load_last_mh_history_file: make sure number of blocks and parameters matches loaded files
parent
b5a74b96e5
commit
e6c43c2a29
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@ -16,7 +16,7 @@ function CutSample(M_, options_, estim_params_)
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% SPECIAL REQUIREMENTS
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% SPECIAL REQUIREMENTS
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% none
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% none
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% Copyright © 2005-2017 Dynare Team
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% Copyright © 2005-2023 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -33,8 +33,6 @@ function CutSample(M_, options_, estim_params_)
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% You should have received a copy of the GNU General Public License
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
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% Get the path to the metropolis files.
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% Get the path to the metropolis files.
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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@ -42,7 +40,8 @@ MetropolisFolder = CheckPath('metropolis',M_.dname);
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ModelName = M_.fname;
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ModelName = M_.fname;
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% Load the last mh-history file.
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% Load the last mh-history file.
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load_last_mh_history_file(MetropolisFolder, M_.fname);
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record=load_last_mh_history_file(MetropolisFolder, M_.fname);
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npar=size(record.LastParameters,2);
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% Get the list of files where the mcmc draw are saved.
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% Get the list of files where the mcmc draw are saved.
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mh_files = dir([ MetropolisFolder ,filesep, M_.fname '_mh*.mat' ]);
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mh_files = dir([ MetropolisFolder ,filesep, M_.fname '_mh*.mat' ]);
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@ -1,22 +1,23 @@
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function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, blck)
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function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, nblcks, blck)
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% function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, nblcks, blck)
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% function Draws = GetAllPosteriorDraws(column,FirstMhFile,FirstLine,TotalNumberOfMhFile,NumberOfDraws)
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% Gets all posterior draws
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% Gets all posterior draws
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%
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%
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% INPUTS
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% INPUTS
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% column: column
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% column: column of desired parameter in draw matrix
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% FirstMhFile: first mh file
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% FirstMhFile: first mh file
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% FirstLine: first line
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% FirstLine: first line
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% TotalNumberOfMhFile: total number of mh file
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% TotalNumberOfMhFile: total number of mh file
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% NumberOfDraws: number of draws
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% NumberOfDraws: number of draws
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% nblcks: total number of blocks
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% blck: desired block to read
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%
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% OUTPUTS
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% OUTPUTS
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% Draws: draws from posterior distribution
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% Draws: draws from posterior distribution
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%
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%
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% SPECIAL REQUIREMENTS
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% SPECIAL REQUIREMENTS
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% none
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% none
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% Copyright © 2005-2017 Dynare Team
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% Copyright © 2005-2023 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -33,19 +34,17 @@ function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumbe
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% You should have received a copy of the GNU General Public License
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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global M_ options_
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global M_
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nblck = options_.mh_nblck;
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iline = FirstLine;
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iline = FirstLine;
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linee = 1;
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linee = 1;
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DirectoryName = CheckPath('metropolis',M_.dname);
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DirectoryName = CheckPath('metropolis',M_.dname);
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if nblck>1 && nargin<6
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if nblcks>1 && nargin<7
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Draws = zeros(NumberOfDraws*nblck,1);
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Draws = zeros(NumberOfDraws*nblcks,1);
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iline0=iline;
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iline0=iline;
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if column>0
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if column>0
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for blck = 1:nblck
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for blck = 1:nblcks
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iline=iline0;
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2')
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2')
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@ -56,7 +55,7 @@ if nblck>1 && nargin<6
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end
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end
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end
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end
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else
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else
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for blck = 1:nblck
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for blck = 1:nblcks
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iline=iline0;
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'logpo2')
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'logpo2')
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@ -68,7 +67,7 @@ if nblck>1 && nargin<6
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end
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end
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end
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end
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else
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else
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if nblck==1
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if nblcks==1
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blck=1;
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blck=1;
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end
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end
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if column>0
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if column>0
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@ -20,7 +20,7 @@ function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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MetropolisFolder = CheckPath('metropolis',M.dname);
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MetropolisFolder = CheckPath('metropolis',M.dname);
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FileName = M.fname;
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FileName = M.fname;
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BaseName = [MetropolisFolder filesep FileName];
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BaseName = [MetropolisFolder filesep FileName];
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load_last_mh_history_file(MetropolisFolder, FileName);
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record=load_last_mh_history_file(MetropolisFolder, FileName);
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NbrDraws = sum(record.MhDraws(:,1));
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NbrDraws = sum(record.MhDraws(:,1));
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NbrFiles = sum(record.MhDraws(:,2));
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NbrFiles = sum(record.MhDraws(:,2));
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NbrBlocks = record.Nblck;
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NbrBlocks = record.Nblck;
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@ -16,7 +16,7 @@ function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bay
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% SPECIAL REQUIREMENTS
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% SPECIAL REQUIREMENTS
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% None.
