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eval(dir) ==> dir 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@657 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2006-03-06 10:00:32 +00:00
parent 58cb6e42b6
commit 3d5b975836
3 changed files with 293 additions and 265 deletions
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56
matlab/McMCDiagnostics.m
View File

@ -3,7 +3,8 @@ function McmcDiagnostic
global options_ estim_params_ M_
DirectoryName = CheckPath('Plots/Diagnostics');
DirectoryName = CheckPath('Output');
MhDirectoryName = CheckPath('metropolis');
TeX = options_.TeX;
nblck = options_.mh_nblck;
@ -18,7 +19,14 @@ npar = npar + estim_params_.ncn;
npar = npar + estim_params_.np ;
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
load(['./' M_.dname '/metropolis/' M_.fname '_mh_history.mat'])
load([MhDirectoryName '/' M_.fname '_mh_history.mat'])
mcfiles = [];
for blck = 1:nblck
mcfiles = cat(3,mcfiles,dir([MhDirectoryName '/' M_.fname '_mh*_blck' int2str(blck) '.mat']));
end
NumberOfMcFilesPerBlock = size(mcfiles,1);
PastDraws = sum(record.MhDraws,1);
LastFileNumber = PastDraws(2);
@ -33,30 +41,36 @@ xx = Origin:StepSize:NumberOfDraws;
NumberOfLines = length(xx);
tmp = zeros(NumberOfDraws*nblck,3);
UDIAG = zeros(NumberOfLines,6,npar);
if NumberOfDraws < Origin
disp('MCMC Diagnostics :: The number of simulations is to small to compute the MCMC convergence diagnostics.')
return
end
if TeX
fidTeX = fopen([M_.dname '\TeX\' M_.fname '_UnivariateDiagnostics.TeX'],'w');
fidTeX = fopen([DirectoryName '/' M_.fname '_UnivariateDiagnostics.TeX'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
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:LastFileNumber-1
eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(n) '_blck' int2str(b)]);
clear logpo2 post2;
for n = 1:NumberOfMcFilesPerBlock-1
%eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(n) '_blck' int2str(b)]);
load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
%clear logpo2 post2;
tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*n,1) = x2(:,j);
clear x2;
startline = startline + MAX_nruns;
end
eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(LastFileNumber) '_blck' int2str(b)]);
clear logpo2 post2;
load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
% eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(LastFileNumber) '_blck' int2str(b)]);
% clear logpo2 post2;
tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
clear x2;
startline = startline + LastLineNumber;
@ -94,7 +108,11 @@ clear pmet temp moyenne CSUP CINF csup cinf n linea iter tmp;
pages = floor(npar/3);
k = 0;
for i = 1:pages
if options_.nograph
h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)','Visible','off');
else
h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)');
end
boxplot = 1;
if TeX
NAMES = [];
@ -163,7 +181,11 @@ if reste
NAMES = [];
TEXNAMES = [];
end
if options_.nograph
h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)','Visible','off');
else
h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)');
end
boxplot = 1;
for j = 1:reste
k = k+1;
@ -228,7 +250,7 @@ clear UDIAG;
%% Multivariate diagnostic.
%%
if TeX
fidTeX = fopen([M_.dname '/TeX/' M_.fname '_MultivariateDiagnostics.TeX'],'w');
fidTeX = fopen([DirectoryName '/' M_.fname '_MultivariateDiagnostics.TeX'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
@ -238,14 +260,16 @@ tmp = zeros(NumberOfDraws*nblck,3);
MDIAG = zeros(NumberOfLines,6);
for b = 1:nblck
startline = 0;
for n = 1:LastFileNumber-1
eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(n) '_blck' int2str(b)]);
clear x2 post2;
for n = 1:NumberOfMcFilesPerBlock-1
% eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(n) '_blck' int2str(b)]);
% clear x2 post2;
load([MhDirectoryName '/' mcfiles(n,1,b).name],'logpo2');
tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*n,1) = logpo2;
startline = startline+MAX_nruns;
end
eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(LastFileNumber) '_blck' int2str(b)]);
clear x2 post2;
load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'logpo2');
% eval(['load ' M_.dname '/metropolis/' M_.fname '_mh' int2str(LastFileNumber) '_blck' int2str(b)]);
% clear x2 post2;
tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+ MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = logpo2;
end
clear logpo2;
@ -275,7 +299,11 @@ for iter = Origin:StepSize:NumberOfDraws
end
end
MDIAG(:,[2 4 6],:) = MDIAG(:,[2 4 6],:)/nblck;
if options_.nograph
h = figure('Name','Multivatiate diagnostic','Visible','off');
else
h = figure('Name','Multivatiate diagnostic');
end
boxplot = 1;
for crit = 1:3
if crit == 1

2
matlab/metropolis.m
View File

@ -99,7 +99,7 @@ if options_.load_mh_file == 0
record.LastLogLiK = zeros(nblck,1);
record.LastFileNumber = AnticipatedNumberOfFiles+1;
record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
save([DirectoryName '/' M_.fname '_mh_history'],'record');
save([MhDirectoryName '/' M_.fname '_mh_history'],'record');
elseif options_.load_mh_file == 1% Here we consider previous mh files (previous mh did not crash).
disp('MH: I''m loading past metropolis-hastings simulations...')
file = dir([ MhDirectoryName '/' M_.fname '_mh_history.mat' ]);