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Merge branch 'use_mh_covariance' of git.dynare.org:JohannesPfeifer/dynare

time-shift
Sébastien Villemot 2021-01-25 18:16:23 +01:00
parent f19decf297 731a168f69
commit 992e375bfa
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GPG Key ID: 2CECE9350ECEBE4A
3 changed files with 35 additions and 24 deletions
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2
matlab/default_option_values.m
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@ -425,7 +425,7 @@ options_.smoother = false;
options_.posterior_max_subsample_draws = 1200;
options_.sub_draws = [];
options_.ME_plot_tol=1e-6;
% options_.use_mh_covariance_matrix = 0;
options_.use_mh_covariance_matrix = false;
options_.gradient_method = 2; %used by csminwel and newrat
options_.gradient_epsilon = 1e-6; %used by csminwel and newrat
options_.posterior_sampler_options.sampling_opt = []; %extended set of options for individual posterior samplers

11
matlab/dynare_estimation_1.m
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@ -446,14 +446,19 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
% Tunes the jumping distribution's scale parameter
if options_.mh_tune_jscale.status
if strcmp(options_.posterior_sampler_options.posterior_sampling_method, 'random_walk_metropolis_hastings')
%get invhess in case of use_mh_covariance_matrix
posterior_sampler_options_temp = options_.posterior_sampler_options.current_options;
posterior_sampler_options_temp.invhess = invhess;
posterior_sampler_options_temp = check_posterior_sampler_options(posterior_sampler_options_temp, options_);
options = options_.mh_tune_jscale;
options.rwmh = options_.posterior_sampler_options.rwmh;
options_.mh_jscale = calibrate_mh_scale_parameter(objective_function, ...
invhess, xparam1, [bounds.lb,bounds.ub], ...
posterior_sampler_options_temp.invhess, xparam1, [bounds.lb,bounds.ub], ...
options, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_);
clear('posterior_sampler_options_temp','options')
bayestopt_.jscale(:) = options_.mh_jscale;
disp(sprintf('mh_jscale has been set equal to %s', num2str(options_.mh_jscale)))
skipline()
fprintf('mh_jscale has been set equal to %s\n', num2str(options_.mh_jscale))
else
warning('mh_tune_jscale is only available with Random Walk Metropolis Hastings!')
end

46
matlab/posterior_sampler_initialization.m
View File

@ -225,7 +225,6 @@ if ~options_.load_mh_file && ~options_.mh_recover
record.LastFileNumber = AnticipatedNumberOfFiles ;
record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
record.MCMCConcludedSuccessfully = 0;
record.MCMC_sampler=options_.posterior_sampler_options.posterior_sampling_method;
record.ProposalScaleVec=bayestopt_.jscale;
fprintf('Ok!\n');
id = write_mh_history_file(MetropolisFolder, ModelName, record);
@ -286,7 +285,7 @@ elseif options_.load_mh_file && ~options_.mh_recover
end
ilogpo2 = record.LastLogPost;
ix2 = record.LastParameters;
[d,bayestopt_]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
FirstBlock = 1;
NumberOfPreviousSimulations = sum(record.MhDraws(:,1),1);
fprintf('Estimation::mcmc: I am writing a new mh-history file... ');
@ -368,7 +367,7 @@ elseif options_.mh_recover
LastFileFullIndicator=1;
end
if ~isequal(options_.posterior_sampler_options.posterior_sampling_method,'slice')
[d,bayestopt_]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
end
%% Now find out what exactly needs to be redone
% 1. Check if really something needs to be done
@ -489,25 +488,32 @@ elseif options_.mh_recover
FirstBlock = find(FBlock==1,1);
end
function [d,bayestopt_]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d)
if isfield(record,'ProposalCovariance') && isfield(record,'ProposalCovariance')
if isfield(record,'MCMC_sampler')
if ~strcmp(record.MCMC_sampler,options_.posterior_sampler_options.posterior_sampling_method)
error(fprintf('Estimation::mcmc: The posterior_sampling_method differs from the one of the original chain. Please reset it to %s',record.MCMC_sampler))
function [d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d)
if ~options_.use_mh_covariance_matrix
if isfield(record,'ProposalCovariance') && isfield(record,'ProposalScaleVec')
fprintf('Estimation::mcmc: Recovering the previous proposal density.\n')
d=record.ProposalCovariance;
bayestopt_.jscale=record.ProposalScaleVec;
else
if ~isequal(options_.posterior_sampler_options.posterior_sampling_method,'slice')
% pass through input d unaltered
if options_.mode_compute~=0
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by mode_compute\n.');
elseif ~isempty(options_.mode_file)
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by the mode_file\n.');
else
error('Estimation::mcmc: No stored previous proposal density found, no mode-finding conducted, and no mode-file provided. I don''t know how to continue')
end
end
end
fprintf('Estimation::mcmc: Recovering the previous proposal density.\n')
d=record.ProposalCovariance;
bayestopt_.jscale=record.ProposalScaleVec;
else
if ~isequal(options_.posterior_sampler_options.posterior_sampling_method,'slice')
% pass through input d unaltered
if options_.mode_compute~=0
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by mode_compute\n.');
elseif ~isempty(options_.mode_file)
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by the mode_file\n.');
else
error('Estimation::mcmc: No stored previous proposal density found, no mode-finding conducted, and no mode-file provided. I don''t know how to continue')
end
% pass through input d unaltered
fprintf('Estimation::mcmc: use_mh_covariance_matrix specified, continuing with proposal density implied by the previous MCMC run.\n.');
end
if isfield(record,'Sampler')
if ~strcmp(record.Sampler,options_.posterior_sampler_options.posterior_sampling_method)
warning('Estimation::mcmc: The posterior_sampling_method %s selected differs from the %s of the original chain. This may create problems with the convergence diagnostics.',options_.posterior_sampler_options.posterior_sampling_method,record.Sampler)
record.Sampler=options_.posterior_sampler_options.posterior_sampling_method; %update sampler used
end
end