

src/library/stats/man/constrOptim.Rd

@@ -66,6 +66,13 @@ constrOptim(theta, f, grad, ui, ci, mu = 1e-04, control = list(),
   \code{method = "Nelder-Mead"}.  It should take arguments matching
   those of \code{f} and return a vector containing the gradient.
 
+  In some rare cornercases, the call to \code{optim} inside the outer
+  loop might lead to non-finite function value or parameter values or
+  parameters outside the feasible region. In these cases, the outer
+  loop is stopped early and the last useful result is returned. The
+  \code{message} item in the output list warns the user of this
+  behaviour.
+
 }
 \value{
   As for \code{\link{optim}}, but with two extra components: