From a9d7088ced640641ea11fda527b9b410fcf02bbc Mon Sep 17 00:00:00 2001
From: stepan <stepan@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Fri, 5 Jun 2009 10:16:31 +0000
Subject: [PATCH] Added new tool. When using the instruction get_prior_info(2)
 in the mod file (after the definition of the priors) Dynare tries to compute
 the prior mode using Chris Sims' optimization routine.

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2724 ac1d8469-bf42-47a9-8791-bf33cf982152
---
 matlab/get_prior_info.m             | 51 +++++++++++++++++++++++++++--
 matlab/maximize_prior_density.m     | 47 ++++++++++++++++++++++++++
 matlab/minus_logged_prior_density.m | 32 ++++++++++++++++++
 3 files changed, 127 insertions(+), 3 deletions(-)
 create mode 100644 matlab/maximize_prior_density.m
 create mode 100644 matlab/minus_logged_prior_density.m

diff --git a/matlab/get_prior_info.m b/matlab/get_prior_info.m
index daabe6be1..2bcc30c3e 100644
--- a/matlab/get_prior_info.m
+++ b/matlab/get_prior_info.m
@@ -92,8 +92,8 @@ function get_prior_info(info)
     end
     
     M_.dname = M_.fname;
-    
-    if info% Prior simulations.
+
+    if info==1% Prior simulations.
        results = prior_sampler(0,M_,bayestopt_,options_,oo_);
        disp(['Prior mass = ' num2str(results.prior.mass)])
        disp(['BK indeterminacy share                = ' num2str(results.bk.indeterminacy_share)])
@@ -106,7 +106,52 @@ function get_prior_info(info)
        disp(['Analytical steady state problem share = ' num2str(results.ass.problem_share)])
     end
     
-    
+    if info==2% Prior optimization.
+       
+        k = find(~isnan(bayestopt_.p5));
+        xparam1(k) = bayestopt_.p5(k);
+        
+        look_for_admissible_initial_condition = 1;
+        scale = 1.0;
+        iter  = 0;
+        
+        while look_for_admissible_initial_condition
+            xinit = xparam1+scale*randn(size(xparam1));
+            if all(xinit>bayestopt_.p3) && all(xinit<bayestopt_.p4)
+                look_for_admissible_initial_condition = 0;
+            else
+                if iter == 2000;
+                    scale = scale/1.1;
+                    iter  = 0;
+                else
+                    iter = iter+1;
+                end
+            end
+        end
+        
+        [xparams,lpd,hessian] = ...
+        maximize_prior_density(xinit, bayestopt_.pshape, ...
+                               bayestopt_.p6, ...
+                               bayestopt_.p7, ...
+                               bayestopt_.p3, ...
+                               bayestopt_.p4);
+       disp(' ')
+       disp(' ')
+       disp('------------------')
+       disp('PRIOR OPTIMIZATION')
+       disp('------------------')
+       disp(' ')
+       
+       
+       
+       for i = 1:length(xparams)
+           disp(['deep parameter ' int2str(i) ': ' get_the_name(i,0) '.'])
+           disp(['  Initial condition ....... ' num2str(xinit(i)) '.'])
+           disp(['  Prior mode .............. ' num2str(bayestopt_.p5(i)) '.'])
+           disp(['  Optimized prior mode .... ' num2str(xparams(i)) '.'])
+           disp(' ')
+       end
+    end
     
     
     
diff --git a/matlab/maximize_prior_density.m b/matlab/maximize_prior_density.m
new file mode 100644
index 000000000..5cf2bfe5d
--- /dev/null
+++ b/matlab/maximize_prior_density.m
@@ -0,0 +1,47 @@
+function [xparams,lpd,hessian] = ...
+        maximize_prior_density(iparams, prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound)
+% Maximizes the logged prior density using Chris Sims' optimization routine.
+% 
+% INPUTS 
+%   iparams                        [double]   vector of initial parameters.
+%   prior_shape                    [integer]  vector specifying prior densities shapes.
+%   prior_hyperparameter_1         [double]   vector, first hyperparameter.
+%   prior_hyperparameter_2         [double]   vector, second hyperparameter.
+%   prior_inf_bound                [double]   vector, prior's lower bound.
+%   prior_sup_bound                [double]   vector, prior's upper bound. 
+%
+% OUTPUTS 
+%   xparams       [double]  vector, prior mode.
+%   lpd           [double]  scalar, value of the logged prior density at the mode.
+%   hessian       [double]  matrix, Hessian matrix at the prior mode.
+
+% Copyright (C) 2009 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 <http://www.gnu.org/licenses/>.
+    
+    number_of_estimated_parameters = length(iparams);
+    H0 = 1e-4*eye(number_of_estimated_parameters);
+    crit = 1e-7;
+    nit = 1000;
+    verbose = 2;
+    gradient_method = 2;
+    
+    [lpd,xparams,grad,hessian,itct,fcount,retcodehat] = ...
+                csminwel('minus_logged_prior_density',iparams,H0,[],crit,nit,gradient_method, ... 
+                         prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound);
+
+    lpd = -lpd;
+    
\ No newline at end of file
diff --git a/matlab/minus_logged_prior_density.m b/matlab/minus_logged_prior_density.m
new file mode 100644
index 000000000..92a37b287
--- /dev/null
+++ b/matlab/minus_logged_prior_density.m
@@ -0,0 +1,32 @@
+function [f,fake] = minus_logged_prior_density(xparams,pshape,p6,p7,p3,p4)
+% Evaluates minus the logged prior density.
+% 
+% INPUTS 
+%   xparams    [double]   vector of parameters.
+%   pshape     [integer]  vector specifying prior densities shapes.
+%   p6         [double]   vector, first hyperparameter.
+%   p7         [double]   vector, second hyperparameter.
+%   p3         [double]   vector, prior's lower bound.
+%   p4         [double]   vector, prior's upper bound. 
+%
+% OUTPUTS 
+%   f          [double]  value of minus the logged prior density.
+
+% Copyright (C) 2009 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 <http://www.gnu.org/licenses/>.
+    fake = 1;
+    f = - priordens(xparams,pshape,p6,p7,p3,p4);
\ No newline at end of file