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% None.
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% Copyright © 2006-2018 Dynare Team
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% Copyright © 2006-2023 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -38,19 +38,17 @@ function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bay
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%end
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%end
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TeX = options_.TeX;
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TeX = options_.TeX;
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nblck = options_.mh_nblck;
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nvx = estim_params_.nvx;
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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np = estim_params_.np ;
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nx = nvx+nvn+ncx+ncn+np;
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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OutputFolder = CheckPath('Output',M_.dname);
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OutputFolder = CheckPath('Output',M_.dname);
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FileName = M_.fname;
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FileName = M_.fname;
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load_last_mh_history_file(MetropolisFolder,FileName);
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record=load_last_mh_history_file(MetropolisFolder,FileName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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FirstLine = record.KeepedDraws.FirstLine;
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@ -58,6 +56,7 @@ TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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mh_nblck = size(record.LastParameters,1);
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clear record;
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clear record;
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header_width = row_header_width(M_, estim_params_, bayestopt_);
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header_width = row_header_width(M_, estim_params_, bayestopt_);
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@ -76,7 +75,7 @@ catch
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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end
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end
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num_draws=NumberOfDraws*options_.mh_nblck;
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num_draws=NumberOfDraws*mh_nblck;
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hpd_draws = round((1-options_.mh_conf_sig)*num_draws);
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hpd_draws = round((1-options_.mh_conf_sig)*num_draws);
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if hpd_draws<2
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if hpd_draws<2
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@ -97,7 +96,7 @@ if np
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ip = nvx+nvn+ncx+ncn+1;
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ip = nvx+nvn+ncx+ncn+1;
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for i=1:np
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for i=1:np
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = bayestopt_.name{ip};
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name = bayestopt_.name{ip};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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@ -106,7 +105,7 @@ if np
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name = bayestopt_.name{ip};
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name = bayestopt_.name{ip};
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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catch
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = bayestopt_.name{ip};
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name = bayestopt_.name{ip};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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@ -140,7 +139,7 @@ if nvx
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disp(tit2)
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disp(tit2)
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for i=1:nvx
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for i=1:nvx
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k = estim_params_.var_exo(i,1);
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k = estim_params_.var_exo(i,1);
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name = M_.exo_names{k};
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name = M_.exo_names{k};
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@ -152,7 +151,7 @@ if nvx
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name = M_.exo_names{k};
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name = M_.exo_names{k};
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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[post_mean, hpd_interval, post_var] = Extractoo(oo_, name, type);
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catch
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
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posterior_moments(Draws, 1, options_.mh_conf_sig);
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posterior_moments(Draws, 1, options_.mh_conf_sig);
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k = estim_params_.var_exo(i,1);
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k = estim_params_.var_exo(i,1);
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ip = nvx+1;
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ip = nvx+1;
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for i=1:nvn
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for i=1:nvn
