diff --git a/matlab/check_particle_filter_options.m b/matlab/check_particle_filter_options.m new file mode 100644 index 000000000..e545eaf3e --- /dev/null +++ b/matlab/check_particle_filter_options.m @@ -0,0 +1,125 @@ +function [particle_options] = check_particle_filter_options(particle_options) +% function [particle_filter_options, options_] = check_particle_filter_options(particle_filter_options_string, options_) +% initialization of particle filter options +% +% INPUTS +% particle_filter_options: structure storing the options + +% OUTPUTS +% particle_filter_options: checked particle filter options +% +% SPECIAL REQUIREMENTS +% none + +% Copyright (C) 2021 Dynare Team +% +% This file is part of Dynare. +% +% Dynare is free software: you can redistribute it and/or modify +% it under the terms of the GNU General Public License as published by +% the Free Software Foundation, either version 3 of the License, or +% (at your option) any later version. +% +% Dynare is distributed in the hope that it will be useful, +% but WITHOUT ANY WARRANTY; without even the implied warranty of +% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +% GNU General Public License for more details. +% +% You should have received a copy of the GNU General Public License +% along with Dynare. If not, see . + +if strcmpi(particle_options.filter_algorithm, 'sis') + particle_options.algorithm = 'sequential_importance_particle_filter'; +elseif strcmpi(particle_options.filter_algorithm, 'apf') + particle_options.algorithm = 'auxiliary_particle_filter'; +elseif strcmpi(particle_options.filter_algorithm, 'gf') + particle_options.algorithm = 'gaussian_filter'; +elseif strcmpi(particle_options.filter_algorithm, 'gmf') + particle_options.algorithm = 'gaussian_mixture_filter'; +elseif strcmpi(particle_options.filter_algorithm, 'cpf') + particle_options.algorithm = 'conditional_particle_filter'; +elseif strcmpi(particle_options.filter_algorithm, 'nlkf') + particle_options.algorithm = 'nonlinear_kalman_filter'; +else + error(['Estimation: Unknown filter ' particle_options.filter_algorithm]) +end + +if ~isempty(particle_options.particle_filter_options) + % set default options and user defined options + options_list = read_key_value_string(particle_options.particle_filter_options); + for i=1:rows(options_list) + switch options_list{i,1} + case 'posterior_sampler' + if ~(strcmpi(options_list{i,2}, 'Herbst_Schorfheide') || ... + strcmpi(options_list{i,2}, 'DSMH')) + error(['check_particle_filter_options:: the proposal_distribution option to estimation takes either ' ... + 'Herbst_Schorfheide or Herbst_Schorfheide as options']); + else + particle_options.posterior_sampler=options_list{i,2}; + end + case 'initial_state_prior_std' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the initial_state_prior_std option takes a positive argument'); + else + particle_options.initial_state_prior_std=options_list{i,2}; + end + case 'pruning' + if ~islogical(options_list{i,2}) + error('check_particle_filter_options:: the pruning options takes only true or false'); + else + particle_options.pruning=options_list{i,2}; + end + case 'unscented_alpha' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the unscented_alpha option takes a positive argument'); + else + particle_options.unscented.alpha=options_list{i,2}; + end + case 'unscented_beta' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the unscented_beta option takes a positive argument'); + else + particle_options.unscented.beta=options_list{i,2}; + end + case 'unscented_kappa' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the unscented_kappa option takes a positive argument'); + else + particle_options.unscented.kappa=options_list{i,2}; + end + case 'mixture_state_variables' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the mixture_state_variables option takes a positive integer'); + else + particle_options.mixture_state_variables=options_list{i,2}; + end + case 'mixture_structural_shocks' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the mixture_structural_shocks option takes a positive integer'); + else + particle_options.mixture_structural_shocks=options_list{i,2}; + end + case 'mixture_measurement_shocks' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the mixture_measurement_shocks option takes a positive integer'); + else + particle_options.mixture_measurement_shocks=options_list{i,2}; + end + case 'liu_west_delta' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the liu_west_delta option takes a positive argument'); + else + particle_options.liu_west_delta=options_list{i,2}; + end + case 'liu_west_chol_sigma_bar' + if options_list{i,2} <= 0 + error('check_particle_filter_options:: the liu_west_chol_sigma_bar option takes a positive argument'); + else + particle_options.liu_west_chol_sigma_bar=options_list{i,2}; + end + + otherwise + warning(['check_particle_filter_options: Unknown option (' options_list{i,1} ')!']) + end + end +end diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m index 4c529625d..c3d921b92 100644 --- a/matlab/default_option_values.m +++ b/matlab/default_option_values.m @@ -246,8 +246,6 @@ particle.status = false; % How do we initialize