Merge branch 'nblocks_load' into 'master'
load_last_mh_history_file: make sure number of blocks and parameters matches loaded files See merge request Dynare/dynare!2150kalman-mex
Sébastien Villemot
commit
4f4dc0e4f4
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@ -16,7 +16,7 @@ function CutSample(M_, options_, estim_params_)
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2005-2017 Dynare Team
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% Copyright © 2005-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -33,8 +33,6 @@ function CutSample(M_, options_, estim_params_)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
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% Get the path to the metropolis files.
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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@ -42,7 +40,8 @@ MetropolisFolder = CheckPath('metropolis',M_.dname);
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ModelName = M_.fname;
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% Load the last mh-history file.
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load_last_mh_history_file(MetropolisFolder, M_.fname);
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record=load_last_mh_history_file(MetropolisFolder, M_.fname);
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npar=size(record.LastParameters,2);
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% Get the list of files where the mcmc draw are saved.
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mh_files = dir([ MetropolisFolder ,filesep, M_.fname '_mh*.mat' ]);
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@ -1,22 +1,23 @@
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function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, blck)
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% function Draws = GetAllPosteriorDraws(column,FirstMhFile,FirstLine,TotalNumberOfMhFile,NumberOfDraws)
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function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, nblcks, blck)
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% function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, nblcks, blck)
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% Gets all posterior draws
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%
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% INPUTS
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% column: column
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% column: column of desired parameter in draw matrix
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% FirstMhFile: first mh file
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% FirstLine: first line
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% TotalNumberOfMhFile: total number of mh file
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% NumberOfDraws: number of draws
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% nblcks: total number of blocks
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% blck: desired block to read
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%
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% OUTPUTS
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% Draws: draws from posterior distribution
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2005-2017 Dynare Team
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% Copyright © 2005-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -33,19 +34,17 @@ function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumbe
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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global M_ options_
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nblck = options_.mh_nblck;
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global M_
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iline = FirstLine;
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linee = 1;
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DirectoryName = CheckPath('metropolis',M_.dname);
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if nblck>1 && nargin<6
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Draws = zeros(NumberOfDraws*nblck,1);
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if nblcks>1 && nargin<7
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Draws = zeros(NumberOfDraws*nblcks,1);
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iline0=iline;
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if column>0
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for blck = 1:nblck
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for blck = 1:nblcks
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2')
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@ -56,7 +55,7 @@ if nblck>1 && nargin<6
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end
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end
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else
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for blck = 1:nblck
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for blck = 1:nblcks
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'logpo2')
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@ -68,7 +67,7 @@ if nblck>1 && nargin<6
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end
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end
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else
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if nblck==1
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if nblcks==1
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blck=1;
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end
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if column>0
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@ -1,6 +1,20 @@
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function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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function [mean,variance] = GetPosteriorMeanVariance(M_,drop)
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%function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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% Computes the posterior mean and variance
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% (+updates of oo_ & TeX output).
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%
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% INPUTS
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% M_ [structure] Dynare model structure
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% drop [double] share of draws to drop
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%
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% OUTPUTS
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% mean [double] mean parameter vector
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% variance [double] variance
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright © 2012-2017 Dynare Team
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% Copyright © 2012-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -17,10 +31,10 @@ function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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MetropolisFolder = CheckPath('metropolis',M.dname);
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FileName = M.fname;
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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FileName = M_.fname;
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BaseName = [MetropolisFolder filesep FileName];
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load_last_mh_history_file(MetropolisFolder, FileName);
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record=load_last_mh_history_file(MetropolisFolder, FileName);
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NbrDraws = sum(record.MhDraws(:,1));
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NbrFiles = sum(record.MhDraws(:,2));
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NbrBlocks = record.Nblck;
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@ -1,22 +1,23 @@
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function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
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% function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
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% This function prints and saves posterior estimates after the mcmc
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% (+updates of oo_ & TeX output).
