Parallelized version with main and core routine.
1) Contains a trap such that for unix systems no parallel computation is done, for the moment. 2) _core routine uses and stores independent seeds for each chain; 3) Seeds for each chain are stored in record. 4) when no parallel option is chosen, usual serial functionality is kept. git-svn-id: https://www.dynare.org/svn/dynare/trunk@2676 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
ratto
parent
c8329915b2
commit
7243a36938
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@ -36,126 +36,83 @@ function random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bou
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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 <http://www.gnu.org/licenses/>.
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global M_ options_ bayestopt_
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global M_ options_ bayestopt_ estim_params_ oo_
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%%%%
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%%%% Initialization of the random walk metropolis-hastings chains.
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%%%%
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[ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
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metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin{:});
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options_.lik_algo = 1;
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OpenOldFile = ones(nblck,1);
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if strcmpi(ProposalFun,'rand_multivariate_normal')
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n = npar;
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elseif strcmpi(ProposalFun,'rand_multivariate_student')
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n = options_.student_degrees_of_freedom;
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end
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load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
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%%%%
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%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
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%%%%
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InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
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jscale = diag(bayestopt_.jscale);
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for b = fblck:nblck
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if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
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load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
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'_blck' int2str(b) '.mat'])
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x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
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logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
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OpenOldFile(b) = 0;
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else
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
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localVars = struct('TargetFun', TargetFun, ...
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'ProposalFun', ProposalFun, ...
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'xparam1', xparam1, ...
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'vv', vv, ...
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'mh_bounds', mh_bounds, ...
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'ix2', ix2, ...
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'ilogpo2', ilogpo2, ...
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'ModelName', ModelName, ...
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'fline', fline, ...
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'npar', npar, ...
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'nruns', nruns, ...
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'NewFile', NewFile, ...
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'MAX_nruns', MAX_nruns, ...
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'd', d);
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localVars.InitSizeArray=InitSizeArray;
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localVars.record=record;
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localVars.varargin=varargin;
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tic,
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if isnumeric(options_.parallel) | isunix, % for the moment exclude unix platform from parallel implementation
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fout = random_walk_metropolis_hastings_core(localVars, fblck, nblck, 0);
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record = fout.record;
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else
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% global variables for parallel routines
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globalVars = struct('M_',M_, ...
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'options_', options_, ...
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'bayestopt_', bayestopt_, ...
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'estim_params_', estim_params_, ...
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'oo_', oo_);
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% which files have to be copied to run remotely
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NamFileInput(1,:) = {'',[ModelName '_static.m']};
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NamFileInput(2,:) = {'',[ModelName '_dynamic.m']};
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if options_.steadystate_flag,
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NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_steadystate.m']};
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end
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if exist('OCTAVE_VERSION')
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diary off;
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else
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hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(nblck) ')...']);
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set(hh,'Name','Metropolis-Hastings');
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if (options_.load_mh_file~=0) & any(fline>1) ,
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NamFileInput(length(NamFileInput)+1,:)={[M_.dname '\metropolis\'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']};
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end
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isux = 0;
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jsux = 0;
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irun = fline(b);
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j = 1;
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while j <= nruns(b)
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par = feval(ProposalFun, ix2(b,:), d * jscale, n);
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if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
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logpost = - feval(TargetFun, par(:), varargin{:});
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else
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logpost = -inf;
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end
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if (logpost > -inf) & (log(rand) < logpost-ilogpo2(b))
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x2(irun,:) = par;
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ix2(b,:) = par;
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logpo2(irun) = logpost;
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ilogpo2(b) = logpost;
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isux = isux + 1;
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jsux = jsux + 1;
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else
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x2(irun,:) = ix2(b,:);
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logpo2(irun) = ilogpo2(b);
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end
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prtfrc = j/nruns(b);
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if exist('OCTAVE_VERSION')
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if mod(j, 10) == 0
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printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
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end
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else
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waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
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end
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if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
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save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
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fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
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fprintf(fidlog,['\n']);
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fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
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fprintf(fidlog,' \n');
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fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
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fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
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fprintf(fidlog,[' Posterior mean........:\n']);
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
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fprintf(fidlog,[' Minimum value.........:\n']);;
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
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fprintf(fidlog,[' Maximum value.........:\n']);
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
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fprintf(fidlog,' \n');
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fclose(fidlog);
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jsux = 0;
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if j == nruns(b) % I record the last draw...
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record.LastParameters(b,:) = x2(end,:);
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record.LastLogLiK(b) = logpo2(end);
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end
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% size of next file in chain b
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InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
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% initialization of next file if necessary
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if InitSizeArray(b)
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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NewFile(b) = NewFile(b) + 1;
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irun = 0;
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end
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end
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j=j+1;
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irun = irun + 1;
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end% End of the simulations for one mh-block.
