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adding dynare_v4/matlab/doc with m2html documentation git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@805 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-06-27 21:46:58 +02:00
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"
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<title>Description of metropolis</title>
<meta name="keywords" content="metropolis">
<meta name="description" content="stephane.adjemian@ens.fr [09-02-2005]">
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<div><a href="../index.html">Home</a> &gt; <a href="index.html">.</a> &gt; metropolis.m</div>
<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png">&nbsp;Master index</a></td>
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<h1>metropolis
</h1>
<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="box"><strong>stephane.adjemian@ens.fr [09-02-2005]</strong></div>
<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="box"><strong>function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds) </strong></div>
<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="fragment"><pre class="comment"> stephane.adjemian@ens.fr [09-02-2005]</pre></div>
<!-- crossreference -->
<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
This function calls:
<ul style="list-style-image:url(../matlabicon.gif)">
<li><a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a> 06-03-2005</li><li><a href="DsgeLikelihood.html" class="code" title="function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data)">DsgeLikelihood</a> stephane.adjemian@cepremap.cnrs.fr [09-07-2004]</li></ul>
This function is called by:
<ul style="list-style-image:url(../matlabicon.gif)">
<li><a href="dynare_estimation.html" class="code" title="function dynare_estimation(var_list_)">dynare_estimation</a> </li></ul>
<!-- crossreference -->
<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
<div class="fragment"><pre>0001 <a name="_sub0" href="#_subfunctions" class="code">function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)</a>
0002 <span class="comment">% stephane.adjemian@ens.fr [09-02-2005]</span>
0003 <span class="keyword">global</span> M_ oo_ options_ bayestopt_ estim_params_
0004
0005 bayestopt_.penalty = 1e8;
0006
0007 MhDirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'metropolis'</span>);
0008
0009 nblck = options_.mh_nblck;
0010 nruns = ones(nblck,1)*options_.mh_replic;
0011 npar = length(xparam1);
0012 MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
0013 d = chol(vv);
0014 options_.lik_algo = 1;
0015 OpenOldFile = ones(nblck,1);
0016
0017 <span class="keyword">if</span> options_.load_mh_file == 0
0018 <span class="comment">% Here we start a new metropolis-hastings, previous draws are not</span>
0019 <span class="comment">% considered.</span>
0020 <span class="keyword">if</span> nblck &gt; 1
0021 disp(<span class="string">'MH: Multiple chains mode.'</span>)
0022 <span class="keyword">else</span>
0023 disp(<span class="string">'MH: One Chain mode.'</span>)
0024 <span class="keyword">end</span>
0025 <span class="comment">% Delete old mh files...</span>
0026 files = dir([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh*_blck*.mat'</span>]);
0027 <span class="keyword">if</span> length(files)
0028 delete([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh*_blck*.mat'</span>]);
0029 disp(<span class="string">'MH: Old _mh files succesfully erased!'</span>)
0030 <span class="keyword">end</span>
0031 <span class="comment">% Initial values...</span>
0032 <span class="keyword">if</span> nblck &gt; 1<span class="comment">% Case 1: multiple chains</span>
0033 disp(<span class="string">'MH: Searching for initial values...'</span>)
0034 ix2 = zeros(nblck,npar);
0035 ilogpo2 = zeros(nblck,1);
0036 <span class="keyword">for</span> j=1:nblck
0037 validate = 0;
0038 init_iter = 0;