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%
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% INPUTS
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% estim_params_ [structure]
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% M_ [structure]
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% options_ [structure]
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% bayestopt_ [structure]
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% oo_ [structure]
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% pnames [cell] cell of strings, names of the prior shapes available
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% estim_params_ [structure] Dynare estimation parameter structure
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% M_ [structure] Dynare model structure
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% options_ [structure] Dynare options structure
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% bayestopt_ [structure] Dynare structure describing priors
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% oo_ [structure] Dynare results structure
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% pnames [cell] cell of strings, names of the prior shapes available
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%
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% OUTPUTS
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% oo_ [structure]
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% oo_ [structure] Dynare results structure
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright © 2006-2018 Dynare Team
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% Copyright © 2006-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -38,26 +39,24 @@ function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bay
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%end
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TeX = options_.TeX;
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nblck = options_.mh_nblck;
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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nx = nvx+nvn+ncx+ncn+np;
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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OutputFolder = CheckPath('Output',M_.dname);
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FileName = M_.fname;
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load_last_mh_history_file(MetropolisFolder,FileName);
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record=load_last_mh_history_file(MetropolisFolder,FileName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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mh_nblck = size(record.LastParameters,1);
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clear record;
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header_width = row_header_width(M_, estim_params_, bayestopt_);
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@ -69,14 +68,12 @@ skipline(2)
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disp('ESTIMATION RESULTS')
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skipline()
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try
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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catch
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[marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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if ~isfield(oo_,'MarginalDensity') || ~isfield(oo_.MarginalDensity,'ModifiedHarmonicMean')
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[~,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
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end
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fprintf('\nLog data density is %f.\n', oo_.MarginalDensity.ModifiedHarmonicMean);
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num_draws=NumberOfDraws*options_.mh_nblck;
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num_draws=NumberOfDraws*mh_nblck;
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hpd_draws = round((1-options_.mh_conf_sig)*num_draws);
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if hpd_draws<2
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@ -97,7 +94,7 @@ if np
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ip = nvx+nvn+ncx+ncn+1;
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for i=1:np
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = bayestopt_.name{ip};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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@ -106,7 +103,7 @@ if np
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name = bayestopt_.name{ip};
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = bayestopt_.name{ip};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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@ -140,7 +137,7 @@ if nvx
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disp(tit2)
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for i=1:nvx
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k = estim_params_.var_exo(i,1);
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name = M_.exo_names{k};
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@ -152,7 +149,7 @@ if nvx
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name = M_.exo_names{k};
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
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posterior_moments(Draws, 1, options_.mh_conf_sig);
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k = estim_params_.var_exo(i,1);
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@ -184,7 +181,7 @@ if nvn
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ip = nvx+1;
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for i=1:nvn
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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@ -193,7 +190,7 @@ if nvn
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
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catch
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
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@ -223,7 +220,7 @@ if ncx
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ip = nvx+nvn+1;
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for i=1:ncx
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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k1 = estim_params_.corrx(i,1);
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k2 = estim_params_.corrx(i,2);
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@ -240,7 +237,7 @@ if ncx
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NAME = sprintf('%s_%s', M_.exo_names{k1}, M_.exo_names{k2});
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[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k1 = estim_params_.corrx(i,1);
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k2 = estim_params_.corrx(i,2);
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@ -273,7 +270,7 @@ if ncn
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ip = nvx+nvn+ncx+1;
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for i=1:ncn
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k1 = estim_params_.corrn(i,1);
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k2 = estim_params_.corrn(i,2);
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@ -288,7 +285,7 @@ if ncn
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NAME = sprintf('%s_%s', M_.endo_names{k1}, M_.endo_names{k2});
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[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k1 = estim_params_.corrn(i,1);
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k2 = estim_params_.corrn(i,2);
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@ -15,7 +15,7 @@ function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright © 2006-2017 Dynare Team
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% Copyright © 2006-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -32,27 +32,20 @@ function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at
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% You should have received a copy of the GNU General Public License
|
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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global M_ options_ estim_params_ bayestopt_
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n = estim_params_.np + ...
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estim_params_.nvn+ ...
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estim_params_.ncx+ ...
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estim_params_.ncn+ ...