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record.AcceptationRates(b) = isux/j;
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if exist('OCTAVE_VERSION')
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printf('\n');
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diary on;
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else
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close(hh);
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% from where to get back results
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% NamFileOutput(1,:) = {[M_.dname,'\metropolis\'],'*.*'};
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[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, fblck, nblck,NamFileInput,'random_walk_metropolis_hastings_core', localVars, globalVars);
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for j=1:totCPU,
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offset = sum(nBlockPerCPU(1:j-1))+fblck-1;
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record.LastLogLiK(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastLogLiK(offset+1:sum(nBlockPerCPU(1:j)));
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record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:)=fout(j).record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:);
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record.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j)));
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record.Seeds(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.Seeds(offset+1:sum(nBlockPerCPU(1:j)));
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end
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end% End of the loop over the mh-blocks.
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record.Seeds.Normal = randn('state');
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record.Seeds.Unifor = rand('state');
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end
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irun = fout(1).irun;
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NewFile = fout(1).NewFile;
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ComptationalTime=toc,
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% record.Seeds.Normal = randn('state');
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% record.Seeds.Unifor = rand('state');
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save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
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disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
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disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])
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@ -0,0 +1,154 @@
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function [myoutput, OutputFileName] = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab)
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if nargin<4,
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whoiam=0;
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end
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global bayestopt_ estim_params_ options_ M_ oo_
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struct2local(myinputs);
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MhDirectoryName = CheckPath('metropolis');
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options_.lik_algo = 1;
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OpenOldFile = ones(nblck,1);
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if strcmpi(ProposalFun,'rand_multivariate_normal')
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n = npar;
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elseif strcmpi(ProposalFun,'rand_multivariate_student')
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n = options_.student_degrees_of_freedom;
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end
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% load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
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%%%%
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%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
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%%%%
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jscale = diag(bayestopt_.jscale);
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jloop=0;
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for b = fblck:nblck,
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jloop=jloop+1;
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randn('state',record.Seeds(b).Normal);
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rand('state',record.Seeds(b).Unifor);
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if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
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load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
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'_blck' int2str(b) '.mat'])
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x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
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logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
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OpenOldFile(b) = 0;
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else
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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end
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if exist('OCTAVE_VERSION')
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diary off;
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elseif ~whoiam
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hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
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set(hh,'Name','Metropolis-Hastings');
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elseif whoiam
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% keyboard;
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waitbarString = ['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...'];
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waitbarTitle=['Metropolis-Hastings ',options_.parallel(ThisMatlab).PcName];
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fMessageStatus(0,b,waitbarString, waitbarTitle, options_.parallel(ThisMatlab).Local, MasterName, DyMo);
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end
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isux = 0;
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jsux = 0;
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irun = fline(b);
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j = 1;
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while j <= nruns(b)
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par = feval(ProposalFun, ix2(b,:), d * jscale, n);
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if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
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logpost = - feval(TargetFun, par(:),varargin{:});
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else
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logpost = -inf;
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end
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if (logpost > -inf) & (log(rand) < logpost-ilogpo2(b))
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x2(irun,:) = par;
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ix2(b,:) = par;
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logpo2(irun) = logpost;
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ilogpo2(b) = logpost;
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isux = isux + 1;
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jsux = jsux + 1;
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else
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x2(irun,:) = ix2(b,:);
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logpo2(irun) = ilogpo2(b);
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end
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prtfrc = j/nruns(b);
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if exist('OCTAVE_VERSION')
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if mod(j, 10) == 0 & ~whoiam
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printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
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end
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else
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if mod(j, 3)==0 & ~whoiam
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waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
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elseif mod(j,50)==0 & whoiam,
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% keyboard;
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waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)];
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fMessageStatus(prtfrc,b,waitbarString, waitbarTitle, options_.parallel(ThisMatlab).Local, MasterName, DyMo)
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end
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end
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if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
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save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
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fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
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fprintf(fidlog,['\n']);
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fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
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fprintf(fidlog,' \n');
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fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
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fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
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fprintf(fidlog,[' Posterior mean........:\n']);
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
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fprintf(fidlog,[' Minimum value.........:\n']);;
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
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fprintf(fidlog,[' Maximum value.........:\n']);
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for i=1:length(x2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
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end
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fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
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fprintf(fidlog,' \n');
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fclose(fidlog);
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jsux = 0;
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if j == nruns(b) % I record the last draw...
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record.LastParameters(b,:) = x2(end,:);
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record.LastLogLiK(b) = logpo2(end);
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end
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% size of next file in chain b
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InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
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% initialization of next file if necessary
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if InitSizeArray(b)
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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NewFile(b) = NewFile(b) + 1;
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irun = 0;
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end
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end
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j=j+1;
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irun = irun + 1;
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end% End of the simulations for one mh-block.
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record.AcceptationRates(b) = isux/j;
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if exist('OCTAVE_VERSION')
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printf('\n');
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diary on;
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elseif ~whoiam
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close(hh);
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end
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record.Seeds(b).Normal = randn('state');
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record.Seeds(b).Unifor = rand('state');
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OutputFileName(jloop,:) = {[MhDirectoryName,'\'], [ModelName '_mh*_blck' int2str(b) '.mat']};
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end% End of the loop over the mh-blocks.
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myoutput.record = record;
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myoutput.irun = irun;
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myoutput.NewFile = NewFile;
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