the states? particle.initialization = 1; particle.initial_state_prior_std = .1; -% Set the default order of approximation of the model (perturbation). -particle.perturbation = 2; % Set the default number of particles. particle.number_of_particles = 5000; % Set the default approximation order (Smolyak) @@ -292,7 +290,8 @@ particle.liu_west_chol_sigma_bar = .01 ; % Options for setting the weights in conditional particle filters. particle.cpf_weights_method.amisanotristani = true; particle.cpf_weights_method.murrayjonesparslow = false; -% Copy ep structure in options_ global structure +particle.particle_filter_options =''; +% Copy particle structure in options_ global structure options_.particle = particle; options_.rwgmh.init_scale = 1e-4 ; options_.rwgmh.scale_chain = 1 ; diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m index c44f9ecdf..ee51830f9 100644 --- a/matlab/dynare_estimation_1.m +++ b/matlab/dynare_estimation_1.m @@ -85,21 +85,7 @@ end if ~options_.dsge_var if options_.particle.status objective_function = str2func('non_linear_dsge_likelihood'); - if strcmpi(options_.particle.filter_algorithm, 'sis') - options_.particle.algorithm = 'sequential_importance_particle_filter'; - elseif strcmpi(options_.particle.filter_algorithm, 'apf') - options_.particle.algorithm = 'auxiliary_particle_filter'; - elseif strcmpi(options_.particle.filter_algorithm, 'gf') - options_.particle.algorithm = 'gaussian_filter'; - elseif strcmpi(options_.particle.filter_algorithm, 'gmf') - options_.particle.algorithm = 'gaussian_mixture_filter'; - elseif strcmpi(options_.particle.filter_algorithm, 'cpf') - options_.particle.algorithm = 'conditional_particle_filter'; - elseif strcmpi(options_.particle.filter_algorithm, 'nlkf') - options_.particle.algorithm = 'nonlinear_kalman_filter'; - else - error(['Estimation: Unknown filter ' options_.particle.filter_algorithm]) - end + [options_.particle] = check_particle_filter_options(options_.particle); else if options_.occbin.likelihood.status && options_.occbin.likelihood.inversion_filter objective_function = str2func('occbin.IVF_posterior'); @@ -353,6 +339,14 @@ if ~options_.cova_compute stdh = NaN(length(xparam1),1); end +if options_.particle.status && isfield(options_.particle,'posterior_sampler') + if strcmpi(options_.particle.posterior_sampler,'Herbst_Schorfheide') + Herbst_Schorfheide_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_) + elseif strcmpi(options_.particle.posterior_sampler,'DSMH') + DSMH_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_) + end +end + if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation % display results table and store parameter estimates and standard errors in results oo_ = display_estimation_results_table(xparam1, stdh, M_, options_, estim_params_, bayestopt_, oo_, prior_dist_names, 'Posterior', 'posterior'); diff --git a/tests/particle/dsge_base2.mod b/tests/particle/dsge_base2.mod index ebe91349c..10d1acec6 100644 --- a/tests/particle/dsge_base2.mod +++ b/tests/particle/dsge_base2.mod @@ -1,56 +1,56 @@ // DGP @#ifndef RISKY_CALIBRATION -@#define RISKY_CALIBRATION = 1 + @#define RISKY_CALIBRATION = 1 @#endif @#ifndef EXTREME_CALIBRATION -@#define EXTREME_CALIBRATION = 0 + @#define EXTREME_CALIBRATION = 0 @#endif @#ifndef BENCHMARK_CALIBRATION -@#define BENCHMARK_CALIBRATION = 0 + @#define BENCHMARK_CALIBRATION = 0 @#endif // ALGORITHM @#ifndef LINEAR_KALMAN -@#define LINEAR_KALMAN = 0 + @#define LINEAR_KALMAN = 0 @#endif @#ifndef NON_LINEAR_KALMAN -@#define NON_LINEAR_KALMAN = 1 + @#define NON_LINEAR_KALMAN = 1 @#endif @#ifndef ALGO_SIR -@#define ALGO_SIR = 0 + @#define ALGO_SIR = 0 @#endif @#ifndef ALGO_SISmoothR -@#define ALGO_SISmoothR = 0 + @#define ALGO_SISmoothR = 0 @#endif @#ifndef ALGO_APF -@#define ALGO_APF = 0 + @#define ALGO_APF = 0 @#endif @#ifndef ALGO_CPF -@#define ALGO_CPF = 0 + @#define ALGO_CPF = 0 @#endif @#ifndef ALGO_GPF -@#define ALGO_GPF = 0 + @#define ALGO_GPF = 0 @#endif @#ifndef ALGO_GCF -@#define ALGO_GCF = 0 + @#define ALGO_GCF = 0 @#endif @#ifndef ALGO_GUF -@#define ALGO_GUF = 0 + @#define ALGO_GUF = 0 @#endif @#ifndef ALGO_GMPF -@#define ALGO_GMPF = 0 + @#define ALGO_GMPF = 0 @#endif @#ifndef ALGO_GMCF -@#define ALGO_GMCF = 0 + @#define ALGO_GMCF = 0 @#endif @#ifndef ALGO_ONLINE_1 -@#define ALGO_ONLINE_1 = 0 + @#define ALGO_ONLINE_1 = 0 @#endif @#ifndef ALGO_ONLINE_2 -@#define ALGO_ONLINE_2 = 0 + @#define ALGO_ONLINE_2 = 0 @#endif @#ifndef MCMC -@#define MCMC = 0 + @#define MCMC = 0 @#endif var k A c l i y; @@ -84,8 +84,6 @@ steady_state_model; end; - - shocks; var e_a; stderr 0.035; end; @@ -207,13 +205,11 @@ options_.threads.local_state_space_iteration_2 = 4; @#endif @#if ALGO_ONLINE_2 - options_.particle.liu_west_delta = 0.9 ; - estimation(order=2,number_of_particles=1000,mode_compute=11,mh_replic=0); + estimation(order=2,number_of_particles=1000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9)); @#endif @#if ALGO_ONLINE_1 - options_.particle.liu_west_delta = 0.9 ; - estimation(order=1,number_of_particles=1000,mode_compute=11,mh_replic=0); + estimation(order=1,number_of_particles=1000,mode_compute=11,mh_replic=0,particle_filter_options=('liu_west_delta',0.9)); @#endif @#if MCMC