Parallelized version of independent MH.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2951 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
ratto
parent
2ac1194d39
commit
e6a59cd211
|
|
@ -1,5 +1,6 @@
|
|||
function independent_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin)
|
||||
% Independent Metropolis-Hastings algorithm.
|
||||
|
||||
% Independent Metropolis-Hastings algorithm.
|
||||
%
|
||||
% INPUTS
|
||||
% o TargetFun [char] string specifying the name of the objective
|
||||
|
|
@ -10,10 +11,10 @@ function independent_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bou
|
|||
% o varargin list of argument following mh_bounds
|
||||
%
|
||||
% OUTPUTS
|
||||
% None
|
||||
% None
|
||||
%
|
||||
% ALGORITHM
|
||||
% Metropolis-Hastings.
|
||||
% ALGORITHM
|
||||
% Metropolis-Hastings.
|
||||
%
|
||||
% SPECIAL REQUIREMENTS
|
||||
% None.
|
||||
|
|
@ -35,119 +36,88 @@ function independent_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bou
|
|||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
|
||||
global M_ options_ bayestopt_
|
||||
global M_ options_ bayestopt_ estim_params_ oo_
|
||||
%%%%
|
||||
%%%% Initialization of the independent metropolis-hastings chains.
|
||||
%%%%
|
||||
[ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
|
||||
metropolis_hastings_initialization(TargetFun,xparam1,vv,mh_bounds,varargin{:});
|
||||
xparam1 = transpose(xparam1);
|
||||
OpenOldFile = ones(nblck,1);
|
||||
if strcmpi(ProposalFun,'rand_multivariate_normal')
|
||||
n = npar;
|
||||
ProposalDensity = 'multivariate_normal_pdf';
|
||||
elseif strcmpi(ProposalFun,'rand_multivariate_student')
|
||||
n = options_.student_degrees_of_freedom;
|
||||
ProposalDensity = 'multivariate_student_pdf';
|
||||
end
|
||||
load([MhDirectoryName '/' ModelName '_mh_history'],'record');
|
||||
%%%%
|
||||
%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
|
||||
%%%%
|
||||
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'])
|
||||
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
|
||||
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
|
||||
OpenOldFile(b) = 0;
|
||||
else
|
||||
x2 = zeros(InitSizeArray(b),npar);
|
||||
logpo2 = zeros(InitSizeArray(b),1);
|
||||
metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin{:});
|
||||
|
||||
xparam1 = transpose(xparam1);
|
||||
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
|
||||
|
||||
load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
|
||||
|
||||
|
||||
localVars = struct('TargetFun', TargetFun, ...
|
||||
'ProposalFun', ProposalFun, ...
|
||||
'xparam1', xparam1, ...
|
||||
'vv', vv, ...
|
||||
'mh_bounds', mh_bounds, ...
|
||||
'ix2', ix2, ...
|
||||
'ilogpo2', ilogpo2, ...
|
||||
'ModelName', ModelName, ...
|
||||
'fline', fline, ...
|
||||
'npar', npar, ...
|
||||
'nruns', nruns, ...
|
||||
'NewFile', NewFile, ...
|
||||
'MAX_nruns', MAX_nruns, ...
|
||||
'd', d);
|
||||
localVars.InitSizeArray=InitSizeArray;
|
||||
localVars.record=record;
|
||||
localVars.varargin=varargin;
|
||||
|
||||
% tic,
|
||||
|
||||
|
||||
if isnumeric(options_.parallel),% | isunix, % for the moment exclude unix platform from parallel implementation
|
||||
fout = independent_metropolis_hastings_core(localVars, fblck, nblck, 0);
|
||||
record = fout.record;
|
||||
|
||||
else
|
||||
% global variables for parallel routines
|
||||
globalVars = struct('M_',M_, ...
|
||||
'options_', options_, ...
|
||||
'bayestopt_', bayestopt_, ...
|
||||
'estim_params_', estim_params_, ...
|
||||
'oo_', oo_);
|
||||
|
||||
% which files have to be copied to run remotely
|
||||
NamFileInput(1,:) = {'',[ModelName '_static.m']};
|
||||
NamFileInput(2,:) = {'',[ModelName '_dynamic.m']};
|
||||
if options_.steadystate_flag,
|
||||
NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_steadystate.m']};
|
||||
end
|
||||
hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(nblck) ')...']);
|
||||
set(hh,'Name','Metropolis-Hastings');
|
||||
isux = 0;
|
||||
jsux = 0;
|
||||
irun = fline(b);
|
||||
j = 1;
|
||||
while j <= nruns(b)
|
||||
par = feval(ProposalFun, xparam1, d * jscale, n);
|
||||
if all(par(:)>mh_bounds(:,1)) && all(par(:)<mh_bounds(:,2))
|
||||
logpost = - feval(TargetFun,par(:),varargin{:});
|
||||
else
|
||||
logpost = -inf;
|
||||
end
|
||||
r = logpost - ilogpo2(b) + ...
