diff --git a/matlab/nonlinear-filters/src/DSMH_sampler.m b/matlab/nonlinear-filters/src/DSMH_sampler.m index 56c9185a0..d44a43f50 100644 --- a/matlab/nonlinear-filters/src/DSMH_sampler.m +++ b/matlab/nonlinear-filters/src/DSMH_sampler.m @@ -56,17 +56,17 @@ function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_ lambda = exp(bsxfun(@minus,options_.dsmh.H,1:1:options_.dsmh.H)/(options_.dsmh.H-1)*log(options_.dsmh.lambda1)); -c = 55 ; +c = 0.055 ; % Step 0: Initialization of the sampler -[ param, tlogpost_iminus1, loglik, ~, ~, npar, nparticles, bayestopt_] = ... - DSMH_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_); +[ param, tlogpost_iminus1, loglik, npar, ~, bayestopt_] = ... + SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,options_.dsmh.number_of_particles); ESS = zeros(options_.dsmh.H,1) ; zhat = 1 ; % The DSMH starts here - for i=1:options_.dsmh.H + for i=2:options_.dsmh.H disp(''); disp('Tempered iteration'); disp(i) ; @@ -81,12 +81,33 @@ zhat = 1 ; weights = exp(loglik*(lambda(end)-lambda(end-1))); weights = weights/sum(weights); -indx_resmpl = DSMH_resampling(weights,rand(1,1),nparticles); +indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.number_of_particles); distrib_param = param(:,indx_resmpl); -%% Plot parameters densities +mean_xparam = mean(distrib_param,2); +%mat_var_cov = bsxfun(@minus,distrib_param,mean_xparam) ; +%mat_var_cov = (mat_var_cov*mat_var_cov')/(options_.HSsmc.nparticles-1) ; +%std_xparam = sqrt(diag(mat_var_cov)) ; +lb95_xparam = zeros(npar,1) ; +ub95_xparam = zeros(npar,1) ; +for i=1:npar + temp = sortrows(distrib_param(i,:)') ; + lb95_xparam(i) = temp(0.025*options_.HSsmc.nparticles) ; + ub95_xparam(i) = temp(0.975*options_.HSsmc.nparticles) ; +end + TeX = options_.TeX; +str = sprintf(' Param. \t Lower Bound (95%%) \t Mean \t Upper Bound (95%%)'); +for l=1:npar + [name,~] = get_the_name(l,TeX,M_,estim_params_,options_); + str = sprintf('%s\n %s \t\t %5.4f \t\t %7.5f \t\t %5.4f', str, name, lb95_xparam(l), mean_xparam(l), ub95_xparam(l)); +end +disp([str]) +disp('') + +%% Plot parameters densities + [nbplt,nr,nc,lr,lc,nstar] = pltorg(npar); if TeX @@ -99,16 +120,18 @@ end number_of_grid_points = 2^9; % 2^9 = 512 !... Must be a power of two. bandwidth = 0; % Rule of thumb optimal bandwidth parameter. kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourier Transform approximation. -for plt = 1:nbplt, + +plt = 1 ; +%for plt = 1:nbplt, if TeX NAMES = []; TeXNAMES = []; end hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities'); - for k=1:min(nstar,npar-(plt-1)*nstar) - subplot(nr,nc,k) - kk = (plt-1)*nstar+k; - [name,texname] = get_the_name(kk,TeX,M_,estim_params_,options_); + for k=1:npar %min(nstar,npar-(plt-1)*nstar) + subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k) + %kk = (plt-1)*nstar+k; + [name,texname] = get_the_name(k,TeX,M_,estim_params_,options_); if TeX if isempty(NAMES) NAMES = name; @@ -118,9 +141,9 @@ for plt = 1:nbplt, TeXNAMES = char(TeXNAMES,texname); end end - optimal_bandwidth = mh_optimal_bandwidth(distrib_param(kk,:)',nparticles,bandwidth,kernel_function); - [density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(kk,:)',number_of_grid_points,... - nparticles,optimal_bandwidth,kernel_function); + optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.dsmh.number_of_particles,bandwidth,kernel_function); + [density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,... + options_.dsmh.number_of_particles,optimal_bandwidth,kernel_function); plot(density(:,1),density(:,2)); hold on title(name,'interpreter','none') @@ -142,19 +165,7 @@ for plt = 1:nbplt, fprintf(fidTeX,'\\end{figure}\n'); fprintf(fidTeX,' \n'); end -end - -function indx = DSMH_resampling(weights,noise,number) - indx = zeros(number,1); - cumweights = cumsum(weights); - randvec = (transpose(1:number)-1+noise(:))/number; - j = 1; - for i=1:number - while (randvec(i)>cumweights(j)) - j = j+1; - end - indx(i) = j; - end +%end function [tlogpost_iminus1,loglik,param] = sort_matrices(tlogpost_iminus1,loglik,param) [~,indx_ord] = sortrows(tlogpost_iminus1); @@ -188,7 +199,7 @@ function c = tune_c(TargetFun,param,tlogpost_i,lambda,i,c,Omegachol,weights,data stop=0 ; while stop==0 acpt = 0.0; - indx_resmpl = DSMH_resampling(weights,rand(1,1),options_.dsmh.G); + indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G); param0 = param(:,indx_resmpl); tlogpost0 = tlogpost_i(indx_resmpl); for j=1:options_.dsmh.G @@ -240,7 +251,7 @@ function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,p out_tlogpost_iminus1 = tlogpost_i; out_loglik = loglik; % resample and initialize the starting groups - indx_resmpl = DSMH_resampling(weights,rand(1,1),options_.dsmh.G); + indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G); param0 = param(:,indx_resmpl); tlogpost_iminus10 = tlogpost_iminus1(indx_resmpl); tlogpost_i0 = tlogpost_i(indx_resmpl); @@ -300,4 +311,4 @@ function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,p out_loglik(rang) = loglik0; end end - \ No newline at end of file + diff --git a/matlab/nonlinear-filters/src/Herbst_Schorfheide_sampler.m b/matlab/nonlinear-filters/src/Herbst_Schorfheide_sampler.m new file mode 100644 index 000000000..3c6482919 --- /dev/null +++ b/matlab/nonlinear-filters/src/Herbst_Schorfheide_sampler.m @@ -0,0 +1,257 @@ +function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_) +% function Herbst_Schorfheide_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_) +% SMC sampler from JAE 2014 . +% +% INPUTS +% o TargetFun [char] string specifying the name of the objective +% function (posterior kernel). +% o ProposalFun [char] string specifying the name of the proposal +% density +% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values). +% o sampler_options structure +% .invhess [double] (p*p) matrix, posterior covariance matrix (at the mode). +% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters. +% o dataset_ data structure +% o dataset_info dataset info structure +% o options_ options structure +% o M_ model structure +% o estim_params_ estimated parameters structure +% o bayestopt_ estimation options structure +% o oo_ outputs structure +% +% SPECIAL REQUIREMENTS +% None. +% +% PARALLEL CONTEXT +% The most computationally intensive part of this function may be executed +% in parallel. The code suitable to be executed in +% parallel on multi core or cluster machine (in general a 'for' cycle) +% has been removed from this function and been placed in the posterior_sampler_core.m funtion. +% +% The DYNARE parallel packages comprise a i) set of pairs of Matlab functions that can be executed in +% parallel and called name_function.m and name_function_core.m and ii) a second set of functions used +% to manage the parallel computations. +% +% This function was the first function to be parallelized. Later, other +% functions have been parallelized using the same methodology. +% Then the comments write here can be used for all the other pairs of +% parallel functions and also for management functions. + +% Copyright (C) 2006-2017 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 . + + +% Create the tempering schedule +phi = bsxfun(@power,(bsxfun(@minus,1:1:options_.HSsmc.nphi,1)/(options_.HSsmc.nphi-1)),options_.HSsmc.lambda) ; +% tuning for MH algorithms matrices +zhat = 0 ; % normalization constant +csim = zeros(options_.HSsmc.nphi,1) ; % scale parameter +ESSsim = zeros(options_.HSsmc.nphi,1) ; % ESS +acptsim = zeros(options_.HSsmc.nphi,1) ; % average acceptance rate +% Step 0: Initialization of the sampler +[ param, tlogpost_i, loglik, npar, ~, bayestopt_] = ... + SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,options_.HSsmc.nparticles); +weights = ones(options_.HSsmc.nparticles,1)/options_.HSsmc.nparticles ; +% The Herbst and Schorfheide sampler starts here +for i=2:options_.HSsmc.nphi + % (a) Correction + % incremental weights + incwt = exp((phi(i)-phi(i-1))*loglik) ; + % update weights + weights = bsxfun(@times,weights,incwt) ; + sum_weights = sum(weights) ; + zhat = zhat + log(sum_weights) ; + % normalize weights + weights = weights/sum_weights ; + % (b) Selection + ESSsim(i) = 1/sum(weights.