Last updated on 2018-10-02 07:48:32 CEST.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 1.6 | 221.01 | 37.82 | 258.83 | OK | |
| r-devel-linux-x86_64-debian-gcc | 1.6 | 199.36 | 42.16 | 241.52 | OK | |
| r-devel-linux-x86_64-fedora-clang | 1.6 | 402.92 | ERROR | |||
| r-devel-linux-x86_64-fedora-gcc | 1.6 | 374.61 | ERROR | |||
| r-devel-windows-ix86+x86_64 | 1.6 | 525.00 | 68.00 | 593.00 | OK | |
| r-patched-linux-x86_64 | 1.6 | 256.38 | 38.10 | 294.48 | OK | |
| r-patched-solaris-x86 | 1.6 | 308.10 | OK | |||
| r-release-linux-x86_64 | 1.6 | 250.43 | 42.30 | 292.73 | OK | |
| r-release-windows-ix86+x86_64 | 1.6 | 484.00 | 88.00 | 572.00 | OK | |
| r-release-osx-x86_64 | 1.6 | NOTE | ||||
| r-oldrel-windows-ix86+x86_64 | 1.6 | 432.00 | 89.00 | 521.00 | OK | |
| r-oldrel-osx-x86_64 | 1.6 | NOTE |
Version: 1.6
Check: installed package size
Result: NOTE
installed size is 9.7Mb
sub-directories of 1Mb or more:
libs 9.5Mb
Flavors: r-devel-linux-x86_64-fedora-clang, r-release-osx-x86_64, r-oldrel-osx-x86_64
Version: 1.6
Check: examples
Result: ERROR
Running examples in ‘rcss-Ex.R’ failed
The error most likely occurred in:
> ### Name: FastAddDual
> ### Title: Fast additive duals
> ### Aliases: FastAddDual
>
> ### ** Examples
>
> ## Bermuda put option
> grid <- as.matrix(cbind(rep(1, 81), c(seq(20, 60, length = 81))))
> disturb <- array(0, dim = c(2, 2, 100))
> disturb[1, 1,] <- 1
> quantile <- qnorm(seq(0, 1, length = (100 + 2))[c(-1, -(100 + 2))])
> disturb[2, 2,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * quantile)
> weight <- rep(1 / 100, 100)
> control <- matrix(c(c(1, 2),c(1, 1)), nrow = 2)
> reward <- array(data = 0, dim = c(81, 2, 2, 2, 50))
> in_money <- grid[, 2] <= 40
> reward[in_money, 1, 2, 2,] <- 40
> reward[in_money, 2, 2, 2,] <- -1
> for (tt in 1:50){
+ reward[,,2,2,tt] <- exp(-0.06 * 0.02 * (tt - 1)) * reward[,,2,2,tt]
+ }
> scrap <- array(data = 0, dim = c(81, 2, 2))
> scrap[in_money, 1, 2] <- 40
> scrap[in_money, 2, 2] <- -1
> scrap[,,2] <- exp(-0.06 * 0.02 * 50) * scrap[,,2]
> r_index <- matrix(c(2, 2), ncol = 2)
> bellman <- FastBellman(grid, reward, scrap, control, disturb, weight, r_index)
At dec: 50...49...48...47...46...45...44...43...42...41...40...39...38...37...36...35...34...33...32...31...30...29...28...27...26...25...24...23...22...21...20...19...18...17...16...15...14...13...12...11...10...9...8...7...6...5...4...3...2...1...0...Done.
> set.seed(12345)
> start <- c(1, 36) ## starting state
> path_disturb <- array(0, dim = c(2, 2, 100, 50))
> path_disturb[1, 1,,] <- 1
> rand1 <- rnorm(100 * 50 / 2)
> rand1 <- as.vector(rbind(rand1, -rand1)) ## anti-thetic disturbances
> path_disturb[2, 2,,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * rand1)
> path <- PathDisturb(start, path_disturb)
> ## Reward function
> RewardFunc <- function(state, time) {
+ output <- array(data = 0, dim = c(nrow(state), 2, 2))
+ output[,2, 2] <- exp(-0.06 * 0.02 * (time - 1)) * pmax(40 - state[,2], 0)
+ return(output)
+ }
> policy <- FastPathPolicy(path, grid, control, RewardFunc, bellman$expected)
> ## Scrap function
> ScrapFunc <- function(state) {
+ output <- array(data = 0, dim = c(nrow(state), 2))
+ output[,2] <- exp(-0.06 * 0.02 * 50) * pmax(40 - state[,2], 0)
+ return(output)
+ }
> ## Subsimulation disturbances
> subsim <- array(0, dim = c(2, 2, 100, 100, 50))
> subsim[1,1,,,] <- 1
> rand2 <- rnorm(100 * 100 * 50 / 2)
> rand2 <- as.vector(rbind(rand2, -rand2))
> subsim[2,2,,,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * rand2)
> subsim_weight <- rep(1 / 100, 100)
> ## Additive duals
> mart <- FastAddDual(path, subsim, subsim_weight, grid, bellman$value, ScrapFunc)
Additive duals at dec: 0...1...2...3...4...5...6...7...
