stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

changin mh_drop behavior in adaptive_metropolis_hastings

time-shift
Michel Juillard 2011-08-05 10:55:08 +02:00
parent a9a81f10eb
commit df58ef9552
1 changed files with 36 additions and 23 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

59
matlab/adaptive_metropolis_hastings.m
View File

@ -64,12 +64,15 @@ for i=1:options_.amh.cova_steps
options_.mh_replic = options_.amh.cova_replic;
random_walk_metropolis_hastings(TargetFun,ProposalFun, ...
xparam1,vv,mh_bounds,varargin{:});
tot_draws = total_draws(M_);
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{:});
end
options_.mh_replic = old_options.mh_replic;
options_.mh_drop = old_options.mh_drop;
record = random_walk_metropolis_hastings(TargetFun,ProposalFun, ...
xparam1,vv,mh_bounds,varargin{:});
@ -95,38 +98,48 @@ for i=1:maxit
xparam1,vv, ...
mh_bounds,varargin{:});
AvRates(i) = mean(record.AcceptationRates);
disp(AvRates(1:i)')
if i >= test_runs
a_mean = mean(AvRates((i-test_runs+1):i));
if i < test_runs
i_kept_runs = 1:i;
else
i_kept_runs = i_kept_runs+1;
end
kept_runs_s = Scales(i_kept_runs);
kept_runs_a = AvRates(i_kept_runs);
if i > test_runs
a_mean = mean(kept_runs_a);
if (a_mean > (1-tolerance)*accept_target) && ...
(a_mean < (1+tolerance)*accept_target)
(a_mean < (1+tolerance)*accept_target) && ...
all(kept_runs_a > (1-test_runs*tolerance)*accept_target) && ...
all(kept_runs_a < (1+test_runs*tolerance)*accept_target)
selected_scale = mean(Scales((i-test_runs+1):i));
disp(['Selected scale: ' num2str(selected_scale)])
return
end
end
if i == 1
if AvRates(1) > accept_target
Scales(i+1) = 2*Scales(i);
else
Scales(i+1) = Scales(i)/2;
end
elseif i < maxit
X = [ones(i,1) Scales(1:i)];
b = X\(AvRates(1:i)-accept_target);
Scales(i+1) = -b(1)/b(2);
if Scales(i+1) < 0.001
Scales(i+1) = 0.001;
elseif Scales(i+1) > 2
Scales(i+1) = 2;
end
mean_kept_runs_a = mean(kept_runs_a);
if (mean_kept_runs_a/accept_target < 1-test_runs*tolerance) ...
|| (mean_kept_runs_a/accept_target > 1+test_runs*tolerance)
damping_factor = 1
else
error('AMH scale tuning: tuning didn''t converge')
damping_factor = 1/3
end
Scales(i+1) = mean(kept_runs_s)*(mean(kept_runs_a)/ ...
accept_target)^damping_factor;
options_.load_mh_file = 1;
disp(Scales(1:i)')
end
disp(100*kept_runs_s')
disp(100*kept_runs_a')
disp(['Selected scale ' num2str(Scales(i+1))])
end
error('AMH scale tuning: tuning didn''t converge')
function y = total_draws(M_)
load([M_.fname '/metropolis/' M_.fname '_mh_history'])
y = sum(record.MhDraws(:,1));