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estim_params_.nvx;
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nblck = options_.mh_nblck;
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global M_ bayestopt_
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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ModelName = M_.fname;
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BaseName = [MetropolisFolder filesep ModelName];
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load_last_mh_history_file(MetropolisFolder, ModelName);
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record=load_last_mh_history_file(MetropolisFolder, ModelName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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[nblck, n] = size(record.LastParameters);
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posterior_kernel_at_the_mode = -Inf;
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posterior_mean = zeros(n,1);
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posterior_mode = NaN(n,1);
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@ -1,11 +1,12 @@
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|||
function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
||||
% function McMCDiagnostics
|
||||
% function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
||||
% Computes convergence tests
|
||||
%
|
||||
% INPUTS
|
||||
% options_ [structure]
|
||||
% estim_params_ [structure]
|
||||
% M_ [structure]
|
||||
% options_ [structure] Dynare options structure
|
||||
% estim_params_ [structure] Dynare estimation parameter structure
|
||||
% M_ [structure] Dynare model structure
|
||||
% oo_ [structure] Dynare results structure
|
||||
%
|
||||
% OUTPUTS
|
||||
% oo_ [structure]
|
||||
|
|
@ -16,7 +17,7 @@ function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
|||
% PARALLEL CONTEXT
|
||||
% See the comment in posterior_sampler.m funtion.
|
||||
|
||||
% Copyright © 2005-2018 Dynare Team
|
||||
% Copyright © 2005-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -38,25 +39,12 @@ MetropolisFolder = CheckPath('metropolis',M_.dname);
|
|||
ModelName = M_.fname;
|
||||
|
||||
TeX = options_.TeX;
|
||||
nblck = options_.mh_nblck;
|
||||
npar = estim_params_.nvx;
|
||||
npar = npar + estim_params_.nvn;
|
||||
npar = npar + estim_params_.ncx;
|
||||
npar = npar + estim_params_.ncn;
|
||||
npar = npar + estim_params_.np ;
|
||||
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
|
||||
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
NumberOfMcFilesPerBlock = record.LastFileNumber;
|
||||
[nblck, npar] = size(record.LastParameters);
|
||||
npardisp = options_.convergence.brooksgelman.plotrows;
|
||||
|
||||
% Check that the declared number of blocks is consistent with informations saved in mh-history files.
|
||||
if ~isequal(nblck,record.Nblck)
|
||||
disp(['Estimation::mcmc::diagnostics: The number of MCMC chains you declared (' num2str(nblck) ') is inconsistent with the information available in the mh-history files (' num2str(record.Nblck) ' chains)!'])
|
||||
disp([' I reset the number of MCMC chains to ' num2str(record.Nblck) '.'])
|
||||
nblck = record.Nblck;
|
||||
end
|
||||
|
||||
% check if all the mh files are available.
|
||||
issue_an_error_message = 0;
|
||||
for b = 1:nblck
|
||||
|
|
@ -71,7 +59,6 @@ if issue_an_error_message
|
|||
end
|
||||
|
||||
% compute inefficiency factor
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
|
|
@ -81,6 +68,7 @@ NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws
|
|||
param_name = {};
|
||||
param_name_tex = {};
|
||||
|
||||
Ifac=NaN(nblck,npar);
|
||||
for jj = 1:npar
|
||||
if options_.TeX
|
||||
[par_name_temp, par_name_tex_temp] = get_the_name(jj, options_.TeX, M_,estim_params_, options_);
|
||||
|
|
@ -91,7 +79,7 @@ for jj = 1:npar
|
|||
par_name_temp = get_the_name(jj, options_.TeX, M_, estim_params_, options_);
|
||||
param_name = vertcat(param_name, par_name_temp);
|
||||
end
|
||||
Draws = GetAllPosteriorDraws(jj, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
||||
Draws = GetAllPosteriorDraws(jj, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||
Draws = reshape(Draws, [NumberOfDraws nblck]);
|
||||
Nc = min(1000, NumberOfDraws/2);
|
||||
for ll = 1:nblck
|
||||
|
|
@ -120,8 +108,6 @@ update_last_mh_history_file(MetropolisFolder, ModelName, record);
|
|||
|
||||
|
||||
PastDraws = sum(record.MhDraws,1);
|
||||
LastFileNumber = PastDraws(2);
|
||||
LastLineNumber = record.MhDraws(end,3);
|
||||
NumberOfDraws = PastDraws(1);
|
||||
|
||||
if NumberOfDraws<=2000
|
||||
|
|
@ -230,8 +216,6 @@ ALPHA = 0.2; % increase too much with the number
|
|||
time = 1:NumberOfDraws;
|
||||
xx = Origin:StepSize:NumberOfDraws;
|
||||
NumberOfLines = length(xx);
|
||||
tmp = zeros(NumberOfDraws*nblck,3);
|
||||
UDIAG = zeros(NumberOfLines,6,npar);
|
||||
|
||||
if NumberOfDraws < Origin
|
||||
disp('Estimation::mcmc::diagnostics: The number of simulations is too small to compute the MCMC convergence diagnostics.')