^2) ; + if (ESSsim(i) < options_.HSsmc.nparticles/2) + indx_resmpl = smc_resampling(weights,rand(1,1),options_.HSsmc.nparticles) ; + param = param(:,indx_resmpl) ; + loglik = loglik(indx_resmpl) ; + tlogpost_i = tlogpost_i(indx_resmpl) ; + weights = ones(options_.HSsmc.nparticles,1)/options_.HSsmc.nparticles ; + end + % (c) Mutation + options_.HSsmc.c = options_.HSsmc.c*modified_logit(0.95,0.1,16.0,options_.HSsmc.acpt-options_.HSsmc.trgt) ; + % Calculate estimates of mean and variance + mu = param*weights ; + z = bsxfun(@minus,param,mu) ; + R = z*(bsxfun(@times,z',weights)) ; + Rchol = chol(R)' ; + % Mutation + if options_.HSsmc.option_mutation==1 + [param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ; + elseif options_.HSsmc.option_mutation==2 + inv_R = inv(options_.HSsmc.c^2*R) ; + Rdiagchol = sqrt(diag(R)) ; + [param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_Mixture(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,options_.HSsmc.c*Rdiagchol,inv_R,mu,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ; + end + acptsim(i) = options_.HSsmc.acpt ; + csim(i) = options_.HSsmc.c ; + % print information + fprintf(' Iteration = %5.0f / %5.0f \n', i, options_.HSsmc.nphi); + fprintf(' phi = %5.4f \n', phi(i)); + fprintf(' Neff = %5.4f \n', ESSsim(i)); + fprintf(' %accept. = %5.4f \n', acptsim(i)); +end +indx_resmpl = smc_resampling(weights,rand(1,1),options_.HSsmc.nparticles); +distrib_param = param(:,indx_resmpl); +fprintf(' Log_lik = %5.4f \n', zhat); + +mean_xparam = mean(distrib_param,2); +%mat_var_cov = bsxfun(@minus,distrib_param,mean_xparam) ; +%mat_var_cov = (mat_var_cov*mat_var_cov')/(options_.HSsmc.nparticles-1) ; +%std_xparam = sqrt(diag(mat_var_cov)) ; +lb95_xparam = zeros(npar,1) ; +ub95_xparam = zeros(npar,1) ; +for i=1:npar + temp = sortrows(distrib_param(i,:)') ; + lb95_xparam(i) = temp(0.025*options_.HSsmc.nparticles) ; + ub95_xparam(i) = temp(0.975*options_.HSsmc.nparticles) ; +end + +TeX = options_.TeX; + +str = sprintf(' Param. \t Lower Bound (95%%) \t Mean \t Upper Bound (95%%)'); +for l=1:npar + [name,~] = get_the_name(l,TeX,M_,estim_params_,options_); + str = sprintf('%s\n %s \t\t %5.4f \t\t %7.5f \t\t %5.4f', str, name, lb95_xparam(l), mean_xparam(l), ub95_xparam(l)); +end +disp([str]) +disp('') + +%% Plot parameters densities + +[nbplt,nr,nc,lr,lc,nstar] = pltorg(npar); + +if TeX + fidTeX = fopen([M_.fname '_param_density.tex'],'w'); + fprintf(fidTeX,'%% TeX eps-loader file generated by DSMH.m (Dynare).\n'); + fprintf(fidTeX,['%% ' datestr(now,0) '\n']); + fprintf(fidTeX,' \n'); +end + +number_of_grid_points = 2^9; % 2^9 = 512 !... Must be a power of two. +bandwidth = 0; % Rule of thumb optimal bandwidth parameter. +kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourier Transform approximation. +plt = 1 ; +%for plt = 1:nbplt, + if TeX + NAMES = []; + TeXNAMES = []; + end + hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities'); + for k=1:npar %min(nstar,npar-(plt-1)*nstar) + subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k) + %kk = (plt-1)*nstar+k; + [name,texname] = get_the_name(k,TeX,M_,estim_params_,options_); + if TeX + if isempty(NAMES) + NAMES = name; + TeXNAMES = texname; + else + NAMES = char(NAMES,name); + TeXNAMES = char(TeXNAMES,texname); + end + end + optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.HSsmc.nparticles,bandwidth,kernel_function); + [density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,... + options_.HSsmc.nparticles,optimal_bandwidth,kernel_function); + plot(density(:,1),density(:,2)); + hold on + title(name,'interpreter','none') + hold off + axis tight + drawnow + end + dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format); + if TeX + % TeX eps loader file + fprintf(fidTeX,'\\begin{figure}[H]\n'); + for jj = 1:min(nstar,length(x)-(plt-1)*nstar) + fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TeXNAMES(jj,:))); + end + fprintf(fidTeX,'\\centering \n'); + fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_ParametersDensities%s}\n',M_.fname,int2str(plt)); + fprintf(fidTeX,'\\caption{ParametersDensities.