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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oo_ = Filloo(oo_, name, type, post_mean, hpd_interval, post_median, post_var, post_deciles, density);
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
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[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
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catch
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catch
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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name = options_.varobs{estim_params_.nvn_observable_correspondence(i,1)};
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oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
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oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
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@ -223,7 +222,7 @@ if ncx
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ip = nvx+nvn+1;
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ip = nvx+nvn+1;
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for i=1:ncx
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for i=1:ncx
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws,1,options_.mh_conf_sig);
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k1 = estim_params_.corrx(i,1);
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k1 = estim_params_.corrx(i,1);
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k2 = estim_params_.corrx(i,2);
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k2 = estim_params_.corrx(i,2);
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@ -240,7 +239,7 @@ if ncx
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NAME = sprintf('%s_%s', M_.exo_names{k1}, M_.exo_names{k2});
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NAME = sprintf('%s_%s', M_.exo_names{k1}, M_.exo_names{k2});
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[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
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[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
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catch
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catch
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
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Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
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k1 = estim_params_.corrx(i,1);
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k1 = estim_params_.corrx(i,1);
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k2 = estim_params_.corrx(i,2);
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k2 = estim_params_.corrx(i,2);
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@ -273,7 +272,7 @@ if ncn
|
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ip = nvx+nvn+ncx+1;
|
ip = nvx+nvn+ncx+1;
|
||||||
for i=1:ncn
|
for i=1:ncn
|
||||||
if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
|
if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
|
||||||
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
|
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws, mh_nblck);
|
||||||
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
|
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
|
||||||
k1 = estim_params_.corrn(i,1);
|
k1 = estim_params_.corrn(i,1);
|
||||||
k2 = estim_params_.corrn(i,2);
|
k2 = estim_params_.corrn(i,2);
|
||||||
|
@ -288,7 +287,7 @@ if ncn
|
||||||
NAME = sprintf('%s_%s', M_.endo_names{k1}, M_.endo_names{k2});
|
NAME = sprintf('%s_%s', M_.endo_names{k1}, M_.endo_names{k2});
|
||||||
[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
|
[post_mean,hpd_interval,post_var] = Extractoo(oo_, NAME, type);
|
||||||
catch
|
catch
|
||||||
Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
Draws = GetAllPosteriorDraws(ip, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, mh_nblck);
|
||||||
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
|
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(Draws, 1, options_.mh_conf_sig);
|
||||||
k1 = estim_params_.corrn(i,1);
|
k1 = estim_params_.corrn(i,1);
|
||||||
k2 = estim_params_.corrn(i,2);
|
k2 = estim_params_.corrn(i,2);
|
||||||
|
|
|
@ -15,7 +15,7 @@ function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at
|
||||||
% SPECIAL REQUIREMENTS
|
% SPECIAL REQUIREMENTS
|
||||||
% None.
|
% None.
|
||||||
|
|
||||||
% Copyright © 2006-2017 Dynare Team
|
% Copyright © 2006-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -32,27 +32,20 @@ function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at
|
||||||
% You should have received a copy of the GNU General Public License
|
% You should have received a copy of the GNU General Public License
|
||||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
global M_ options_ estim_params_ bayestopt_
|
global M_ bayestopt_
|
||||||
|
|
||||||
|
|
||||||
n = estim_params_.np + ...
|
|
||||||
estim_params_.nvn+ ...
|
|
||||||
estim_params_.ncx+ ...
|
|
||||||
estim_params_.ncn+ ...
|
|
||||||
estim_params_.nvx;
|
|
||||||
|
|
||||||
nblck = options_.mh_nblck;
|
|
||||||
|
|
||||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
ModelName = M_.fname;
|
ModelName = M_.fname;
|
||||||
BaseName = [MetropolisFolder filesep ModelName];
|
BaseName = [MetropolisFolder filesep ModelName];
|
||||||
|
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
|
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
|
|
||||||
|
[nblck, n] = size(record.LastParameters);
|
||||||
|
|
||||||
posterior_kernel_at_the_mode = -Inf;
|
posterior_kernel_at_the_mode = -Inf;
|
||||||
posterior_mean = zeros(n,1);
|
posterior_mean = zeros(n,1);
|
||||||
posterior_mode = NaN(n,1);
|
posterior_mode = NaN(n,1);
|
||||||
|
|
|
@ -16,7 +16,7 @@ function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
||||||
% PARALLEL CONTEXT
|
% PARALLEL CONTEXT
|
||||||
% See the comment in posterior_sampler.m funtion.
