> (1) An exact solution can be derived quickly

Please disregard note (1) above.
I'm not sure if it was right.
And one more comment:

The conjugate gradient method is an established method.
So the question is, is the optim function applying this method or not...
And assuming that it is, then R is definitely doing what it should be doing.
If not, then I guess it would be a bug...

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