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Transform save_tmp_file into an option and change defaults

time-shift
Johannes Pfeifer 2016-10-04 14:56:41 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 7733903661
commit 7831dccd2a
4 changed files with 27 additions and 7 deletions
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11
doc/dynare.texi
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@ -5763,6 +5763,11 @@ covariance of the proposal distribution. Requires the @ref{load_mh_file}-option
Provides the name of a @file{_mh_scale.mat}-file storing the tuned scale factor from a
previous run of @code{mode_compute=6}
@item 'save_tmp_file'
@anchor{save_tmp_file}
Save the MCMC draws into a @code{_mh_tmp_blck}-file at the refresh rate of the status bar instead of just saving the draws
when the current @code{_mh*_blck}-file is full. Default: 0
@end table
@item 'independent_metropolis_hastings'
@ -5797,6 +5802,9 @@ Default: 0.8
@item 'use_mh_covariance_matrix'
@xref{use_mh_covariance_matrix}. Must be used with @code{'rotated'}. Default: 0
@item 'save_tmp_file'
@xref{save_tmp_file}. Default: 1.
@end table
@item 'tailored_random_block_metropolis_hastings'
@ -5819,6 +5827,9 @@ Metropolis-Hastings algorithm. @xref{optim}.
@item 'scale_file'
@xref{scale_file}.
@item 'save_tmp_file'
@xref{save_tmp_file}. Default: 1.
@end table
@end table

18
matlab/check_posterior_sampler_options.m
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@ -48,7 +48,6 @@ if init,
posterior_sampler_options.serial_bar_refresh_rate=3;
posterior_sampler_options.parallel_bar_title='RWMH';
posterior_sampler_options.serial_bar_title='RW Metropolis-Hastings';
posterior_sampler_options.save_tmp_file=1;
% default options
posterior_sampler_options = add_fields_(posterior_sampler_options,options_.posterior_sampler_options.rwmh);
@ -95,6 +94,8 @@ if init,
else
error('initial_estimation_checks:: The specified mh_scale_file does not exist.')
end
case 'save_tmp_file'
posterior_sampler_options.save_tmp_file = options_list{i,2};
otherwise
warning(['rwmh_sampler: Unknown option (' options_list{i,1} ')!'])
end
@ -106,7 +107,6 @@ if init,
posterior_sampler_options.serial_bar_refresh_rate=1;
posterior_sampler_options.parallel_bar_title='TaRB-MH';
posterior_sampler_options.serial_bar_title='TaRB Metropolis-Hastings';
posterior_sampler_options.save_tmp_file=1;
% default options
posterior_sampler_options = add_fields_(posterior_sampler_options,options_.posterior_sampler_options.tarb);
@ -160,7 +160,9 @@ if init,
else
error('initial_estimation_checks:: The specified scale_file does not exist.')
end
case 'save_tmp_file'
posterior_sampler_options.save_tmp_file = options_list{i,2};
otherwise
warning(['tarb_sampler: Unknown option (' options_list{i,1} ')!'])
@ -175,7 +177,6 @@ if init,
posterior_sampler_options.serial_bar_refresh_rate=3;
posterior_sampler_options.parallel_bar_title='IMH';
posterior_sampler_options.serial_bar_title='Ind. Metropolis-Hastings';
posterior_sampler_options.save_tmp_file=1;
% default options
posterior_sampler_options = add_fields_(posterior_sampler_options,options_.posterior_sampler_options.imh);
@ -210,6 +211,9 @@ if init,
posterior_sampler_options.use_mh_covariance_matrix = options_list{i,2};
options_.use_mh_covariance_matrix = options_list{i,2};
case 'save_tmp_file'
posterior_sampler_options.save_tmp_file = options_list{i,2};
otherwise
warning(['imh_sampler: Unknown option (' options_list{i,1} ')!'])
end
@ -222,7 +226,6 @@ if init,
posterior_sampler_options.serial_bar_refresh_rate=1;
posterior_sampler_options.parallel_bar_title='SLICE';
posterior_sampler_options.serial_bar_title='SLICE';
posterior_sampler_options.save_tmp_file=1;
% default options
posterior_sampler_options = add_fields_(posterior_sampler_options,options_.posterior_sampler_options.slice);
@ -292,6 +295,9 @@ if init,
% default = 0
posterior_sampler_options.use_mh_covariance_matrix = options_list{i,2};
options_.use_mh_covariance_matrix = options_list{i,2};
case 'save_tmp_file'
posterior_sampler_options.save_tmp_file = options_list{i,2};
otherwise
warning(['slice_sampler: Unknown option (' options_list{i,1} ')!'])
@ -408,7 +414,7 @@ if strcmp(posterior_sampler_options.posterior_sampling_method,'slice')
% % % [junk, invhess] = compute_mh_covariance_matrix;
% % % posterior_sampler_options.invhess = invhess;
% % % end
[V1 D]=eig(invhess);
[V1, D]=eig(invhess);
posterior_sampler_options.V1=V1;
posterior_sampler_options.WR=sqrt(diag(D))*3;
end

3
matlab/global_initialization.m
View File

@ -472,12 +472,14 @@ options_.posterior_sampler_options.posterior_sampling_method = 'random_walk_metr
options_.posterior_sampler_options.rwmh.proposal_distribution = 'rand_multivariate_normal';
options_.posterior_sampler_options.rwmh.student_degrees_of_freedom = 3;
options_.posterior_sampler_options.rwmh.use_mh_covariance_matrix=0;
options_.posterior_sampler_options.rwmh.save_tmp_file=0;
% Tailored Random Block Metropolis-Hastings
options_.posterior_sampler_options.tarb.proposal_distribution = 'rand_multivariate_normal';
options_.posterior_sampler_options.tarb.student_degrees_of_freedom = 3;
options_.posterior_sampler_options.tarb.mode_compute=4;
options_.posterior_sampler_options.tarb.new_block_probability=0.25; %probability that next parameter belongs to new block
options_.posterior_sampler_options.tarb.optim_opt=''; %probability that next parameter belongs to new block
options_.posterior_sampler_options.tarb.save_tmp_file=1;
% Slice
options_.posterior_sampler_options.slice.proposal_distribution = '';
options_.posterior_sampler_options.slice.rotated=0;
@ -487,6 +489,7 @@ options_.posterior_sampler_options.slice.WR=[];
options_.posterior_sampler_options.slice.mode_files=[];
options_.posterior_sampler_options.slice.mode=[];
options_.posterior_sampler_options.slice.initial_step_size=0.8;
options_.posterior_sampler_options.slice.save_tmp_file=1;
% Independent Metropolis-Hastings
options_.posterior_sampler_options.imh.proposal_distribution = 'rand_multivariate_normal';
options_.posterior_sampler_options.imh.use_mh_covariance_matrix=0;

2
tests/estimation/t_proposal/fs2000_student.mod
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@ -115,4 +115,4 @@ end;
varobs gp_obs gy_obs;
estimation(order=1, datafile='../fsdat_simul',nobs=192, loglinear, mh_replic=2002, mh_nblocks=2, mh_jscale=0.8,mode_compute=4,
posterior_sampler_options=('proposal_distribution','rand_multivariate_student','student_degrees_of_freedom',5));
posterior_sampler_options=('proposal_distribution','rand_multivariate_student','student_degrees_of_freedom',5,'save_tmp_file',0));