|
% See the comment in posterior_sampler.m funtion.
|
||||||
|
|
||||||
% Copyright © 2005-2018 Dynare Team
|
% Copyright © 2005-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -38,25 +38,12 @@ MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
ModelName = M_.fname;
|
ModelName = M_.fname;
|
||||||
|
|
||||||
TeX = options_.TeX;
|
TeX = options_.TeX;
|
||||||
nblck = options_.mh_nblck;
|
|
||||||
npar = estim_params_.nvx;
|
|
||||||
npar = npar + estim_params_.nvn;
|
|
||||||
npar = npar + estim_params_.ncx;
|
|
||||||
npar = npar + estim_params_.ncn;
|
|
||||||
npar = npar + estim_params_.np ;
|
|
||||||
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
|
|
||||||
|
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
NumberOfMcFilesPerBlock = record.LastFileNumber;
|
NumberOfMcFilesPerBlock = record.LastFileNumber;
|
||||||
|
[nblck, npar] = size(record.LastParameters);
|
||||||
npardisp = options_.convergence.brooksgelman.plotrows;
|
npardisp = options_.convergence.brooksgelman.plotrows;
|
||||||
|
|
||||||
% Check that the declared number of blocks is consistent with informations saved in mh-history files.
|
|
||||||
if ~isequal(nblck,record.Nblck)
|
|
||||||
disp(['Estimation::mcmc::diagnostics: The number of MCMC chains you declared (' num2str(nblck) ') is inconsistent with the information available in the mh-history files (' num2str(record.Nblck) ' chains)!'])
|
|
||||||
disp([' I reset the number of MCMC chains to ' num2str(record.Nblck) '.'])
|
|
||||||
nblck = record.Nblck;
|
|
||||||
end
|
|
||||||
|
|
||||||
% check if all the mh files are available.
|
% check if all the mh files are available.
|
||||||
issue_an_error_message = 0;
|
issue_an_error_message = 0;
|
||||||
for b = 1:nblck
|
for b = 1:nblck
|
||||||
|
@ -91,7 +78,7 @@ for jj = 1:npar
|
||||||
par_name_temp = get_the_name(jj, options_.TeX, M_, estim_params_, options_);
|
par_name_temp = get_the_name(jj, options_.TeX, M_, estim_params_, options_);
|
||||||
param_name = vertcat(param_name, par_name_temp);
|
param_name = vertcat(param_name, par_name_temp);
|
||||||
end
|
end
|
||||||
Draws = GetAllPosteriorDraws(jj, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
Draws = GetAllPosteriorDraws(jj, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||||
Draws = reshape(Draws, [NumberOfDraws nblck]);
|
Draws = reshape(Draws, [NumberOfDraws nblck]);
|
||||||
Nc = min(1000, NumberOfDraws/2);
|
Nc = min(1000, NumberOfDraws/2);
|
||||||
for ll = 1:nblck
|
for ll = 1:nblck
|
||||||
|
|
|
@ -11,7 +11,7 @@ function generate_trace_plots(chain_number)
|
||||||
% SPECIAL REQUIREMENTS
|
% SPECIAL REQUIREMENTS
|
||||||
% none
|
% none
|
||||||
|
|
||||||
% Copyright © 2016-2018 Dynare Team
|
% Copyright © 2016-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -33,7 +33,7 @@ global M_ options_ estim_params_
|
||||||
|
|
||||||
% Get informations about the posterior draws:
|
% Get informations about the posterior draws:
|
||||||
MetropolisFolder = CheckPath('metropolis', M_.dname);
|
MetropolisFolder = CheckPath('metropolis', M_.dname);
|
||||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||||
if chain_number>record.Nblck
|
if chain_number>record.Nblck
|
||||||
error('generate_trace_plots:: chain number is bigger than existing number of chains')
|
error('generate_trace_plots:: chain number is bigger than existing number of chains')
|
||||||
end
|
end
|
||||||
|
|
|
@ -11,7 +11,7 @@ function [mhname,info] = get_name_of_the_last_mh_file(M_)
|
||||||
% file. Otherwise info is equal to zero (a likely reason for this is
|
% file. Otherwise info is equal to zero (a likely reason for this is
|
||||||
% that the mcmc simulations were not completed).