|
||||
|
|
@ -269,7 +253,6 @@ if isnumeric(options_.parallel)
|
|||
clear fout
|
||||
% Parallel execution!
|
||||
else
|
||||
ModelName = ModelName;
|
||||
if ~isempty(M_.bvar)
|
||||
ModelName = [ModelName '_bvar'];
|
||||
end
|
||||
|
|
@ -404,7 +387,7 @@ if reste
|
|||
fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(pages+1));
|
||||
fprintf(fidTeX,'\\end{figure}\n');
|
||||
fprintf(fidTeX,'\n');
|
||||
fprintf(fidTeX,'% End Of TeX file.');
|
||||
fprintf(fidTeX,'%% End Of TeX file.');
|
||||
fclose(fidTeX);
|
||||
end
|
||||
end % if reste > 0
|
||||
|
|
|
|||
|
|
@ -11,7 +11,7 @@ function generate_trace_plots(chain_number)
|
|||
% SPECIAL REQUIREMENTS
|
||||
% none
|
||||
|
||||
% Copyright © 2016-2018 Dynare Team
|
||||
% Copyright © 2016-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -33,7 +33,7 @@ global M_ options_ estim_params_
|
|||
|
||||
% Get informations about the posterior draws:
|
||||
MetropolisFolder = CheckPath('metropolis', M_.dname);
|
||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
if chain_number>record.Nblck
|
||||
error('generate_trace_plots:: chain number is bigger than existing number of chains')
|
||||
end
|
||||
|
|
|
|||
|
|
@ -1,4 +1,5 @@
|
|||
function [mhname,info] = get_name_of_the_last_mh_file(M_)
|
||||
% function [mhname,info] = get_name_of_the_last_mh_file(M_)
|
||||
% This function returns the name of the last mh file and test if the metropolis was completed.
|
||||
%
|
||||
% INPUTS
|
||||
|
|
@ -11,7 +12,7 @@ function [mhname,info] = get_name_of_the_last_mh_file(M_)
|
|||
% file. Otherwise info is equal to zero (a likely reason for this is
|
||||
% that the mcmc simulations were not completed).
|
||||
|
||||
% Copyright © 2008-2017 Dynare Team
|
||||
% Copyright © 2008-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -28,14 +29,13 @@ function [mhname,info] = get_name_of_the_last_mh_file(M_)
|
|||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
mhname = [];
|
||||
info = 1;
|
||||
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
ModelName = M_.fname;
|
||||
BaseName = [MetropolisFolder filesep ModelName];
|
||||
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
|
||||
mh_number = record.LastFileNumber ;
|
||||
bk_number = record.Nblck ;
|
||||
|
|
|
|||
|
|
@ -1,21 +1,21 @@
|
|||
function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
|
||||
% function marginal = marginal_density()
|
||||
% function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
|
||||
% Computes the marginal density
|
||||
%
|
||||
% INPUTS
|
||||
% options_ [structure]
|
||||
% estim_params_ [structure]
|
||||
% M_ [structure]
|
||||
% oo_ [structure]
|
||||
% options_ [structure] Dynare options structure
|
||||
% estim_params_ [structure] Dynare estimation parameter structure
|
||||
% M_ [structure] Dynare model structure
|
||||
% oo_ [structure] Dynare results structure
|
||||
%
|
||||
% OUTPUTS
|
||||
% marginal: [double] marginal density (modified harmonic mean)
|
||||
% oo_ [structure]
|
||||
% marginal: [double] marginal density (modified harmonic mean)
|
||||
% oo_ [structure] Dynare results structure
|
||||
%
|
||||
% SPECIAL REQUIREMENTS
|
||||
% none
|
||||
|
||||
% Copyright © 2005-2018 Dynare Team
|
||||
% Copyright © 2005-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -33,20 +33,18 @@ function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bay
|
|||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
|
||||
npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
|
||||
nblck = options_.mh_nblck;
|
||||
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
ModelName = M_.fname;
|
||||
BaseName = [MetropolisFolder filesep ModelName];
|
||||
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
|
||||
[nblck, npar] = size(record.LastParameters);
|
||||
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
|
||||
TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||
|
||||
fprintf('Estimation::marginal density: I''m computing the posterior mean and covariance... ');
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
|
||||
% function [xparams, logpost]=metropolis_draw(init)
|
||||
% function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
|
||||
% Builds draws from metropolis
|
||||
%
|
||||
% INPUTS:
|
||||
|
|
@ -24,7 +24,7 @@ function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params
|
|||
%
|
||||
% Requires CutSample to be run before in order to set up mh_history-file
|
||||
|
||||
% Copyright © 2003-2017 Dynare Team
|
||||
% Copyright © 2003-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -59,11 +59,9 @@ if init
|
|||
FileName = M_.fname;
|
||||
BaseName = [MetropolisFolder filesep FileName];
|
||||
%load mh_history-file with info on what to load
|
||||
load_last_mh_history_file(MetropolisFolder, FileName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, FileName);
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
LastMhFile = TotalNumberOfMhFiles;
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8); %number of parameters plus posterior plus ?
