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changed variable name to make clear that, for multinormal variables, we are using the Cholesky decomposition of the covariance matrix.

time-shift
Michel Juillard 2010-12-11 18:09:01 +01:00
parent c1cb452e3d
commit e04a07c771
1 changed files with 3 additions and 3 deletions
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6
matlab/random_walk_metropolis_hastings_core.m
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@ -121,12 +121,12 @@ end
if any(isnan(bayestopt_.jscale))
if exist([ModelName '_optimal_mh_scale_parameter.mat'])% This file is created by mode_compute=6.
load([ModelName '_optimal_mh_scale_parameter'])
proposal_covariance = d*Scale;
proposal_covariance_Choleksy_decomposition = d*Scale;
else
error('mh:: Something is wrong. I can''t figure out the value of the scale parameter.')
end
else
proposal_covariance = d*diag(bayestopt_.jscale);
proposal_covariance_Cholesky_decomposition = d*diag(bayestopt_.jscale);
end
@ -169,7 +169,7 @@ for b = fblck:nblck,
irun = fline(b);
j = 1;
while j <= nruns(b)
par = feval(ProposalFun, ix2(b,:), proposal_covariance, n);
par = feval(ProposalFun, ix2(b,:), proposal_covariance_Cholesky_decomposition, n);
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
try
logpost = - feval(TargetFun, par(:),varargin{:});