From 567c5bcb1faa2c12dd8cd0fea298a658ed131788 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Karaba=29?=
 <stephane.adjemian@ens.fr>
Date: Mon, 18 Oct 2010 14:39:48 +0200
Subject: [PATCH] Fixed bug in the initialization of the metropolis when
 mode_compute=6 was previously used (so that we have an optimal mh scale
 factor) and option load_mh_file is used. After the (stochastic) optimization,
 the optimal value of the scale parameter is saved in a mat file.

---
 matlab/dynare_estimation_1.m                  |  7 +++++++
 matlab/independent_metropolis_hastings.m      |  3 +++
 matlab/independent_metropolis_hastings_core.m | 11 ++++++++++-
 matlab/random_walk_metropolis_hastings.m      |  3 +++
 matlab/random_walk_metropolis_hastings_core.m | 13 ++++++++++++-
 5 files changed, 35 insertions(+), 2 deletions(-)

diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index e4830a659..6acce4d83 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -389,6 +389,12 @@ if options_.mode_compute == 0 && length(options_.mode_file) == 0 && options_.mh_
     return;
 end
 
+if options_.mode_compute>0 || options_.mode_compute==6
+    % Erase previously computed optimal mh scale parameter.
+    delete([M_.fname '_optimal_mh_scale_parameter.mat'])
+end
+
+
 %% Estimation of the posterior mode or likelihood mode
 if options_.mode_compute > 0 && ~options_.mh_posterior_mode_estimation
     if ~options_.dsge_var
@@ -550,6 +556,7 @@ if options_.mode_compute > 0 && ~options_.mh_posterior_mode_estimation
             end
             hh = inv(PostVar);
             save([M_.fname '_mode.mat'],'xparam1','hh');
+            save([M_.fname '_optimal_mh_scale_parameter.mat'],'Scale');
             bayestopt_.jscale = ones(length(xparam1),1)*Scale;%??!
         end    
       case 7
diff --git a/matlab/independent_metropolis_hastings.m b/matlab/independent_metropolis_hastings.m
index 815337ba7..4627591c4 100644
--- a/matlab/independent_metropolis_hastings.m
+++ b/matlab/independent_metropolis_hastings.m
@@ -94,6 +94,9 @@ else
     if (options_.load_mh_file~=0)  & any(fline>1) ,
         NamFileInput(length(NamFileInput)+1,:)={[M_.dname '/metropolis/'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']};
     end
+    if exist([ModelName '_optimal_mh_scale_parameter.mat'])
+        NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_optimal_mh_scale_parameter.mat']};
+    end
     
     % from where to get back results
     %     NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'};
diff --git a/matlab/independent_metropolis_hastings_core.m b/matlab/independent_metropolis_hastings_core.m
index f99e71e95..6b96edb8c 100644
--- a/matlab/independent_metropolis_hastings_core.m
+++ b/matlab/independent_metropolis_hastings_core.m
@@ -88,7 +88,16 @@ end
 %%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
 %%%%
 
-proposal_covariance = d * diag(bayestopt_.jscale);
+if any(isnan(bayestopt_.jscale))
+    if exist([ModelName '_optimal_mh_scale_parameter.mat'])% This file is created by mode_compute=6.
+        load([ModelName '_optimal_mh_scale_parameter'])
+        proposal_covariance = d*Scale;
+    else
+        error('mh:: Something is wrong. I can''t figure out the value of the scale parameter.')
+    end
+else
+    proposal_covariance = d*diag(bayestopt_.jscale);
+end
 
 jloop=0;
 
diff --git a/matlab/random_walk_metropolis_hastings.m b/matlab/random_walk_metropolis_hastings.m
index 1c6804235..69d14710a 100644
--- a/matlab/random_walk_metropolis_hastings.m
+++ b/matlab/random_walk_metropolis_hastings.m
@@ -113,6 +113,9 @@ else
     if (options_.load_mh_file~=0)  & any(fline>1) ,
         NamFileInput(length(NamFileInput)+1,:)={[M_.dname '/metropolis/'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']};
     end
+    if exist([ModelName '_optimal_mh_scale_parameter.mat'])
+        NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_optimal_mh_scale_parameter.mat']};
+    end
     
     % from where to get back results
     %     NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'};
diff --git a/matlab/random_walk_metropolis_hastings_core.m b/matlab/random_walk_metropolis_hastings_core.m
index 9198601b7..2ce118d86 100644
--- a/matlab/random_walk_metropolis_hastings_core.m
+++ b/matlab/random_walk_metropolis_hastings_core.m
@@ -119,7 +119,18 @@ end
 %%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
 %%%%
 
-proposal_covariance = d*diag(bayestopt_.jscale);
+
+if any(isnan(bayestopt_.jscale))
+    if exist([ModelName '_optimal_mh_scale_parameter.mat'])% This file is created by mode_compute=6.
+        load([ModelName '_optimal_mh_scale_parameter'])
+        proposal_covariance = d*Scale;
+    else
+        error('mh:: Something is wrong. I can''t figure out the value of the scale parameter.')
+    end
+else
+    proposal_covariance = d*diag(bayestopt_.jscale);
+end
+
 
 jloop=0;