|
||||
|
|
|
|||
|
|
@ -18,7 +18,7 @@ function mh_autocorrelation_function(options_,M_,estim_params_,type,blck,name1,n
|
|||
%
|
||||
% SPECIAL REQUIREMENTS
|
||||
|
||||
% Copyright © 2003-2017 Dynare Team
|
||||
% Copyright © 2003-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -48,17 +48,19 @@ end
|
|||
|
||||
% Get informations about the posterior draws:
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||
nblck = size(record.LastParameters,1);
|
||||
|
||||
clear record;
|
||||
|
||||
% Get all the posterior draws:
|
||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, blck);
|
||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck, blck);
|
||||
|
||||
% Compute the autocorrelation function:
|
||||
[autocov,autocor] = sample_autocovariance(PosteriorDraws,options_.mh_autocorrelation_function_size);
|
||||
|
|
|
|||
|
|
@ -3,21 +3,20 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
|
|||
% Random Walk Metropolis-Hastings algorithm.
|
||||
%
|
||||
% 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
|
||||
% 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
|
||||
% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
|
||||
% o dataset_ [structure] data structure
|
||||
% o dataset_info [structure] dataset info structure
|
||||
% o options_ [structure] options structure
|
||||
% o M_ [structure] model structure
|
||||
% o estim_params_ [structure] estimated parameters structure
|
||||
% o bayestopt_ [structure] prior specification structure
|
||||
% o oo_ [structure] output structure
|
||||
%
|
||||
% SPECIAL REQUIREMENTS
|
||||
% None.
|
||||
|
|
@ -37,7 +36,7 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
|
|||
% Then the comments write here can be used for all the other pairs of
|
||||
% parallel functions and also for management functions.
|
||||
|
||||
% Copyright © 2006-2017 Dynare Team
|
||||
% Copyright © 2006-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -62,7 +61,7 @@ vv = sampler_options.invhess;
|
|||
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
|
||||
|
||||
% Load last mh history file
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
|
||||
% Only for test parallel results!!!
|
||||
|
||||
|
|
|
|||
|
|
@ -58,16 +58,9 @@ function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npa
|
|||
%Initialize outputs
|
||||
ix2 = [];
|
||||
ilogpo2 = [];
|
||||
ModelName = [];
|
||||
MetropolisFolder = [];
|
||||
FirstBlock = [];
|
||||
FirstLine = [];
|
||||
npar = [];
|
||||
NumberOfBlocks = [];
|
||||
nruns = [];
|
||||
NewFile = [];
|
||||
MAX_nruns = [];
|
||||
d = [];
|
||||
|
||||
ModelName = M_.fname;
|
||||
if ~isempty(M_.bvar)
|
||||
|
|
@ -171,7 +164,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
else
|
||||
bayestopt0 = load([PreviousFolder0 filesep 'prior' filesep 'definition.mat']);
|
||||
end
|
||||
[common_parameters,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
|
||||
[~,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
|
||||
new_estimated_parameters = ~ismember(bayestopt_.name,bayestopt0.bayestopt_.name);
|
||||
ix2 = zeros(NumberOfBlocks,npar);
|
||||
ilogpo2 = zeros(NumberOfBlocks,1);
|
||||
|
|
@ -340,7 +333,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
elseif options_.load_mh_file && ~options_.mh_recover
|
||||
% Here we consider previous mh files (previous mh did not crash).
|
||||
disp('Estimation::mcmc: I am loading past Metropolis-Hastings simulations...')