0039 trial = 1;
0040 <span class="keyword">while</span> validate == 0 &amp; trial &lt;= 10
0041 candidate = options_.mh_init_scale*randn(1,npar)*d + transpose(xparam1);
0042 <span class="keyword">if</span> all(candidate' &gt; mh_bounds(:,1)) &amp; all(candidate' &lt; mh_bounds(:,2))
0043 ix2(j,:) = candidate;
0044 ilogpo2(j) = -<a href="DsgeLikelihood.html" class="code" title="function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data)">DsgeLikelihood</a>(ix2(j,:)',gend,data);
0045 j = j+1;
0046 validate = 1;
0047 <span class="keyword">end</span>
0048 init_iter = init_iter + 1;
0049 <span class="keyword">if</span> init_iter &gt; 100 &amp; validate == 0
0050 disp([<span class="string">'MH: I couldn''t get a valid initial value in 100 trials.'</span>])
0051 disp([<span class="string">'MH: You should Reduce mh_init_scale...'</span>])
0052 disp(sprintf(<span class="string">'MH: Parameter mh_init_scale is equal to %f.'</span>,options_.mh_init_scale))
0053 options_.mh_init_scale = input(<span class="string">'MH: Enter a new value... '</span>);
0054 trial = trial+1;
0055 <span class="keyword">end</span>
0056 <span class="keyword">end</span>
0057 <span class="keyword">if</span> trial &gt; 10 &amp; ~validate
0058 disp([<span class="string">'MH: I''m unable to find a starting value for block '</span> int2str(j)])
0059 <span class="keyword">return</span>
0060 <span class="keyword">end</span>
0061 <span class="keyword">end</span>
0062 disp(<span class="string">'MH: Initial values found!'</span>)
0063 disp(<span class="string">' '</span>)
0064 <span class="keyword">else</span><span class="comment">% Case 2: one chain (we start from the posterior mode)</span>
0065 candidate = transpose(xparam1);
0066 <span class="keyword">if</span> all(candidate' &gt; mh_bounds(:,1)) &amp; all(candidate' &lt; mh_bounds(:,2))
0067 ix2 = candidate;
0068 ilogpo2 = -<a href="DsgeLikelihood.html" class="code" title="function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data)">DsgeLikelihood</a>(ix2',gend,data);
0069 disp(<span class="string">'MH: Initialization at the posterior mode.'</span>)
0070 disp(<span class="string">' '</span>)
0071 <span class="keyword">else</span>
0072 disp(<span class="string">'MH: Initialization failed...'</span>)
0073 disp(<span class="string">'MH: The posterior mode lies outside the prior bounds.'</span>)
0074 <span class="keyword">return</span>
0075 <span class="keyword">end</span>
0076 <span class="keyword">end</span>
0077 fblck = 1;
0078 fline = ones(nblck,1);
0079 NewFile = ones(nblck,1);
0080 <span class="comment">% Creation of the mh-history file:</span>
0081 file = dir([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history.mat'</span>]);
0082 <span class="keyword">if</span> length(files)
0083 delete([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history.mat'</span>]);
0084 disp(<span class="string">'MH: Old mh_history file succesfully erased!'</span>)
0085 <span class="keyword">end</span>
0086 AnticipatedNumberOfFiles = floor(nruns(1)/MAX_nruns);
0087 AnticipatedNumberOfLinesInTheLastFile = nruns(1) - AnticipatedNumberOfFiles*MAX_nruns;
0088 record.Nblck = nblck;
0089 record.MhDraws = zeros(1,3);
0090 record.MhDraws(1,1) = nruns(1);
0091 record.MhDraws(1,2) = AnticipatedNumberOfFiles+1;
0092 record.MhDraws(1,3) = AnticipatedNumberOfLinesInTheLastFile;
0093 record.AcceptationRates = zeros(1,nblck);
0094 record.Seeds.Normal = randn(<span class="string">'state'</span>);
0095 record.Seeds.Unifor = rand(<span class="string">'state'</span>);
0096 record.InitialParameters = ix2;
0097 record.InitialLogLiK = ilogpo2;
0098 record.LastParameters = zeros(nblck,npar);
0099 record.LastLogLiK = zeros(nblck,1);
0100 record.LastFileNumber = AnticipatedNumberOfFiles+1;
0101 record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
0102 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>],<span class="string">'record'</span>);