*** caught segfault ***
address 0x7f9f6d7e08c0, cause 'memory not mapped'
Traceback:
1: FastAddDual(path, subsim, subsim_weight, grid, bellman$value, ScrapFunc)
An irrecoverable exception occurred. R is aborting now ...
Flavor: r-devel-linux-x86_64-fedora-clang
Version: 1.6
Check: examples
Result: ERROR
Running examples in ‘rcss-Ex.R’ failed
The error most likely occurred in:
> ### Name: FastAddDual
> ### Title: Fast additive duals
> ### Aliases: FastAddDual
>
> ### ** Examples
>
> ## Bermuda put option
> grid <- as.matrix(cbind(rep(1, 81), c(seq(20, 60, length = 81))))
> disturb <- array(0, dim = c(2, 2, 100))
> disturb[1, 1,] <- 1
> quantile <- qnorm(seq(0, 1, length = (100 + 2))[c(-1, -(100 + 2))])
> disturb[2, 2,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * quantile)
> weight <- rep(1 / 100, 100)
> control <- matrix(c(c(1, 2),c(1, 1)), nrow = 2)
> reward <- array(data = 0, dim = c(81, 2, 2, 2, 50))
> in_money <- grid[, 2] <= 40
> reward[in_money, 1, 2, 2,] <- 40
> reward[in_money, 2, 2, 2,] <- -1
> for (tt in 1:50){
+ reward[,,2,2,tt] <- exp(-0.06 * 0.02 * (tt - 1)) * reward[,,2,2,tt]
+ }
> scrap <- array(data = 0, dim = c(81, 2, 2))
> scrap[in_money, 1, 2] <- 40
> scrap[in_money, 2, 2] <- -1
> scrap[,,2] <- exp(-0.06 * 0.02 * 50) * scrap[,,2]
> r_index <- matrix(c(2, 2), ncol = 2)
> bellman <- FastBellman(grid, reward, scrap, control, disturb, weight, r_index)
At dec: 50...49...48...47...46...45...44...43...42...41...40...39...38...37...36...35...34...33...32...31...30...29...28...27...26...25...24...23...22...21...20...19...18...17...16...15...14...13...12...11...10...9...8...7...6...5...4...3...2...1...0...Done.
> set.seed(12345)
> start <- c(1, 36) ## starting state
> path_disturb <- array(0, dim = c(2, 2, 100, 50))
> path_disturb[1, 1,,] <- 1
> rand1 <- rnorm(100 * 50 / 2)
> rand1 <- as.vector(rbind(rand1, -rand1)) ## anti-thetic disturbances
> path_disturb[2, 2,,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * rand1)
> path <- PathDisturb(start, path_disturb)
> ## Reward function
> RewardFunc <- function(state, time) {
+ output <- array(data = 0, dim = c(nrow(state), 2, 2))
+ output[,2, 2] <- exp(-0.06 * 0.02 * (time - 1)) * pmax(40 - state[,2], 0)
+ return(output)
+ }
> policy <- FastPathPolicy(path, grid, control, RewardFunc, bellman$expected)
> ## Scrap function
> ScrapFunc <- function(state) {
+ output <- array(data = 0, dim = c(nrow(state), 2))
+ output[,2] <- exp(-0.06 * 0.02 * 50) * pmax(40 - state[,2], 0)
+ return(output)
+ }
> ## Subsimulation disturbances
> subsim <- array(0, dim = c(2, 2, 100, 100, 50))
> subsim[1,1,,,] <- 1
> rand2 <- rnorm(100 * 100 * 50 / 2)
> rand2 <- as.vector(rbind(rand2, -rand2))
> subsim[2,2,,,] <- exp((0.06 - 0.5 * 0.2^2) * 0.02 + 0.2 * sqrt(0.02) * rand2)
> subsim_weight <- rep(1 / 100, 100)
> ## Additive duals
> mart <- FastAddDual(path, subsim, subsim_weight, grid, bellman$value, ScrapFunc)
Additive duals at dec: 0...1...2...3...4...5...6...7...
*** caught segfault ***
address 0x1900000029, cause 'memory not mapped'
Traceback:
1: FastAddDual(path, subsim, subsim_weight, grid, bellman$value, ScrapFunc)
An irrecoverable exception occurred. R is aborting now ...
Flavor: r-devel-linux-x86_64-fedora-gcc
Version: 1.6
Check: examples
Result: FAIL
Flavor: r-oldrel-osx-x86_64