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parallelized version, working for win and unix. 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2706 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2009-05-27 16:30:30 +00:00
parent 7532957c4d
commit 3a4b5eb8e1
2 changed files with 146 additions and 44 deletions
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114
matlab/McMCDiagnostics.m
View File

@ -83,52 +83,78 @@ end
disp('MCMC Diagnostics: Univariate convergence diagnostic, Brooks and Gelman (1998):')
for j=1:npar
fprintf(' Parameter %d... ',j);
for b = 1:nblck
startline = 0;
for n = 1:NumberOfMcFilesPerBlock
%load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
'.mat'],'x2');
nx2 = size(x2,1);
tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
% clear x2;
startline = startline + nx2;
localVars.MhDirectoryName = MhDirectoryName;
localVars.nblck = nblck;
localVars.NumberOfMcFilesPerBlock = NumberOfMcFilesPerBlock;
localVars.Origin = Origin;
localVars.StepSize = StepSize;
localVars.NumberOfDraws = NumberOfDraws;
localVars.NumberOfLines = NumberOfLines;
localVars.time = time;
localVars.M_ = M_;
if isnumeric(options_.parallel),% | isunix, % for the moment exclude unix platform from parallel implementation
fout = McMCDiagnostics_core(localVars,1,npar,0);
UDIAG = fout.UDIAG;
clear fout
else
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, 1, npar,{},'McMCDiagnostics_core', localVars);
UDIAG = [];
for j=1:totCPU,
UDIAG = cat(3,UDIAG ,fout(j).UDIAG);
end
% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
% $$$ clear x2;
% $$$ startline = startline + LastLineNumber;
end
tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
tmp(:,3) = kron(ones(nblck,1),time');
tmp = sortrows(tmp,1);
ligne = 0;
for iter = Origin:StepSize:NumberOfDraws
ligne = ligne+1;
linea = ceil(0.5*iter);
n = iter-linea+1;
cinf = round(n*ALPHA/2);
csup = round(n*(1-ALPHA/2));
CINF = round(nblck*n*ALPHA/2);
CSUP = round(nblck*n*(1-ALPHA/2));
temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
UDIAG(ligne,1,j) = temp(CSUP,1)-temp(CINF,1);
moyenne = mean(temp(:,1));%% Pooled mean.
UDIAG(ligne,3,j) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
UDIAG(ligne,5,j) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
for i=1:nblck
pmet = temp(find(temp(:,2)==i));
UDIAG(ligne,2,j) = UDIAG(ligne,2,j) + pmet(csup,1)-pmet(cinf,1);
moyenne = mean(pmet,1); %% Within mean.
UDIAG(ligne,4,j) = UDIAG(ligne,4,j) + sum((pmet(:,1)-moyenne).^2)/(n-1);
UDIAG(ligne,6,j) = UDIAG(ligne,6,j) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
end
end
fprintf('Done! \n');
end
% for j=1:npar
% fprintf(' Parameter %d... ',j);
% for b = 1:nblck
% startline = 0;
% for n = 1:NumberOfMcFilesPerBlock
% %load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
% load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
% '.mat'],'x2');
% nx2 = size(x2,1);
% tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
% % clear x2;
% startline = startline + nx2;
% end
% % $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
% % $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
% % $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
% % $$$ clear x2;
% % $$$ startline = startline + LastLineNumber;
% end
% tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
% tmp(:,3) = kron(ones(nblck,1),time');
% tmp = sortrows(tmp,1);
% ligne = 0;
% for iter = Origin:StepSize:NumberOfDraws
% ligne = ligne+1;
% linea = ceil(0.5*iter);
% n = iter-linea+1;
% cinf = round(n*ALPHA/2);
% csup = round(n*(1-ALPHA/2));
% CINF = round(nblck*n*ALPHA/2);
% CSUP = round(nblck*n*(1-ALPHA/2));
% temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
% UDIAG(ligne,1,j) = temp(CSUP,1)-temp(CINF,1);
% moyenne = mean(temp(:,1));%% Pooled mean.
% UDIAG(ligne,3,j) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
% UDIAG(ligne,5,j) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
% for i=1:nblck
% pmet = temp(find(temp(:,2)==i));
% UDIAG(ligne,2,j) = UDIAG(ligne,2,j) + pmet(csup,1)-pmet(cinf,1);
% moyenne = mean(pmet,1); %% Within mean.
% UDIAG(ligne,4,j) = UDIAG(ligne,4,j) + sum((pmet(:,1)-moyenne).^2)/(n-1);
% UDIAG(ligne,6,j) = UDIAG(ligne,6,j) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
% end
% end
% fprintf('Done! \n');
% end
UDIAG(:,[2 4 6],:) = UDIAG(:,[2 4 6],:)/nblck;
disp(' ')
clear pmet temp moyenne CSUP CINF csup cinf n linea iter tmp;

76
matlab/McMCDiagnostics_core.m Normal file
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@ -0,0 +1,76 @@
function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
if nargin<4,
whoiam=0;
end
struct2local(myinputs);
if ~exist('MhDirectoryName'),
MhDirectoryName = CheckPath('metropolis');
end
ALPHA = 0.2; % increase too much with the number of simulations.
tmp = zeros(NumberOfDraws*nblck,3);
UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
% keyboard;
if whoiam
% keyboard;
waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
waitbarTitle=['McMCDiagnostics ',Parallel(ThisMatlab).PcName];
fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo);
end
for j=fpar:npar,
fprintf(' Parameter %d... ',j);
for b = 1:nblck
startline = 0;
for n = 1:NumberOfMcFilesPerBlock
%load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
'.mat'],'x2');
nx2 = size(x2,1);
tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
% clear x2;
startline = startline + nx2;
end
% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
% $$$ clear x2;
% $$$ startline = startline + LastLineNumber;
end
tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
tmp(:,3) = kron(ones(nblck,1),time');
tmp = sortrows(tmp,1);
ligne = 0;
for iter = Origin:StepSize:NumberOfDraws
ligne = ligne+1;
linea = ceil(0.5*iter);
n = iter-linea+1;
cinf = round(n*ALPHA/2);
csup = round(n*(1-ALPHA/2));
CINF = round(nblck*n*ALPHA/2);
CSUP = round(nblck*n*(1-ALPHA/2));
temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
UDIAG(ligne,1,j-fpar+1) = temp(CSUP,1)-temp(CINF,1);
moyenne = mean(temp(:,1));%% Pooled mean.
UDIAG(ligne,3,j-fpar+1) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
UDIAG(ligne,5,j-fpar+1) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
for i=1:nblck
pmet = temp(find(temp(:,2)==i));
UDIAG(ligne,2,j-fpar+1) = UDIAG(ligne,2,j-fpar+1) + pmet(csup,1)-pmet(cinf,1);
moyenne = mean(pmet,1); %% Within mean.
UDIAG(ligne,4,j-fpar+1) = UDIAG(ligne,4,j-fpar+1) + sum((pmet(:,1)-moyenne).^2)/(n-1);
UDIAG(ligne,6,j-fpar+1) = UDIAG(ligne,6,j-fpar+1) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
end
end
fprintf('Done! \n');
if whoiam,
% keyboard;
waitbarString = [ 'Parameter ' int2str(j) '/' int2str(npar) ' done.'];
fMessageStatus((j-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo)
end
end
myoutput.UDIAG = UDIAG;