82 lines
3.3 KiB
Matlab
82 lines
3.3 KiB
Matlab
|
function [particles, tlogpostkernel, loglikelihood, SimulationFolder] = smc_samplers_initialization(funobj, sampler, n, Prior, SimulationFolder, nsteps)
|
|||
|
|
|
|||
|
|
% Initialize SMC samplers by drawing initial particles in the prior distribution.
|
|||
|
|
%
|
|||
|
|
% INPUTS
|
|||
|
|
% - TargetFun [char] string specifying the name of the objective function (posterior kernel).
|
|||
|
|
% - sampler [char] name of the sampler.
|
|||
|
|
% - n [integer] scalar, number of particles.
|
|||
|
|
% - mh_bounds [double] p×2 matrix defining lower and upper bounds for the estimated parameters.
|
|||
|
|
% - dataset_ [dseries] sample
|
|||
|
|
% - dataset_info [struct] informations about the dataset
|
|||
|
|
% - options_ [struct] dynare's options
|
|||
|
|
% - M_ [struct] model description
|
|||
|
|
% - estim_params_ [struct] estimated parameters
|
|||
|
|
% - bayestopt_ [struct] estimated parameters
|
|||
|
|
% - oo_ [struct] outputs
|
|||
|
|
%
|
|||
|
|
% OUTPUTS
|
|||
|
|
% - ix2 [double] p×n matrix of particles
|
|||
|
|
% - ilogpo2 [double] n×1 vector of posterior kernel values for the particles
|
|||
|
|
% - iloglik2 [double] n×1 vector of likelihood values for the particles
|
|||
|
|
% - ModelName [string] name of the mod-file
|
|||
|
|
% - MetropolisFolder [string] path to the Metropolis subfolder
|
|||
|
|
% - bayestopt_ [structure] estimation options structure
|
|||
|
|
%
|
|||
|
|
% SPECIAL REQUIREMENTS
|
|||
|
|
% None.
|
|||
|
|
|
|||
|
|
% Copyright © 2022-2023 Dynare Team
|
|||
|
|
%
|
|||
|
|
% This file is part of Dynare.
|
|||
|
|
%
|
|||
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|||
|
|
% it under the terms of the GNU General Public License as published by
|
|||
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|||
|
|
% (at your option) any later version.
|
|||
|
|
%
|
|||
|
|
% Dynare is distributed in the hope that it will be useful,
|
|||
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|||
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|||
|
|
% GNU General Public License for more details.
|
|||
|
|
%
|
|||
|
|
% You should have received a copy of the GNU General Public License
|
|||
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|||
|
|
|
|||
|
|
dprintf('Estimation:%s: Initialization...', sampler)
|
|||
|
|
|
|||
|
|
% Delete old mat files storign particles if any...
|
|||
|
|
matfiles = sprintf('%s%sparticles*.mat', SimulationFolder, filesep());
|
|||
|
|
files = dir(matfiles);
|
|||
|
|
if ~isempty(files)
|
|||
|
|
delete(matfiles);
|
|||
|
|
dprintf('Estimation:%s: Old %s-files successfully erased.', sampler, sampler)
|
|||
|
|
end
|
|||
|
|
|
|||
|
|
% Simulate a pool of particles characterizing the prior distribution (with the additional constraint that the likelihood is finite)
|
|||
|
|
set_dynare_seed('default');
|
|||
|
|
dprintf('Estimation:%s: Searching for initial values...', sampler);
|
|||
|
|
particles = zeros(Prior.length(), n);
|
|||
|
|
tlogpostkernel = zeros(n, 1);
|
|||
|
|
loglikelihood = zeros(n, 1);
|
|||
|
|
|
|||
|
|
t0 = tic;
|
|||
|
|
parfor j=1:n
|
|||
|
|
notvalid = true;
|
|||
|
|
while notvalid
|
|||
|
|
candidate = Prior.draw();
|
|||
|
|
if Prior.admissible(candidate)
|
|||
|
|
particles(:,j) = candidate;
|
|||
|
|
[tlogpostkernel(j), loglikelihood(j)] = tempered_likelihood(funobj, candidate, 0.0, Prior);
|
|||
|
|
if isfinite(loglikelihood(j)) % if returned log-density is Inf or Nan (penalized value)
|
|||
|
|
notvalid = false;
|
|||
|
|
end
|
|||
|
|
end
|
|||
|
|
end
|
|||
|
|
end
|
|||
|
|
tt = toc(t0);
|
|||
|
|
|
|||
|
|
save(sprintf('%s%sparticles-1-%u.mat', SimulationFolder, filesep(), nsteps), 'particles', 'tlogpostkernel', 'loglikelihood')
|
|||
|
|
dprintf('Estimation:%s: Initial values found (%.2fs)', sampler, tt)
|
|||
|
|
skipline()
|