0103 <span class="keyword">elseif</span> options_.load_mh_file == 1<span class="comment">% Here we consider previous mh files (previous mh did not crash).</span>
0104 disp(<span class="string">'MH: I''m loading past metropolis-hastings simulations...'</span>)
0105 file = dir([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history.mat'</span> ]);
0106 files = dir([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh*.mat'</span>]);
0107 <span class="keyword">if</span> ~length(files)
0108 disp(<span class="string">'MH:: FAILURE! there is no MH file to load here!'</span>)
0109 <span class="keyword">return</span>
0110 <span class="keyword">end</span>
0111 <span class="keyword">if</span> ~length(file)
0112 disp(<span class="string">'MH:: FAILURE! there is no MH-history file!'</span>)
0113 <span class="keyword">return</span>
0114 <span class="keyword">else</span>
0115 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>])
0116 <span class="keyword">end</span>
0117 past_number_of_blocks = record.Nblck;
0118 <span class="keyword">if</span> past_number_of_blocks ~= nblck
0119 disp(<span class="string">'MH:: The specified number of blocks doesn''t match with the previous number of blocks!'</span>)
0120 disp([<span class="string">'MH:: You declared '</span> int2str(nblck) <span class="string">' blocks, but the previous number of blocks was '</span> int2str(past_number_of_blocks) <span class="string">'.'</span>])
0121 disp([<span class="string">'MH:: I will run the Metropolis-Hastings with '</span> int2str(past_number_of_blocks) <span class="string">' blocks.'</span> ])
0122 nblck = past_number_of_blocks;
0123 options_.mh_nblck = nblck;
0124 <span class="keyword">end</span>
0125 <span class="comment">% I get the last line of the last mh-file for initialization</span>
0126 <span class="comment">% of the new metropolis-hastings simulations:</span>
0127 LastFileNumber = record.LastFileNumber;
0128 LastLineNumber = record.LastLineNumber;
0129 <span class="keyword">if</span> LastLineNumber &lt; MAX_nruns
0130 NewFile = ones(nblck,1)*LastFileNumber;
0131 <span class="keyword">else</span>
0132 NewFile = ones(nblck,1)*(LastFileNumber+1);
0133 <span class="keyword">end</span>
0134 ilogpo2 = record.LastLogLiK;
0135 ix2 = record.LastParameters;
0136 fblck = 1;
0137 fline = ones(nblck,1)*(LastLineNumber+1);
0138 NumberOfPreviousSimulations = sum(record.MhDraws(:,1),1);
0139 record.MhDraws = [record.MhDraws;zeros(1,3)];
0140 NumberOfDrawsWrittenInThePastLastFile = MAX_nruns - LastLineNumber;
0141 NumberOfDrawsToBeSaved = nruns(1) - NumberOfDrawsWrittenInThePastLastFile;
0142 AnticipatedNumberOfFiles = floor(NumberOfDrawsToBeSaved/MAX_nruns);
0143 AnticipatedNumberOfLinesInTheLastFile = NumberOfDrawsToBeSaved - AnticipatedNumberOfFiles*MAX_nruns;
0144 record.LastFileNumber = LastFileNumber + AnticipatedNumberOfFiles + 1;
0145 record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
0146 record.MhDraws(<span class="keyword">end</span>,1) = nruns(1);
0147 record.MhDraws(<span class="keyword">end</span>,2) = AnticipatedNumberOfFiles+1;
0148 record.MhDraws(<span class="keyword">end</span>,3) = AnticipatedNumberOfLinesInTheLastFile;
0149 randn(<span class="string">'state'</span>,record.Seeds.Normal);
0150 rand(<span class="string">'state'</span>,record.Seeds.Unifor);
0151 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>],<span class="string">'record'</span>);
0152 disp([<span class="string">'MH: ... It''s done. I''ve loaded '</span> int2str(NumberOfPreviousSimulations) <span class="string">' simulations.'</span>])
0153 disp(<span class="string">' '</span>)
0154 <span class="keyword">elseif</span> options_.load_mh_file == -1<span class="comment">% The previous metropolis-hastings</span>
0155 <span class="comment">% crashed before the end! I try to</span>
0156 <span class="comment">% recover the saved draws...</span>
