From 161f2d8bc7e4c659e074fc98f407c1be6c10eae6 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sat, 4 Apr 2015 19:49:21 +0200
Subject: [PATCH] Add functionality for prior and posterior computations

---
 matlab/execute_prior_posterior_function.m | 91 +++++++++++++++++++++++
 1 file changed, 91 insertions(+)
 create mode 100644 matlab/execute_prior_posterior_function.m

diff --git a/matlab/execute_prior_posterior_function.m b/matlab/execute_prior_posterior_function.m
new file mode 100644
index 000000000..527f82d01
--- /dev/null
+++ b/matlab/execute_prior_posterior_function.m
@@ -0,0 +1,91 @@
+function [results_cell] = execute_prior_posterior_function(posterior_function_name,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,type)
+%[results_cell] = execute_prior_posterior_function(functionhandle,M_,options_,oo_,dataset_,estim_params_,bayestopt_,type)% This function executes a given function on draws of the posterior or prior distribution 
+% Executes user provided function on prior or posterior draws
+% 
+% INPUTS
+%   functionhandle               Handle to the function to be executed
+%   M_           [structure]     Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).
+%   options_     [structure]     Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
+%   oo_          [structure]     Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
+%   estim_params_[structure]     Matlab's structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
+%   bayestopt_   [structure]     Matlab's structure describing the parameter options (initialized by dynare, see @ref{bayestopt_}).
+%   dataset_     [structure]     Matlab's structure storing the dataset
+%   dataset_info [structure]     Matlab's structure storing the information about the dataset
+%   type         [string]        'prior' or 'posterior'
+%
+%
+% OUTPUTS
+%   results_cell    [cell]     ndrawsx1 cell array storing the results
+%                                of the prior/posterior computations
+
+% Copyright (C) 2013 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 <http://www.gnu.org/licenses/>.
+
+[directory,basename,extension] = fileparts(posterior_function_name);
+if isempty(extension)
+    extension = '.m';
+end
+fullname = [basename extension];
+if ~strcmp(extension,'.m') %if not m-file
+    error('The Posterior Function is not an m-file.')
+elseif ~exist(fullname,'file') %if m-file, but does not exist
+    error(['The Posterior Function ', fullname ,' was not found. Check the spelling.']);
+end
+%Create function handle
+functionhandle=str2func(posterior_function_name);
+
+% Get informations about the _posterior_draws files.
+if strcmpi(type,'posterior')
+    %% discard first mh_drop percent of the draws:
+    CutSample(M_, options_, estim_params_);
+    %% initialize metropolis draws
+    [error_flag,junk,options_]= metropolis_draw(1,options_,estim_params_,M_);
+    if error_flag
+        error('EXECUTE_POSTERIOR_FUNCTION: The draws could not be initialized')
+    end
+    n_draws=options_.sub_draws;
+elseif strcmpi(type,'prior')
+    prior_draw(1);
+    n_draws=options_.prior_draws;
+else
+    error('EXECUTE_POSTERIOR_FUNCTION: Unknown type!')
+end
+
+%get draws for later use
+first_draw=GetOneDraw(type);
+parameter_mat=NaN(n_draws,length(first_draw));
+parameter_mat(1,:)=first_draw;
+for draw_iter=2:n_draws
+    parameter_mat(draw_iter,:) = GetOneDraw(type);
+end
+
+% get output size
+try
+    junk=functionhandle(parameter_mat(1,:),M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
+catch err
+    fprintf('\nEXECUTE_POSTERIOR_FUNCTION: Execution of prior/posterior function led to an error. Execution cancelled.\n')
+    rethrow(err)
+end
+
+%initialize cell with number of columns
+results_cell=cell(n_draws,size(junk,2));
+
+%% compute function on draws
+for draw_iter = 1:n_draws
+    M_ = set_all_parameters(parameter_mat(draw_iter,:),estim_params_,M_);
+    [results_cell(draw_iter,:)]=functionhandle(parameter_mat(draw_iter,:),M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
+end