|
||||
log(feval(ProposalDensity, ix2(b,:), xparam1, d, n)) - ...
|
||||
log(feval(ProposalDensity, par, xparam1, d, n));
|
||||
if (logpost > -inf) && (log(rand) < r)
|
||||
x2(irun,:) = par;
|
||||
ix2(b,:) = par;
|
||||
logpo2(irun) = logpost;
|
||||
ilogpo2(b) = logpost;
|
||||
isux = isux + 1;
|
||||
jsux = jsux + 1;
|
||||
else
|
||||
x2(irun,:) = ix2(b,:);
|
||||
logpo2(irun) = ilogpo2(b);
|
||||
end
|
||||
prtfrc = j/nruns(b);
|
||||
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
|
||||
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
|
||||
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b)],'x2','logpo2');
|
||||
InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
|
||||
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
|
||||
fprintf(fidlog,['\n']);
|
||||
fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
|
||||
fprintf(fidlog,' \n');
|
||||
fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Posterior mean........:\n']);
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Minimum value.........:\n']);;
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Maximum value.........:\n']);
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
|
||||
fprintf(fidlog,' \n');
|
||||
fclose(fidlog);
|
||||
jsux = 0;
|
||||
if j == nruns(b) % I record the last draw...
|
||||
record.LastParameters(b,:) = x2(end,:);
|
||||
record.LastLogLiK(b) = logpo2(end);
|
||||
end
|
||||
if InitSizeArray(b)
|
||||
x2 = zeros(InitSizeArray(b),npar);
|
||||
logpo2 = zeros(InitSizeArray(b),1);
|
||||
NewFile(b) = NewFile(b) + 1;
|
||||
irun = 0;
|
||||
else% InitSizeArray is equal to zero because we are at the end of an mc chain.
|
||||
InitSizeArray(b) = min(nruns(b),MAX_nruns);
|
||||
end
|
||||
end
|
||||
j=j+1;
|
||||
irun = irun + 1;
|
||||
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.
|
||||
save([MhDirectoryName '/' ModelName '_mh_history'],'record');
|
||||
if (options_.load_mh_file~=0) & any(fline>1) ,
|
||||
NamFileInput(length(NamFileInput)+1,:)={[M_.dname '/metropolis/'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']};
|
||||
end
|
||||
|
||||
% from where to get back results
|
||||
% NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'};
|
||||
|
||||
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, fblck, nblck,NamFileInput,'independent_metropolis_hastings_core', localVars, globalVars);
|
||||
for j=1:totCPU,
|
||||
offset = sum(nBlockPerCPU(1:j-1))+fblck-1;
|
||||
record.LastLogLiK(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastLogLiK(offset+1:sum(nBlockPerCPU(1:j)));
|
||||
record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:)=fout(j).record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:);
|
||||
record.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j)));
|
||||
record.Seeds(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.Seeds(offset+1:sum(nBlockPerCPU(1:j)));
|
||||
end
|
||||
|
||||
end
|
||||
|
||||
irun = fout(1).irun;
|
||||
NewFile = fout(1).NewFile;
|
||||
|
||||
|
||||
% ComptationalTime=toc,
|
||||
|
||||
% record.Seeds.Normal = randn('state');
|
||||
% record.Seeds.Unifor = rand('state');
|
||||
save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
|
||||
disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
|
||||
disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])
|
||||
disp(['MH: Total number of iterations : ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])
|
||||
disp('MH: average acceptation rate per chain : ')
|
||||
disp(record.AcceptationRates);
|
||||
disp(' ')
|
||||
|
|
@ -0,0 +1,185 @@
|
|||
function myoutput = independent_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab)
|
||||
|
||||
% Copyright (C) 2006-2008 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/>.
