stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'tune_jscale' of git.dynare.org:JohannesPfeifer/dynare 

Ref. !1865
time-shift
Sébastien Villemot 2021-06-01 15:11:23 +02:00
parent 05fcb0550f f4c0781f45
commit 438ed7a48d
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
2 changed files with 31 additions and 3 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

30
matlab/calibrate_mh_scale_parameter.m
View File

@ -1,5 +1,5 @@
function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatrix, Parameters, MhBounds, options, varargin)
% function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatrix, Parameters, MhBounds, options, varargin)
% Tune the MH scale parameter so that the overall acceptance ratio is close to AcceptanceTarget.
%
% INPUTS
@ -11,7 +11,31 @@ function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatri
% - varargin [cell] Additional arguments to be passed to ObjectiveFunction.
%
% OUTPUTS
% - Scale [double] scalar, optimal scale parameter for teh jumping distribution.
% - Scale [double] scalar, optimal scale parameter for the jumping distribution.
%
% Note: program terminates if c3 consecutive runs of stepsize draws occured where
% i) the overall acceptance rate was less than c1 from target and
% ii) less than c2 over the last stepsize=2000 draws.
% Adjustment between steps takes place using a weighted average with the exponent being rho
% Copyright (C) 2020-2021 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/>.
% Fire up the wait bar
hh = dyn_waitbar(0,'Tuning of the scale parameter...');
@ -73,7 +97,7 @@ while j<=options.maxiter
prtfrc = j/options.maxiter;
% Update the waitbar
if ~mod(j, 10)
dyn_waitbar(prtfrc, hh, sprintf('Acceptance ratio [during last 500]: %f [%f]', isux/j, jsux/jj));
dyn_waitbar(prtfrc, hh, sprintf('Acceptance ratio [during last %u]: %f [%f]', options.stepsize, isux/j, jsux/jj));
end
% Adjust the value of the scale parameter.
if ~mod(j, options.stepsize)

4
matlab/initial_estimation_checks.m
View File

@ -290,6 +290,10 @@ if ~isequal(DynareOptions.mode_compute,11)
disp(['Initial value of the log posterior (or likelihood): ' num2str(-fval)]);
end
if DynareOptions.mh_tune_jscale.status && (DynareOptions.mh_tune_jscale.maxiter<DynareOptions.mh_tune_jscale.stepsize)
warning('You specified mh_tune_jscale, but the maximum number of iterations is smaller than the step size. No update will take place.')
end
function evaluate_expression(expression,M_,oo_)
% function evaluate_expression(expression,M_,oo_)
%evaluates expressions relying on M_ and oo_ having their original names