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Seeds are always initialized and stored for each chain independently 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2675 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2009-05-15 16:33:20 +00:00
parent 7384613258
commit c8329915b2
2 changed files with 23 additions and 12 deletions
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6
matlab/independent_metropolis_hastings.m
View File

@ -57,6 +57,8 @@ load([MhDirectoryName '/' ModelName '_mh_history'],'record');
InitSizeArray = min([MAX_nruns*ones(nblck) nruns],[],2);
jscale = diag(bayestopt_.jscale);
for b = fblck:nblck
randn('state',record.Seeds(b).Normal);
rand('state',record.Seeds(b).Unifor);
if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
'_blck' int2str(b) '.mat'])
@ -141,9 +143,9 @@ for b = fblck:nblck
end% End of the simulations for one mh-block.
record.AcceptationRates(b) = isux/j;
close(hh);
record.Seeds(b).Normal = randn('state');
record.Seeds(b).Unifor = rand('state');
end% End of the loop over the mh-blocks.
record.Seeds.Normal = randn('state');
record.Seeds.Unifor = rand('state');
save([MhDirectoryName '/' ModelName '_mh_history'],'record');
disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])

29
matlab/metropolis_hastings_initialization.m
View File

@ -160,8 +160,15 @@ if ~options_.load_mh_file & ~options_.mh_recover
record.MhDraws(1,2) = AnticipatedNumberOfFiles;
record.MhDraws(1,3) = AnticipatedNumberOfLinesInTheLastFile;
record.AcceptationRates = zeros(1,nblck);
record.Seeds.Normal = randn('state');
record.Seeds.Unifor = rand('state');
% separate initializaton for each chain
JSUM = 0;
for j=1:nblck,
JSUM = JSUM + sum(100*clock);
randn('state',JSUM);
rand('state',JSUM);
record.Seeds(j).Normal = randn('state');
record.Seeds(j).Unifor = rand('state');
end
record.InitialParameters = ix2;
record.InitialLogLiK = ilogpo2;
record.LastParameters = zeros(nblck,npar);
@ -174,14 +181,16 @@ if ~options_.load_mh_file & ~options_.mh_recover
fprintf(fidlog,[' Expected number of lines in the last file: ' ...
int2str(AnticipatedNumberOfLinesInTheLastFile) '.\n']);
fprintf(fidlog,['\n']);
fprintf(fidlog,[' Initial seed (randn):\n']);
for i=1:length(record.Seeds.Normal)
fprintf(fidlog,[' ' num2str(record.Seeds.Normal(i)') '\n']);
for j = 1:nblck,
fprintf(fidlog,[' Initial seed (randn) for chain number ',int2str(j),':\n']);
for i=1:length(record.Seeds(j).Normal)
fprintf(fidlog,[' ' num2str(record.Seeds(j).Normal(i)') '\n']);
end
fprintf(fidlog,[' Initial seed (rand).:\n']);
for i=1:length(record.Seeds.Unifor)
fprintf(fidlog,[' ' num2str(record.Seeds.Unifor(i)') '\n']);
fprintf(fidlog,[' Initial seed (rand) for chain number ',int2str(j),':\n']);
for i=1:length(record.Seeds(j).Unifor)
fprintf(fidlog,[' ' num2str(record.Seeds(j).Unifor(i)') '\n']);
end
end,
fprintf(fidlog,' \n');
fclose(fidlog);
elseif options_.load_mh_file & ~options_.mh_recover
@ -239,8 +248,8 @@ elseif options_.load_mh_file & ~options_.mh_recover
record.MhDraws(end,1) = nruns(1);
record.MhDraws(end,2) = AnticipatedNumberOfFiles;
record.MhDraws(end,3) = AnticipatedNumberOfLinesInTheLastFile;
randn('state',record.Seeds.Normal);
rand('state',record.Seeds.Unifor);
% randn('state',record.Seeds.Normal);
% rand('state',record.Seeds.Unifor);
save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
disp(['MH: ... It''s done. I''ve loaded ' int2str(NumberOfPreviousSimulations) ' simulations.'])
disp(' ')