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
if ~isnan(record.MCMCConcludedSuccessfully) && ~record.MCMCConcludedSuccessfully
|
||||
error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
|
||||
end
|
||||
|
|
@ -400,7 +393,7 @@ elseif options_.load_mh_file && ~options_.mh_recover
|
|||
elseif options_.mh_recover
|
||||
% The previous metropolis-hastings crashed before the end! I try to recover the saved draws...
|
||||
disp('Estimation::mcmc: Recover mode!')
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
NumberOfBlocks = record.Nblck;% Number of "parallel" mcmc chains.
|
||||
options_.mh_nblck = NumberOfBlocks;
|
||||
|
||||
|
|
|
|||
|
|
@ -1,6 +1,5 @@
|
|||
function prior_posterior_statistics(type,dataset,dataset_info)
|
||||
|
||||
% function prior_posterior_statistics(type,dataset)
|
||||
% function prior_posterior_statistics(type,dataset,dataset_info)
|
||||
% Computes Monte Carlo filter smoother and forecasts
|
||||
%
|
||||
% INPUTS
|
||||
|
|
@ -8,6 +7,7 @@ function prior_posterior_statistics(type,dataset,dataset_info)
|
|||
% prior
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% gsa
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% dataset: data structure
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% dataset_info: dataset structure
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%
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% OUTPUTS
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% none
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||||
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|
@ -19,7 +19,7 @@ function prior_posterior_statistics(type,dataset,dataset_info)
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% See the comments in the posterior_sampler.m funtion.
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||||
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||||
|
||||
% Copyright © 2005-2020 Dynare Team
|
||||
% Copyright © 2005-2023 Dynare Team
|
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%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
@ -208,20 +208,19 @@ localVars.ifil=ifil;
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localVars.DirectoryName = DirectoryName;
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if strcmpi(type,'posterior')
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BaseName = [DirectoryName filesep M_.fname];
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load_last_mh_history_file(DirectoryName, M_.fname);
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||||
record=load_last_mh_history_file(DirectoryName, M_.fname);
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||||
[nblck, npar] = size(record.LastParameters);
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||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
LastMhFile = TotalNumberOfMhFiles;
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||
mh_nblck = options_.mh_nblck;
|
||||
if B==NumberOfDraws*mh_nblck
|
||||
% we load all retained MH runs !
|
||||
logpost=GetAllPosteriorDraws(0, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
||||
logpost=GetAllPosteriorDraws(0, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||
for column=1:npar
|
||||
x(:,column) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
||||
x(:,column) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||
end
|
||||
else
|
||||
logpost=NaN(B,1);
|
||||
|
|
@ -317,9 +316,9 @@ if strcmpi(type,'gsa')
|
|||
return
|
||||
end
|
||||
|
||||
if ~isnumeric(options_.parallel),
|
||||
if ~isnumeric(options_.parallel)
|
||||
leaveSlaveOpen = options_.parallel_info.leaveSlaveOpen;
|
||||
if options_.parallel_info.leaveSlaveOpen == 0,
|
||||
if options_.parallel_info.leaveSlaveOpen == 0
|
||||
% Commenting for testing!!!
|
||||
options_.parallel_info.leaveSlaveOpen = 1; % Force locally to leave open remote matlab sessions (repeated pm3 calls)
|
||||
end
|
||||
|
|
|
|||
|
|
@ -67,7 +67,7 @@ ModelName = M_.fname;
|
|||
BaseName = [MetropolisFolder filesep ModelName];
|
||||
|
||||
% Get informations about the mcmc:
|
||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
|
|
|
|||
|
|
@ -53,16 +53,17 @@ end
|
|||
|
||||
% Get informations about the posterior draws:
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||
|
||||
FirstMhFile = 1;
|
||||
FirstLine = 1;
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||
[mh_nblck] = size(record.LastParameters,2);
|
||||
clear record;
|
||||
|
||||
% Get all the posterior draws:
|
||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, blck);
|
||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
|
||||
|
||||
|
||||
% Plot the posterior draws:
|
||||
|
|
|
|||
Loading…
Reference in New Issue