0157 disp(<span class="string">'MH: Recover mode!'</span>)
0158 disp(<span class="string">' '</span>)
0159 file = dir([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history.mat'</span>]);
0160 <span class="keyword">if</span> ~length(file)
0161 disp(<span class="string">'MH:: FAILURE! there is no MH-history file!'</span>)
0162 <span class="keyword">return</span>
0163 <span class="keyword">else</span>
0164 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>])
0165 <span class="keyword">end</span>
0166 nblck = record.Nblck;
0167 options_.mh_nblck = nblck;
0168 <span class="keyword">if</span> size(record.MhDraws,1) == 1
0169 OldMh = 0;<span class="comment">% The crashed metropolis was the first session.</span>
0170 <span class="keyword">else</span>
0171 OldMh = 1;<span class="comment">% The crashed metropolis wasn't the first session.</span>
0172 <span class="keyword">end</span>
0173 <span class="comment">% Default initialization:</span>
0174 <span class="keyword">if</span> OldMh
0175 ilogpo2 = record.LastLogLiK;
0176 ix2 = record.LastParameters;
0177 <span class="keyword">else</span>
0178 ilogpo2 = record.InitialLogLiK;
0179 ix2 = record.InitialParameters;
0180 <span class="keyword">end</span>
0181 <span class="comment">% Set &quot;NewFile&quot;:</span>
0182 <span class="keyword">if</span> OldMh
0183 LastLineNumberInThePreviousMh = record.MhDraws(end-1,3);
0184 LastFileNumberInThePreviousMh = sum(record.MhDraws(1:end-1,2),1);
0185 <span class="keyword">if</span> LastLineNumberInThePreviousMh &lt; MAX_nruns
0186 NewFile = ones(nblck,1)*LastFileNumberInThePreviousMh;
0187 <span class="keyword">else</span>
0188 NewFile = ones(nblck,1)*(LastFileNumberInThePreviousMh+1);
0189 <span class="keyword">end</span>
0190 <span class="keyword">else</span>
0191 NewFile = ones(nblck,1);
0192 <span class="keyword">end</span>
0193 <span class="comment">% Set fline (First line):</span>
0194 <span class="keyword">if</span> OldMh
0195 fline = ones(nblck,1)*(record.MhDraws(end-1,3)+1);
0196 <span class="keyword">else</span>
0197 fline = ones(nblck,1);
0198 <span class="keyword">end</span>
0199 <span class="comment">% Set fblck (First block):</span>
0200 fblck = 1;
0201 <span class="comment">% How many mh files should we have ?</span>
0202 ExpectedNumberOfMhFilesPerBlock = sum(record.MhDraws(:,2),1);
0203 ExpectedNumberOfMhFiles = ExpectedNumberOfMhFilesPerBlock*nblck;
0204 <span class="comment">% I count the total number of saved mh files...</span>
0205 AllMhFiles = dir([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh*_blck*.mat'</span>]);
0206 TotalNumberOfMhFiles = length(AllMhFiles);
0207 <span class="comment">% I count the number of saved mh files per block</span>
0208 NumberOfMhFilesPerBlock = zeros(nblck,1);
0209 <span class="keyword">for</span> i = 1:nblck
0210 BlckMhFiles = dir([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh*_blck'</span> int2str(i) <span class="string">'.mat'</span>]);
0211 NumberOfMhFilesPerBlock(i) = length(BlckMhFiles);
0212 <span class="keyword">end</span>
0213 tmp = NumberOfMhFilesPerBlock(1); b = 1;
0214 <span class="comment">% Is there a chain with less mh files than the first chain ?</span>
0215 CrashedBlck = 1;
0216 <span class="keyword">while</span> b &lt;= nblck
0217 <span class="keyword">if</span> NumberOfMhFilesPerBlock(b) &lt; ExpectedNumberOfMhFilesPerBlock
0218 CrashedBlck = b;<span class="comment">% YES!</span>
0219 <span class="keyword">break</span>
0220 <span class="keyword">end</span>
0221 b = b+1;
0222 <span class="keyword">end</span>
0223 <span class="comment">% The new metropolis-hastings should start from (fblck=CrashedBlck)</span>
0224 fblck = CrashedBlck;
0225 <span class="comment">% How many mh-files are saved in this block ?</span>
0226 NumberOfSavedMhFilesInTheCrashedBlck = <span class="keyword">...</span>
0227 NumberOfMhFilesPerBlock(CrashedBlck);
0228 <span class="comment">% How many mh-files were saved in this block during the last session</span>