}'); + fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt)); + fprintf(fidTeX,'\\end{figure}\n'); + fprintf(fidTeX,' \n'); + end +%end + +function [param,tlogpost_i,loglik,acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,cRchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) + acpt = 0.0 ; + tlogpost_i = tlogpost_i + (phi(i)-phi(i-1))*loglik ; + for j=1:options_.HSsmc.nparticles + validate= 0; + while validate==0 + candidate = param(:,j) + cRchol*randn(size(param,1),1) ; + if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub) + [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_); + if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value) + validate = 1; + if rand(1,1)= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub) + [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_); + if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value) + validate = 1; + if rand(1,1). + +%Initialize outputs +ix2 = []; +ilogpo2 = []; +iloglik2 = []; +ModelName = []; +MetropolisFolder = []; +npar = []; + +ModelName = M_.fname; +if ~isempty(M_.bvar) + ModelName = [ModelName '_bvar']; +end + +MetropolisFolder = CheckPath('dsmh',M_.dname); +BaseName = [MetropolisFolder filesep ModelName]; + +npar = length(xparam1); + +% Here we start a new DS Metropolis-Hastings, previous draws are discarded. +disp('Estimation:: Initialization...') +% Delete old dsmh files if any... +files = dir([BaseName '_dsmh*_blck*.mat']); +%if length(files) +% delete([BaseName '_dsmh*_blck*.mat']); +% disp('Estimation::smc: Old dsmh-files successfully erased!') +%end +% Delete old log file. +file = dir([ MetropolisFolder '/dsmh.log']); +%if length(file) +% delete([ MetropolisFolder '/dsmh.log']); +% disp('Estimation::dsmh: Old dsmh.log file successfully erased!') +% disp('Estimation::dsmh: Creation of a new dsmh.log file.') +%end +fidlog = fopen([MetropolisFolder '/dsmh.log'],'w'); +fprintf(fidlog,'%% DSMH log file (Dynare).\n'); +fprintf(fidlog,['%% ' datestr(now,0) '.\n']); +fprintf(fidlog,' \n\n'); +fprintf(fidlog,'%% Session 1.\n'); +fprintf(fidlog,' \n'); +prior_draw(bayestopt_,options_.prior_trunc); +% Find initial values for the NumberOfParticles chains... +set_dynare_seed('default'); +fprintf(fidlog,[' Initial values of the parameters:\n']); +disp('Estimation::dsmh: Searching for initial values...'); +ix2 = zeros(npar,NumberOfParticles); +temperedlogpost = zeros(NumberOfParticles,1); +loglik = zeros(NumberOfParticles,1); +%stderr = sqrt(bsxfun(@power,mh_bounds.ub-mh_bounds.lb,2)/12)/10; +for j=1:NumberOfParticles + validate = 0; + while validate == 0 + candidate = prior_draw()'; +% candidate = xparam1(:) + 0.001*randn(npar,1);%bsxfun(@times,stderr,randn(npar,1)) ; + if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub) + ix2(:,j) = candidate ; + [temperedlogpost(j),loglik(j)] = tempered_likelihood(TargetFun,candidate,0.0,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_); + if isfinite(loglik(j)) % if returned log-density is Inf or Nan (penalized value) + validate = 1; + end + end + end +end +fprintf(fidlog,' \n'); +disp('Estimation:: Initial values found!') +skipline() + + diff --git a/matlab/nonlinear-filters/src/smc_resampling.m b/matlab/nonlinear-filters/src/smc_resampling.m new file mode 100644 index 000000000..bac7eeac0 --- /dev/null +++ b/matlab/nonlinear-filters/src/smc_resampling.m @@ -0,0 +1,11 @@ +function indx = smc_resampling(weights,noise,number) + indx = zeros(number,1); + cumweights = cumsum(weights); + randvec = (transpose(1:number)-1+noise(:))/number; + j = 1; + for i=1:number + while (randvec(i)>cumweights(j)) + j = j+1; + end + indx(i) = j; + end