Merge pull request #1362 from JohannesPfeifer/MCMC_jumping_covariance
Moving loading of MCMC_jumping_covariance to after display of standar…time-shift
commit
77a93d6ff9
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@ -263,35 +263,6 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
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end
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end
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end
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end
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switch options_.MCMC_jumping_covariance
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case 'hessian' %Baseline
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%do nothing and use hessian from mode_compute
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case 'prior_variance' %Use prior variance
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if any(isinf(bayestopt_.p2))
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error('Infinite prior variances detected. You cannot use the prior variances as the proposal density, if some variances are Inf.')
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else
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hh = diag(1./(bayestopt_.p2.^2));
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end
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case 'identity_matrix' %Use identity
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hh = eye(nx);
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otherwise %user specified matrix in file
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try
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load(options_.MCMC_jumping_covariance,'jumping_covariance')
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hh=jumping_covariance;
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catch
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error(['No matrix named ''jumping_covariance'' could be found in ',options_.MCMC_jumping_covariance,'.mat'])
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end
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[nrow, ncol]=size(hh);
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if ~isequal(nrow,ncol) && ~isequal(nrow,nx) %check if square and right size
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error(['jumping_covariance matrix must be square and have ',num2str(nx),' rows and columns'])
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end
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try %check for positive definiteness
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chol(hh);
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catch
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error(['Specified jumping_covariance is not positive definite'])
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end
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end
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if ~options_.mh_posterior_mode_estimation && options_.cova_compute
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if ~options_.mh_posterior_mode_estimation && options_.cova_compute
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try
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try
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chol(hh);
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chol(hh);
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@ -393,6 +364,39 @@ if np > 0
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save([M_.fname '_params.mat'],'pindx');
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save([M_.fname '_params.mat'],'pindx');
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end
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end
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switch options_.MCMC_jumping_covariance
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case 'hessian' %Baseline
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%do nothing and use hessian from mode_compute
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case 'prior_variance' %Use prior variance
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if any(isinf(bayestopt_.p2))
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error('Infinite prior variances detected. You cannot use the prior variances as the proposal density, if some variances are Inf.')
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else
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hh = diag(1./(bayestopt_.p2.^2));
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end
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hsd = sqrt(diag(hh));
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invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
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case 'identity_matrix' %Use identity
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invhess = eye(nx);
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otherwise %user specified matrix in file
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try
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load(options_.MCMC_jumping_covariance,'jumping_covariance')
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hh=jumping_covariance;
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catch
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error(['No matrix named ''jumping_covariance'' could be found in ',options_.MCMC_jumping_covariance,'.mat'])
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end
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[nrow, ncol]=size(hh);
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if ~isequal(nrow,ncol) && ~isequal(nrow,nx) %check if square and right size
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error(['jumping_covariance matrix must be square and have ',num2str(nx),' rows and columns'])
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end
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try %check for positive definiteness
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chol(hh);
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hsd = sqrt(diag(hh));
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invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
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catch
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error(['Specified jumping_covariance is not positive definite'])
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end
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end
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if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
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if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
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(any(bayestopt_.pshape >0 ) && options_.load_mh_file) %% not ML estimation
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(any(bayestopt_.pshape >0 ) && options_.load_mh_file) %% not ML estimation
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bounds = prior_bounds(bayestopt_, options_.prior_trunc);
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bounds = prior_bounds(bayestopt_, options_.prior_trunc);
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