|
||||
|
||||
if nargin<4,
|
||||
whoiam=0;
|
||||
end
|
||||
|
||||
|
||||
global bayestopt_ estim_params_ options_ M_ oo_
|
||||
|
||||
struct2local(myinputs);
|
||||
|
||||
|
||||
MhDirectoryName = CheckPath('metropolis');
|
||||
|
||||
OpenOldFile = ones(nblck,1);
|
||||
if strcmpi(ProposalFun,'rand_multivariate_normal')
|
||||
n = npar;
|
||||
ProposalDensity = 'multivariate_normal_pdf';
|
||||
elseif strcmpi(ProposalFun,'rand_multivariate_student')
|
||||
n = options_.student_degrees_of_freedom;
|
||||
ProposalDensity = 'multivariate_student_pdf';
|
||||
end
|
||||
% load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
|
||||
%%%%
|
||||
%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
|
||||
%%%%
|
||||
jscale = diag(bayestopt_.jscale);
|
||||
|
||||
jloop=0;
|
||||
|
||||
for b = fblck:nblck,
|
||||
jloop=jloop+1;
|
||||
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'])
|
||||
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
|
||||
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
|
||||
OpenOldFile(b) = 0;
|
||||
else
|
||||
x2 = zeros(InitSizeArray(b),npar);
|
||||
logpo2 = zeros(InitSizeArray(b),1);
|
||||
end
|
||||
if exist('OCTAVE_VERSION')
|
||||
diary off;
|
||||
elseif whoiam
|
||||
% keyboard;
|
||||
waitbarString = ['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...'];
|
||||
% waitbarTitle=['Metropolis-Hastings ',options_.parallel(ThisMatlab).PcName];
|
||||
if options_.parallel(ThisMatlab).Local,
|
||||
waitbarTitle=['Local '];
|
||||
else
|
||||
waitbarTitle=[options_.parallel(ThisMatlab).PcName];
|
||||
end
|
||||
fMessageStatus(0,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab), MasterName, DyMo);
|
||||
else,
|
||||
hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
|
||||
set(hh,'Name','Metropolis-Hastings');
|
||||
|
||||
end
|
||||
isux = 0;
|
||||
jsux = 0;
|
||||
irun = fline(b);
|
||||
j = 1;
|
||||
while j <= nruns(b)
|
||||
par = feval(ProposalFun, xparam1, d * jscale, n);
|
||||
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
|
||||
logpost = - feval(TargetFun, par(:),varargin{:});
|
||||
else
|
||||
logpost = -inf;
|
||||
end
|
||||
r = logpost - ilogpo2(b) + ...
|
||||
log(feval(ProposalDensity, ix2(b,:), xparam1, d, n)) - ...
|
||||
log(feval(ProposalDensity, par, xparam1, d, n));
|
||||
if (logpost > -inf) && (log(rand) < r)
|
||||
x2(irun,:) = par;
|
||||
ix2(b,:) = par;
|
||||
logpo2(irun) = logpost;
|
||||
ilogpo2(b) = logpost;
|
||||
isux = isux + 1;
|
||||
jsux = jsux + 1;
|
||||
else
|
||||
x2(irun,:) = ix2(b,:);
|
||||
logpo2(irun) = ilogpo2(b);
|
||||
end
|
||||
prtfrc = j/nruns(b);
|
||||
if exist('OCTAVE_VERSION')
|
||||
if mod(j, 10) == 0,
|
||||
printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
|
||||
end
|
||||
if mod(j,50)==0 & whoiam,
|
||||
% keyboard;
|
||||
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) '), ' sprintf('accept. %3.f%%%%', 100 * isux/j)];
|
||||
fMessageStatus(prtfrc,whoiam,waitbarString, '', options_.parallel(ThisMatlab), MasterName, DyMo)
|
||||
end
|
||||
else
|
||||
if mod(j, 3)==0 & ~whoiam
|
||||
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
|
||||
elseif mod(j,50)==0 & whoiam,
|
||||
% keyboard;
|
||||
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)];
|
||||
fMessageStatus(prtfrc,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab), MasterName, DyMo)
|
||||
end
|
||||
end
|
||||
|
||||
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
|
||||
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
|
||||
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
|
||||
fprintf(fidlog,['\n']);
|
||||
fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
|
||||
fprintf(fidlog,' \n');
|
||||
fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Posterior mean........:\n']);
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Minimum value.........:\n']);;
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
|
||||
fprintf(fidlog,[' Maximum value.........:\n']);
|
||||
for i=1:length(x2(1,:))
|
||||
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
|
||||
fprintf(fidlog,' \n');
|
||||
fclose(fidlog);
|
||||
jsux = 0;
|
||||
if j == nruns(b) % I record the last draw...
|
||||
record.LastParameters(b,:) = x2(end,:);
|
||||
record.LastLogLiK(b) = logpo2(end);
|
||||
end
|
||||
% size of next file in chain b
|
||||
InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
|
||||
% initialization of next file if necessary
|
||||
if InitSizeArray(b)
|
||||
x2 = zeros(InitSizeArray(b),npar);
|
||||
logpo2 = zeros(InitSizeArray(b),1);
|
||||
NewFile(b) = NewFile(b) + 1;
|
||||
irun = 0;
|
||||
end
|
||||
end
|
||||
j=j+1;
|
||||
irun = irun + 1;
|
||||
end% End of the simulations for one mh-block.
|
||||
record.AcceptationRates(b) = isux/j;
|
||||
if exist('OCTAVE_VERSION')
|
||||
printf('\n');
|
||||
diary on;
|
||||
elseif ~whoiam
|
||||
close(hh);
|
||||
end
|
||||
record.Seeds(b).Normal = randn('state');
|
||||
record.Seeds(b).Unifor = rand('state');
|
||||
OutputFileName(jloop,:) = {[MhDirectoryName,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']};
|
||||
end% End of the loop over the mh-blocks.
|
||||
|
||||
|
||||
myoutput.record = record;
|
||||
myoutput.irun = irun;
|
||||
myoutput.NewFile = NewFile;
|
||||
myoutput.OutputFileName = OutputFileName;
|
||||
|
||||
|
||||
Loading…
Reference in New Issue