0229 <span class="comment">% (if there was a complete session before the crash) ?</span>
0230 <span class="keyword">if</span> OldMh
0231 ante = sum(record.MhDraws(1:end-1,2),1);
0232 load([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(ante) <span class="string">'_blck'</span> int2str(CrashedBlck) <span class="string">'.mat'</span>],<span class="string">'logpo2'</span>);
0233 <span class="keyword">if</span> length(logpo2) == MAX_nruns
0234 IsTheLastFileOfThePreviousMhFull = 1;
0235 <span class="keyword">else</span>
0236 IsTheLastFileOfThePreviousMhFull = 0;
0237 <span class="keyword">end</span>
0238 <span class="keyword">else</span>
0239 ante = 0;<span class="comment">% Because the crashed session is the first one</span>
0240 IsTheLastFileOfThePreviousMhFull = 1;
0241 <span class="keyword">end</span>
0242 <span class="keyword">if</span> ~IsTheLastFileOfThePreviousMhFull
0243 MhFileExist = 1;
0244 MhFileNumber = ante;
0245 <span class="keyword">while</span> MhFileExist
0246 MhFileNumber = MhFileNumber + 1;
0247 <span class="keyword">if</span> ~exist([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(MhFileNumber) <span class="string">'_blck'</span> int2str(CrashedBlck) <span class="string">'.mat'</span>])
0248 MhFileExist = 0;
0249 <span class="keyword">end</span>
0250 <span class="keyword">end</span>
0251 <span class="comment">% if MhFileNumber &gt; ExpectedNumberOfMhFilesPerBlock % Peut tre  dplacer plus haut...</span>
0252 <span class="comment">% disp('MH : You are using the recover mode but the previous session');</span>
0253 <span class="comment">% disp(' of the metropolis-hastings didn''t crash!')</span>
0254 <span class="comment">% disp('MH : I stop and you shoud modify your mod file.')</span>
0255 <span class="comment">% return</span>
0256 <span class="comment">% else</span>
0257 NumberOfCompletedMhFiles = (MhFileNumber-1)-ante;
0258 <span class="comment">% How many runs were saved ?</span>
0259 <span class="keyword">if</span> OldMh
0260 reste = MAX_nruns-record.MhDraws(end-1,3);
0261 <span class="keyword">else</span>
0262 reste = 0
0263 <span class="keyword">end</span>
0264 NumberOfSavedDraws = MAX_nruns*(NumberOfCompletedMhFiles) + reste;
0265 <span class="comment">% Here is the number of draws we still need to complete the block:</span>
0266 nruns(CrashedBlck) = nruns(CrashedBlck)-NumberOfSavedDraws;
0267 <span class="comment">% I initialize with the last saved mh file of the inccomplete</span>
0268 <span class="comment">% block:</span>
0269 load([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(MhFileNumber-1) <span class="string">'_blck'</span> int2str(CrashedBlck) <span class="string">'.mat'</span>]);
0270 ilogpo2(CrashedBlck) = logpo2(end);
0271 ix2(CrashedBlck,:) = x2(<span class="keyword">end</span>,:);
0272 NewFile(CrashedBlck) = MhFileNumber;
0273 fline(CrashedBlck,1) = 1;
0274 <span class="keyword">else</span>
0275 <span class="comment">% creuser ce qui se passe dans ce cas !</span>
0276 OpenOldFile(CrashedBlck) = 0;
0277 disp(<span class="string">'Ok'</span>)
0278 <span class="keyword">end</span>
0279 <span class="keyword">end</span><span class="comment">% of (if options_.load_mh_file == {0,1 or -1})</span>
0280 <span class="comment">%%%%</span>
0281 <span class="comment">%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains</span>
0282 <span class="comment">%%%%</span>
0283 InitSizeArray = min([MAX_nruns*ones(nblck) nruns],[],2);
0284 <span class="keyword">for</span> b = fblck:nblck
0285 <span class="keyword">if</span> (options_.load_mh_file~=0) &amp; (fline(b)&gt;1) &amp; OpenOldFile(b)
0286 load([<span class="string">'./'</span> MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(NewFile(b)) <span class="keyword">...</span>
0287 <span class="string">'_blck'</span> int2str(b) <span class="string">'.mat'</span>])
