commit
0d6bc47158
|
@ -5557,6 +5557,48 @@ block decomposition of the model (see :opt:`block`).
|
||||||
density, and posterior statistics from an existing ``_results``
|
density, and posterior statistics from an existing ``_results``
|
||||||
file instead of recomputing them.
|
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_<LAST>.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, ...)
|
.. option:: optim = (NAME, VALUE, ...)
|
||||||
|
|
||||||
A list of NAME and VALUE pairs. Can be used to set options for
|
A list of NAME and VALUE pairs. Can be used to set options for
|
||||||
|
|
|
@ -396,6 +396,10 @@ options_.mh_tune_jscale.c1 = .02;
|
||||||
options_.mh_tune_jscale.c2 = .05;
|
options_.mh_tune_jscale.c2 = .05;
|
||||||
options_.mh_tune_jscale.c3 = 4;
|
options_.mh_tune_jscale.c3 = 4;
|
||||||
options_.mh_init_scale = 2*options_.mh_jscale;
|
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_mode = 1;
|
||||||
options_.mh_nblck = 2;
|
options_.mh_nblck = 2;
|
||||||
options_.mh_recover = false;
|
options_.mh_recover = false;
|
||||||
|
|
|
@ -115,13 +115,80 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
||||||
if isempty(d)
|
if isempty(d)
|
||||||
prior_draw(bayestopt_,options_.prior_trunc);
|
prior_draw(bayestopt_,options_.prior_trunc);
|
||||||
end
|
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...
|
% 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');
|
set_dynare_seed('default');
|
||||||
fprintf(fidlog,[' Initial values of the parameters:\n']);
|
fprintf(fidlog,[' Initial values of the parameters:\n']);
|
||||||
disp('Estimation::mcmc: Searching for initial values...')
|
disp('Estimation::mcmc: Searching for initial values...')
|
||||||
|
if ~options_.mh_initialize_from_previous_mcmc.status
|
||||||
ix2 = zeros(NumberOfBlocks,npar);
|
ix2 = zeros(NumberOfBlocks,npar);
|
||||||
ilogpo2 = zeros(NumberOfBlocks,1);
|
ilogpo2 = zeros(NumberOfBlocks,1);
|
||||||
|
end
|
||||||
for j=1:NumberOfBlocks
|
for j=1:NumberOfBlocks
|
||||||
validate = 0;
|
validate = 0;
|
||||||
init_iter = 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);
|
candidate = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar);
|
||||||
end
|
end
|
||||||
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
|
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_);
|
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
|
if ~isfinite(ilogpo2(j)) % if returned log-density is
|
||||||
% Inf or Nan (penalized value)
|
% Inf or Nan (penalized value)
|
||||||
|
@ -212,12 +279,17 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
||||||
record.MAX_nruns=MAX_nruns;
|
record.MAX_nruns=MAX_nruns;
|
||||||
record.AcceptanceRatio = zeros(1,NumberOfBlocks);
|
record.AcceptanceRatio = zeros(1,NumberOfBlocks);
|
||||||
record.FunctionEvalPerIteration = NaN(1,NumberOfBlocks);
|
record.FunctionEvalPerIteration = NaN(1,NumberOfBlocks);
|
||||||
|
if options_.mh_initialize_from_previous_mcmc.status
|
||||||
|
record.InitialSeeds = record0.LastSeeds;
|
||||||
|
else
|
||||||
|
|
||||||
for j=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)
|
% 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);
|
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.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();
|
[record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state();
|
||||||
end
|
end
|
||||||
|
end
|
||||||
record.InitialParameters = ix2;
|
record.InitialParameters = ix2;
|
||||||
record.InitialLogPost = ilogpo2;
|
record.InitialLogPost = ilogpo2;
|
||||||
record.LastParameters = zeros(NumberOfBlocks,npar);
|
record.LastParameters = zeros(NumberOfBlocks,npar);
|
||||||
|
|
|
@ -44,6 +44,7 @@ MODFILES = \
|
||||||
estimation/fs2000_calibrated_covariance.mod \
|
estimation/fs2000_calibrated_covariance.mod \
|
||||||
estimation/fs2000_model_comparison.mod \
|
estimation/fs2000_model_comparison.mod \
|
||||||
estimation/fs2000_fast.mod \
|
estimation/fs2000_fast.mod \
|
||||||
|
estimation/fs2000_init_from_previous.mod \
|
||||||
estimation/ls2003_endog_prior_restrict_estimation.mod \
|
estimation/ls2003_endog_prior_restrict_estimation.mod \
|
||||||
estimation/independent_mh/fs2000_independent_mh.mod \
|
estimation/independent_mh/fs2000_independent_mh.mod \
|
||||||
estimation/MH_recover/fs2000_recover.mod \
|
estimation/MH_recover/fs2000_recover.mod \
|
||||||
|
@ -647,6 +648,8 @@ 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.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_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.m.trs: estimation/fs2000.m.trs
|
||||||
optimizers/fs2000_102.o.trs: estimation/fs2000.o.trs
|
optimizers/fs2000_102.o.trs: estimation/fs2000.o.trs
|
||||||
|
|
|
@ -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');
|
Loading…
Reference in New Issue