From a0f2b2399b877199706cfeb3dfe8f7d744db0e40 Mon Sep 17 00:00:00 2001 From: Marco Ratto Date: Sun, 2 May 2021 16:17:09 +0200 Subject: [PATCH] New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one If an additional parameter is estimated, it is initialized using prior_draw. --- doc/manual/source/the-model-file.rst | 42 +++++++++ matlab/default_option_values.m | 4 + matlab/posterior_sampler_initialization.m | 90 ++++++++++++++++-- tests/Makefile.am | 3 + .../estimation/fs2000_init_from_previous.mod | 92 +++++++++++++++++++ 5 files changed, 222 insertions(+), 9 deletions(-) create mode 100644 tests/estimation/fs2000_init_from_previous.mod diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst index 48f5be41c..a60d458dd 100644 --- a/doc/manual/source/the-model-file.rst +++ b/doc/manual/source/the-model-file.rst @@ -5542,6 +5542,48 @@ block decomposition of the model (see :opt:`block`). density, and posterior statistics from an existing ``_results`` file instead of recomputing them. + .. option:: mh_initialize_from_previous_mcmc + + This option allows to pick initial values for new MCMC from a previous one, + where the model specification, the number of estimated parameters, + (some) prior might have changed (so a situation where ``load_mh_file`` would not work). + If an additional parameter is estimated, it is automatically initialized from prior_draw. + Note that, if this option is used to skip the optimization step, you should use a sampling method which does not require + a proposal density, like slice. Otherwise, optimization should always be done beforehand or a mode file with + an appropriate posterior covariance matrix should be used. + + .. option:: mh_initialize_from_previous_mcmc_directory = FILENAME + + If ``mh_initialize_from_previous_mcmc`` is set, users must provide here + the path to the standard FNAME folder from where to load prior definitions and + last MCMC values to be used to initialize the new MCMC. + + Example: if previous project directory is ``/my_previous_dir`` and FNAME is ``mymodel``, + users should set the option as + + ``mh_initialize_from_previous_mcmc_directory = '/my_previous_dir/mymodel'`` + + Dynare will then look for the last record file into + + ``/my_previous_dir/mymodel/metropolis/mymodel_mh_history_.mat`` + + and for the prior definition file into + + ``/my_previous_dir/mymodel/prior/definition.mat`` + + .. option:: mh_initialize_from_previous_mcmc_record = FILENAME + + If ``mh_initialize_from_previous_mcmc`` is set, and whenever the standard file or directory tree + is not applicable to load initial values, users may directly provide here + the path to the record file from which to load + values to be used to initialize the new MCMC. + + .. option:: mh_initialize_from_previous_mcmc_prior = FILENAME + + If ``mh_initialize_from_previous_mcmc`` is set, and whenever the standard file or directory tree + is not applicable to load initial values, users may directly provide here + the path to the prior definition file, to get info in the priors used in previous MCMC. + .. option:: optim = (NAME, VALUE, ...) A list of NAME and VALUE pairs. Can be used to set options for diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m index 1a6b3883e..e18c8a51e 100644 --- a/matlab/default_option_values.m +++ b/matlab/default_option_values.m @@ -395,6 +395,10 @@ options_.mh_tune_jscale.c1 = .02; options_.mh_tune_jscale.c2 = .05; options_.mh_tune_jscale.c3 = 4; options_.mh_init_scale = 2*options_.mh_jscale; +options_.mh_initialize_from_previous_mcmc.status = false; +options_.mh_initialize_from_previous_mcmc.directory = ''; +options_.mh_initialize_from_previous_mcmc.record = ''; +options_.mh_initialize_from_previous_mcmc.prior = ''; options_.mh_mode = 1; options_.mh_nblck = 2; options_.mh_recover = false; diff --git a/matlab/posterior_sampler_initialization.m b/matlab/posterior_sampler_initialization.m index b950d3861..89e32fddc 100644 --- a/matlab/posterior_sampler_initialization.m +++ b/matlab/posterior_sampler_initialization.m @@ -115,13 +115,80 @@ if ~options_.load_mh_file && ~options_.mh_recover if isempty(d) prior_draw(bayestopt_,options_.prior_trunc); end + if options_.mh_initialize_from_previous_mcmc.status + PreviousFolder0 = options_.mh_initialize_from_previous_mcmc.directory; + RecordFile0 = options_.mh_initialize_from_previous_mcmc.record; + PriorFile0 = options_.mh_initialize_from_previous_mcmc.prior; + if ~isempty(RecordFile0) + %% check for proper filesep char in user defined paths + RecordFile0=strrep(RecordFile0,'\',filesep); + if isempty(dir(RecordFile0)) + disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_record option') + error('Estimation::mcmc: path to record file is not found') + else + record0=load(RecordFile0); + end + record0=record0.record; + MetropolisFolder0 = fileparts(RecordFile0); + PreviousFolder0=fileparts(MetropolisFolder0); + [~, ModelName0]=fileparts(PreviousFolder0); + else + %% check for proper filesep char in user defined paths + PreviousFolder0=strrep(PreviousFolder0,'\',filesep); + MetropolisFolder0 = [PreviousFolder0 filesep 'metropolis']; + [~, ModelName0]=fileparts(PreviousFolder0); + record0=load_last_mh_history_file(MetropolisFolder0, ModelName0); + end + if ~isnan(record0.MCMCConcludedSuccessfully) && ~record0.MCMCConcludedSuccessfully + error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.') + end +% mh_files = dir([ MetropolisFolder0 filesep ModelName0 '_mh*.mat']); +% if ~length(mh_files) +% error('Estimation::mcmc: I cannot find any MH file to load here!') +% end + disp('Estimation::mcmc: Initializing from past Metropolis-Hastings simulations...') + disp(['Estimation::mcmc: Past MH path ' MetropolisFolder0 ]) + disp(['Estimation::mcmc: Past model name ' ModelName0 ]) + fprintf(fidlog,' Loading initial values from previous MH\n'); + fprintf(fidlog,' Past MH path: %s\n', MetropolisFolder0 ); + fprintf(fidlog,' Past model name: %s\n', ModelName0); + fprintf(fidlog,' \n'); + past_number_of_blocks = record0.Nblck; + if past_number_of_blocks ~= NumberOfBlocks + disp('Estimation::mcmc: The specified number of blocks doesn''t match with the previous number of blocks!') + disp(['Estimation::mcmc: You declared ' int2str(NumberOfBlocks) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.']) + disp(['Estimation::mcmc: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ]) + NumberOfBlocks = past_number_of_blocks; + options_.mh_nblck = NumberOfBlocks; + end + if ~isempty(PriorFile0) + if isempty(dir(PriorFile0)) + disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_prior option') + error('Estimation::mcmc: path to prior file is not found') + else + bayestopt0 = load(PriorFile0); + end + else + bayestopt0 = load([PreviousFolder0 filesep 'prior' filesep 'definition.mat']); + end + [common_parameters,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name); + new_estimated_parameters = ~ismember(bayestopt_.name,bayestopt0.bayestopt_.name); + ix2 = zeros(NumberOfBlocks,npar); + ilogpo2 = zeros(NumberOfBlocks,1); + ilogpo2(:,1) = record0.LastLogPost; + ix2(:,IA) = record0.LastParameters(:,IB); + else + new_estimated_parameters = true(1,npar); + end % Find initial values for the NumberOfBlocks chains... - if NumberOfBlocks > 1% Case 1: multiple chains + if NumberOfBlocks > 1 || options_.mh_initialize_from_previous_mcmc.status% Case 1: multiple chains set_dynare_seed('default'); fprintf(fidlog,[' Initial values of the parameters:\n']); disp('Estimation::mcmc: Searching for initial values...') - ix2 = zeros(NumberOfBlocks,npar); - ilogpo2 = zeros(NumberOfBlocks,1); + if ~options_.mh_initialize_from_previous_mcmc.status + ix2 = zeros(NumberOfBlocks,npar); + ilogpo2 = zeros(NumberOfBlocks,1); + end for j=1:NumberOfBlocks validate = 0; init_iter = 0; @@ -133,7 +200,7 @@ if ~options_.load_mh_file && ~options_.mh_recover candidate = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar); end if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub) - ix2(j,:) = candidate; + ix2(j,new_estimated_parameters) = candidate(new_estimated_parameters); ilogpo2(j) = - feval(TargetFun,ix2(j,:)',dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_); if ~isfinite(ilogpo2(j)) % if returned log-density is % Inf or Nan (penalized value) @@ -212,11 +279,16 @@ if ~options_.load_mh_file && ~options_.mh_recover record.MAX_nruns=MAX_nruns; record.AcceptanceRatio = zeros(1,NumberOfBlocks); record.FunctionEvalPerIteration = NaN(1,NumberOfBlocks); - for j=1:NumberOfBlocks - % we set a different seed for the random generator for each block then we record the corresponding random generator state (vector) - set_dynare_seed(options_.DynareRandomStreams.seed+j); - % record.Seeds keeps a vector of the random generator state and not the scalar seed despite its name - [record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state(); + if options_.mh_initialize_from_previous_mcmc.status + record.InitialSeeds = record0.LastSeeds; + else + + for j=1:NumberOfBlocks + % we set a different seed for the random generator for each block then we record the corresponding random generator state (vector) + set_dynare_seed(options_.DynareRandomStreams.seed+j); + % record.Seeds keeps a vector of the random generator state and not the scalar seed despite its name + [record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state(); + end end record.InitialParameters = ix2; record.InitialLogPost = ilogpo2; diff --git a/tests/Makefile.am b/tests/Makefile.am index 86d3e1a42..de71d91e9 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -44,6 +44,7 @@ MODFILES = \ estimation/fs2000_calibrated_covariance.mod \ estimation/fs2000_model_comparison.mod \ estimation/fs2000_fast.mod \ + estimation/fs2000_init_from_previous.mod \ estimation/ls2003_endog_prior_restrict_estimation.mod \ estimation/independent_mh/fs2000_independent_mh.mod \ estimation/MH_recover/fs2000_recover.mod \ @@ -642,6 +643,8 @@ AIM/ls2003_2L2L_AIM.o.trs: AIM/ls2003_2L2L.o.trs estimation/fs2000_model_comparison.m.trs: estimation/fs2000.m.trs estimation/fs2000_initialize_from_calib.m.trs estimation/fs2000_calibrated_covariance.m.trs estimation/fs2000_model_comparison.o.trs: estimation/fs2000.o.trs estimation/fs2000_initialize_from_calib.o.trs estimation/fs2000_calibrated_covariance.o.trs +estimation/fs2000_init_from_previous.m.trs: estimation/fs2000.m.trs +estimation/fs2000_init_from_previous.o.trs: estimation/fs2000.o.trs optimizers/fs2000_102.m.trs: estimation/fs2000.m.trs optimizers/fs2000_102.o.trs: estimation/fs2000.o.trs diff --git a/tests/estimation/fs2000_init_from_previous.mod b/tests/estimation/fs2000_init_from_previous.mod new file mode 100644 index 000000000..f53948cdd --- /dev/null +++ b/tests/estimation/fs2000_init_from_previous.mod @@ -0,0 +1,92 @@ +// Test the mh_initialize_from_previous_mcmc option of the estimation command + +var m P c e W R k d n l gy_obs gp_obs y dA; +varexo e_a e_m e_b; + +parameters alp bet gam mst rho psi del; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; + +model; +dA = exp(gam+e_a); +log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; +-P/(c(+1)*P(+1)*m)+bet*exp(e_b)*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0; +W = l/n; +-(psi/(1-psi))*(c*P/(1-n))+l/n = 0; +R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; +1/(c*P)-bet*exp(e_b)*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0; +c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); +P*c = m; +m-1+d = l; +e = exp(e_a); +y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); +gy_obs = dA*y/y(-1); +gp_obs = (P/P(-1))*m(-1)/dA; +end; + +steady_state_model; + dA = exp(gam); + gst = 1/dA; + m = mst; + khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1)); + xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1); + nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp ); + n = xist/(nust+xist); + P = xist + nust; + k = khst*n; + + l = psi*mst*n/( (1-psi)*(1-n) ); + c = mst/P; + d = l - mst + 1; + y = k^alp*n^(1-alp)*gst^alp; + R = mst/bet; + W = l/n; + ist = y-c; + q = 1 - d; + + e = 1; + + gp_obs = m/dA; + gy_obs = dA; +end; + + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +steady; + +check; + +estimated_params; +alp, beta_pdf, 0.356, 0.02; +bet, beta_pdf, 0.993, 0.002; +gam, normal_pdf, 0.0085, 0.003; +mst, normal_pdf, 1.0002, 0.007; +rho, beta_pdf, 0.129, 0.223; +psi, beta_pdf, 0.65, 0.05; +del, beta_pdf, 0.01, 0.005; +stderr e_a, inv_gamma_pdf, 0.035449, inf; +stderr e_b, inv_gamma_pdf, 0.01, inf; +stderr e_m, inv_gamma_pdf, 0.008862, inf; +end; + +varobs gp_obs gy_obs; + +% Test mh_initialize_from_previous_mcmc option +estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=50, mh_nblocks=1, posterior_sampling_method='slice', + mh_initialize_from_previous_mcmc, mh_initialize_from_previous_mcmc_directory='./fs2000'); + +% Provide record file and prior file +estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=50, mh_nblocks=1, posterior_sampling_method='slice', + mh_initialize_from_previous_mcmc, mh_initialize_from_previous_mcmc_directory='', + mh_initialize_from_previous_mcmc_record = './fs2000/metropolis/fs2000_mh_history_0.mat', + mh_initialize_from_previous_mcmc_prior = './fs2000/prior/definition.mat');