0288 x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
0289 logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
0290 OpenOldFile(b) = 0;
0291 <span class="keyword">else</span>
0292 x2 = zeros(InitSizeArray(b),npar);
0293 logpo2 = zeros(InitSizeArray(b),1);
0294 <span class="keyword">end</span>
0295 hh = waitbar(0,[<span class="string">'Please wait... Metropolis-Hastings ('</span> int2str(b) <span class="string">'/'</span> int2str(nblck) <span class="string">')...'</span>]);
0296 set(hh,<span class="string">'Name'</span>,<span class="string">'Metropolis-Hastings'</span>)
0297 isux = 0;
0298 irun = fline(b);
0299 j = 1;
0300 <span class="keyword">while</span> j &lt;= nruns(b)
0301 par = randn(1,npar)*d;
0302 par = par.*bayestopt_.jscale' + ix2(b,:);
0303 <span class="keyword">if</span> all(par'&gt;mh_bounds(:,1)) &amp; all(par'&lt;mh_bounds(:,2))
0304 logpost = -<a href="DsgeLikelihood.html" class="code" title="function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data)">DsgeLikelihood</a>(par',gend,data);
0305 <span class="keyword">else</span>
0306 logpost = -inf;
0307 <span class="keyword">end</span>
0308 <span class="keyword">if</span> (logpost &gt; -inf) &amp; (log(rand) &lt; logpost-ilogpo2(b))
0309 x2(irun,:) = par;
0310 ix2(b,:) = par;
0311 logpo2(irun) = logpost;
0312 ilogpo2(b) = logpost;
0313 isux = isux + 1;
0314 <span class="keyword">else</span>
0315 x2(irun,:) = ix2(b,:);
0316 logpo2(irun) = ilogpo2(b);
0317 <span class="keyword">end</span>
0318 prtfrc = j/nruns(b);
0319 waitbar(prtfrc,hh,[ <span class="string">'('</span> int2str(b) <span class="string">'/'</span> int2str(nblck) <span class="string">') '</span> sprintf(<span class="string">'%f done, acceptation rate %f'</span>,prtfrc,isux/j)]);
0320 <span class="keyword">if</span> (irun == InitSizeArray(b)) | (j == nruns(b)) <span class="comment">% Now I save the simulations</span>
0321 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(NewFile(b)) <span class="string">'_blck'</span> int2str(b)],<span class="string">'x2'</span>,<span class="string">'logpo2'</span>);
0322 InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
0323 <span class="keyword">if</span> j == nruns(b) <span class="comment">% I record the last draw...</span>
0324 record.LastParameters(b,:) = x2(<span class="keyword">end</span>,:);
0325 record.LastLogLiK(b) = logpo2(end);
0326 <span class="keyword">end</span>
0327 <span class="keyword">if</span> InitSizeArray(b)
0328 x2 = zeros(InitSizeArray(b),npar);
0329 logpo2 = zeros(InitSizeArray(b),1);
0330 NewFile(b) = NewFile(b) + 1;
0331 irun = 0;
0332 <span class="keyword">else</span> <span class="comment">% InitSizeArray is equal to zero because we are at the end of an mc chain.</span>
0333 InitSizeArray(b) = min(nruns(b),MAX_nruns);
0334 <span class="keyword">end</span>
0335 <span class="keyword">end</span>
0336 j=j+1;
0337 irun = irun + 1;
0338 <span class="keyword">end</span><span class="comment">% End of the simulations for one mh-block.</span>
0339 record.AcceptationRates(b) = isux/j;
0340 close(hh);
0341 <span class="keyword">end</span><span class="comment">% End of the loop over the mh-blocks.</span>
0342 record.Seeds.Normal = randn(<span class="string">'state'</span>);
0343 record.Seeds.Unifor = rand(<span class="string">'state'</span>);
0344 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>],<span class="string">'record'</span>);
0345 disp([<span class="string">'MH: Number of mh files : '</span> int2str(NewFile(1)) <span class="string">' per block.'</span>])
0346 disp([<span class="string">'MH: Total number of generated files : '</span> int2str(NewFile(1)*nblck) <span class="string">'.'</span>])
0347 disp([<span class="string">'MH: Total number of iterations : '</span> int2str((NewFile(1)-1)*MAX_nruns+irun-1) <span class="string">'.'</span>])
0348 disp(<span class="string">' '</span>)</pre></div>
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