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now adaptive Metropolis creates a sequence of adaptive_metropolis_proposal_NN.mat files keeping track of covariance updates. adaptive Metropolis can now be continued in subsequent runs

time-shift
Michel Juillard 2011-08-15 15:27:30 +02:00
parent c1ffa446e2
commit 7e29a03fad
1 changed files with 31 additions and 3 deletions
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34
matlab/adaptive_metropolis_hastings.m
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@ -57,8 +57,32 @@ global M_ options_ bayestopt_ estim_params_ oo_
old_options = options_;
accept_target = options_.amh.accept_target;
m_directory = [M_.fname '/metropolis/'];
options_.mh_jscale = tune_scale_parameter(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin{:});
if options_.load_mh_file == 0
delete([m_directory 'adaptive_metropolis_proposal_*.mat']);
nP = 0;
else
D = dir([m_directory 'adaptive_metropolis_proposal_*.mat']);
nP = size(D,1);
end;
if nP == 0
jscale = options_.mh_jscale;
bayestopt_.jscale = jscale;
save([m_directory 'adaptive_metropolis_proposal_0'],'vv','jscale');
nP = 1;
else
tmp = load([m_directory 'adaptive_metropolis_proposal_' ...
int2str(nP-1)],'vv','jscale');
vv = tmp.vv;
bayestopt_.jscale = tmp.jscale;
end
if options_.amh.cova_steps
bayestopt_.jscale = tune_scale_parameter(TargetFun, ...
ProposalFun,xparam1,vv,mh_bounds,varargin{:});
end
for i=1:options_.amh.cova_steps
options_.mh_replic = options_.amh.cova_replic;
@ -68,7 +92,11 @@ for i=1:options_.amh.cova_steps
options_.mh_drop = (tot_draws-options_.amh.cova_replic)/tot_draws;
CutSample(M_,options_,estim_params_);
[junk,vv] = compute_mh_covariance_matrix();
bayestopt_.jscale = tune_scale_parameter(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin{:});
jscale = tune_scale_parameter(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin{:});
bayestopt_.jscale = jscale;
save([m_directory 'adaptive_metropolis_proposal_' ...
int2str(nP)],'vv','jscale');
nP = nP + 1;
end
options_.mh_replic = old_options.mh_replic;
@ -89,7 +117,7 @@ test_runs = options_.amh.scale_tuning_test_runs;
tolerance = options_.amh.scale_tuning_tolerance;
Scales = zeros(maxit,1);
AvRates = zeros(maxit,1);
Scales(1) = options_.mh_jscale;
Scales(1) = bayestopt_.jscale;
for i=1:maxit
options_.mh_replic = options_.amh.scale_tuning_blocksize;