Thank you so much for looking at it. Initially my code was in the "free"
F95 format but partly because of the error and partly because of portability
concerns I chose to translate it to strict F77 even thought it is ugly and
annoying with the line width limit.
The subroutine is thought as a multivariate version of filter(..., method =
'recursive') and I use it to simulate VAR processes. dgemm is the double
precision BLAS subroutine for
C = alpha*A*B + beta*C
for general matrices A, B, C and scalars alpha and beta.
Indeed I think something is going wrong with the initial values but I cannot
figure out why. Maybe because of missing Fortran skills but I am puzzled
because the code works fine on Windows and Linux.
I think the "-mtune=core2" problem has disappeared in the latest 4.2.3
gfortran at r.research because I had the error in the beginning but after
reinstall of gfortran it was gone (right now, however, I am on gfortran
4.2.4 aka gcc 4.2.1).
Thank you once again and hope some new ideas to isolate the problem will
appear.
Best
Andreas
Den 27/04/10 13.34 skrev "Berend Hasselman" <b...@xs4all.nl> følgende:
>
> On 25-04-2010, at 22:22, Andreas Noack Jensen wrote:
>
> ...
>> On Mac I quite randomly get very weird results from the subroutine. It is
>> like the initial values explodes to fx 2e+290 even for identical calls
>> without random number generation. Most results are identical to results I
>> get from a pure R code but at some calls they explode in a non systematic
>> fashion.
> ...
>
> I have experimented with your stuff.
> Find attached the R files needed to run my test.
> Below is what I have done together with the R output.
> As you can see the third column of the result matrix is weird.
> This result is independent from setting the seed.
> Some sort of initialisation issue?
> Since I haven't got a clue what rmfilter does and my memory needs some
> refreshing wrt dgemm,
> I can't pinpoint the problem.
>
> Berend
>
>
> I am (still) using the gfortran from gfortran-4.2.3.dmg
> ------------------------------------------------------------------
> I made the rmfilter.so with
>
> MAKEFLAGS="FCFLAGS=-O2" R CMD SHLIB rmfilter.f90
>
> NB. had to do it since this gfortran doesn't accept the -mtune=core2 option!!
> ----------------------------------------------------------------------
> sessionInfo()
>
> R version 2.10.1 Patched (2010-04-07 r51689)
> x86_64-apple-darwin9.8.0
>
> locale:
> [1] en_GB/en_GB/C/C/en_GB/en_GB
>
> attached base packages:
> [1] stats graphics grDevices utils datasets methods base
>
> ------------------------------------------------------------------
> Mac OS X 10.6.3 Intel
>
> ------------------------------------------------------------------
>
> I ran this test job
>
>
> dyn.load('rmfilter.so')
> source("rmfilter.R")
>
> set.seed(407)
>
> eps <- matrix(rnorm(30), ncol = 3)
> eps
>
> z <- rmfilter(eps, array(diag(3)*0.5, c(3,3,2)))
> z
>
>
> with this as output
>
>>
>> dyn.load('rmfilter.so')
>> source("rmfilter.R")
>>
>> set.seed(407)
>>
>> eps <- matrix(rnorm(30), ncol = 3)
>> eps
> [,1] [,2] [,3]
> [1,] 0.841081288 1.7100891 0.9161884
> [2,] 1.072881139 1.1351244 -0.4314795
> [3,] -0.543593265 -1.0828613 -0.6333517
> [4,] 0.441951763 -1.0539372 -1.8468529
> [5,] 0.004920633 -0.9635668 0.6060301
> [6,] -0.731256023 0.4951620 -1.9168646
> [7,] -1.216400546 -1.5097126 1.1407077
> [8,] -0.210674189 -1.1110270 -0.3563495
> [9,] -0.378021236 -1.5624664 -2.5094364
> [10,] -0.939183015 -0.2886860 2.1596868
>>
>> z <- rmfilter(eps, array(diag(3)*0.5, c(3,3,2)))
>> z
> [,1] [,2] [,3]
> [1,] 0.8410813 1.7100891 1.018209e+277
> [2,] 1.4934218 1.9901689 1.018209e+277
> [3,] 0.6236583 0.7672677 1.018209e+277
> [4,] 1.5004918 0.3247811 1.018209e+277
> [5,] 1.0669957 -0.4175424 1.018209e+277
> [6,] 0.5524877 0.4487814 1.018209e+277
> [7,] -0.4066589 -1.4940931 1.018209e+277
> [8,] -0.1377598 -1.6336829 1.018209e+277
> [9,] -0.6502306 -3.1263543 1.018209e+277
> [10,] -1.3331782 -2.6687046 1.018209e+277
> attr(,"tsp")
> [1] 1 10 1
>
>
>
>
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