|
% that the mcmc simulations were not completed).
|
||||||
|
|
||||||
% Copyright © 2008-2017 Dynare Team
|
% Copyright © 2008-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -35,7 +35,7 @@ MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
ModelName = M_.fname;
|
ModelName = M_.fname;
|
||||||
BaseName = [MetropolisFolder filesep ModelName];
|
BaseName = [MetropolisFolder filesep ModelName];
|
||||||
|
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
|
|
||||||
mh_number = record.LastFileNumber ;
|
mh_number = record.LastFileNumber ;
|
||||||
bk_number = record.Nblck ;
|
bk_number = record.Nblck ;
|
||||||
|
|
|
@ -15,7 +15,7 @@ function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bay
|
||||||
% SPECIAL REQUIREMENTS
|
% SPECIAL REQUIREMENTS
|
||||||
% none
|
% none
|
||||||
|
|
||||||
% Copyright © 2005-2018 Dynare Team
|
% Copyright © 2005-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -33,14 +33,13 @@ function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bay
|
||||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
|
||||||
npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
|
|
||||||
nblck = options_.mh_nblck;
|
|
||||||
|
|
||||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
ModelName = M_.fname;
|
ModelName = M_.fname;
|
||||||
BaseName = [MetropolisFolder filesep ModelName];
|
BaseName = [MetropolisFolder filesep ModelName];
|
||||||
|
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
|
|
||||||
|
[nblck, npar] = size(record.LastParameters);
|
||||||
|
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
||||||
|
|
|
@ -24,7 +24,7 @@ function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params
|
||||||
%
|
%
|
||||||
% Requires CutSample to be run before in order to set up mh_history-file
|
% Requires CutSample to be run before in order to set up mh_history-file
|
||||||
|
|
||||||
% Copyright © 2003-2017 Dynare Team
|
% Copyright © 2003-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -59,7 +59,7 @@ if init
|
||||||
FileName = M_.fname;
|
FileName = M_.fname;
|
||||||
BaseName = [MetropolisFolder filesep FileName];
|
BaseName = [MetropolisFolder filesep FileName];
|
||||||
%load mh_history-file with info on what to load
|
%load mh_history-file with info on what to load
|
||||||
load_last_mh_history_file(MetropolisFolder, FileName);
|
record=load_last_mh_history_file(MetropolisFolder, FileName);
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
|
|
|
@ -18,7 +18,7 @@ function mh_autocorrelation_function(options_,M_,estim_params_,type,blck,name1,n
|
||||||
%
|
%
|
||||||
% SPECIAL REQUIREMENTS
|
% SPECIAL REQUIREMENTS
|
||||||
|
|
||||||
% Copyright © 2003-2017 Dynare Team
|
% Copyright © 2003-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -48,17 +48,19 @@ end
|
||||||
|
|
||||||
% Get informations about the posterior draws:
|
% Get informations about the posterior draws:
|
||||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||||
|
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||||
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||||
|
nblck = size(record.LastParameters,1);
|
||||||
|
|
||||||
clear record;
|
clear record;
|
||||||
|
|
||||||
% Get all the posterior draws:
|
% Get all the posterior draws:
|
||||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, blck);
|
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck, blck);
|
||||||
|
|
||||||
% Compute the autocorrelation function:
|
% Compute the autocorrelation function:
|
||||||
[autocov,autocor] = sample_autocovariance(PosteriorDraws,options_.mh_autocorrelation_function_size);
|
[autocov,autocor] = sample_autocovariance(PosteriorDraws,options_.mh_autocorrelation_function_size);
|
||||||
|
|
|
@ -37,7 +37,7 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
|
||||||
% Then the comments write here can be used for all the other pairs of
|
% Then the comments write here can be used for all the other pairs of
|
||||||
% parallel functions and also for management functions.
|
% parallel functions and also for management functions.
|
||||||
|
|
||||||
% Copyright © 2006-2017 Dynare Team
|
% Copyright © 2006-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -62,7 +62,7 @@ vv = sampler_options.invhess;
|
||||||
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
|
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
|
||||||
|
|
||||||
% Load last mh history file
|
% Load last mh history file
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
|
|
||||||
% Only for test parallel results!!!
|
% Only for test parallel results!!!
|
||||||
|
|
||||||
|
|
|
@ -340,7 +340,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
||||||
elseif options_.load_mh_file && ~options_.mh_recover
|
elseif options_.load_mh_file && ~options_.mh_recover
|
||||||
% Here we consider previous mh files (previous mh did not crash).
|
% Here we consider previous mh files (previous mh did not crash).
|
||||||
disp('Estimation::mcmc: I am loading past Metropolis-Hastings simulations...')
|
disp('Estimation::mcmc: I am loading past Metropolis-Hastings simulations...')
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
if ~isnan(record.MCMCConcludedSuccessfully) && ~record.MCMCConcludedSuccessfully
|
if ~isnan(record.MCMCConcludedSuccessfully) && ~record.MCMCConcludedSuccessfully
|
||||||
error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
|
error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
|
||||||
end
|
end
|
||||||
|
@ -400,7 +400,7 @@ elseif options_.load_mh_file && ~options_.mh_recover
|
||||||
elseif options_.mh_recover
|
elseif options_.mh_recover
|
||||||
% The previous metropolis-hastings crashed before the end! I try to recover the saved draws...
|
% The previous metropolis-hastings crashed before the end! I try to recover the saved draws...
|
||||||
disp('Estimation::mcmc: Recover mode!')
|
disp('Estimation::mcmc: Recover mode!')
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
NumberOfBlocks = record.Nblck;% Number of "parallel" mcmc chains.
|
NumberOfBlocks = record.Nblck;% Number of "parallel" mcmc chains.
|
||||||
options_.mh_nblck = NumberOfBlocks;
|
options_.mh_nblck = NumberOfBlocks;
|
||||||
|
|
||||||
|
|
|
@ -19,7 +19,7 @@ function prior_posterior_statistics(type,dataset,dataset_info)
|
||||||
% See the comments in the posterior_sampler.m funtion.
|
% See the comments in the posterior_sampler.m funtion.
|
||||||
|
|
||||||
|
|
||||||
% Copyright © 2005-2020 Dynare Team
|
% Copyright © 2005-2023 Dynare Team
|
||||||
%
|
%
|
||||||
% This file is part of Dynare.
|
% This file is part of Dynare.
|
||||||
%
|
%
|
||||||
|
@ -209,7 +209,8 @@ localVars.DirectoryName = DirectoryName;
|
||||||
|
|
||||||
if strcmpi(type,'posterior')
|
if strcmpi(type,'posterior')
|
||||||
BaseName = [DirectoryName filesep M_.fname];
|
BaseName = [DirectoryName filesep M_.fname];
|
||||||
load_last_mh_history_file(DirectoryName, M_.fname);
|
record=load_last_mh_history_file(DirectoryName, M_.fname);
|
||||||
|
[nblck, npar] = size(record.LastParameters);
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
|
@ -219,9 +220,9 @@ if strcmpi(type,'posterior')
|
||||||
mh_nblck = options_.mh_nblck;
|
mh_nblck = options_.mh_nblck;
|
||||||
if B==NumberOfDraws*mh_nblck
|
if B==NumberOfDraws*mh_nblck
|
||||||
% we load all retained MH runs !
|
% we load all retained MH runs !
|
||||||
logpost=GetAllPosteriorDraws(0, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
logpost=GetAllPosteriorDraws(0, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||||
for column=1:npar
|
for column=1:npar
|
||||||
x(:,column) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws);
|
x(:,column) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck);
|
||||||
end
|
end
|
||||||
else
|
else
|
||||||
logpost=NaN(B,1);
|
logpost=NaN(B,1);
|
||||||
|
|
|
@ -67,7 +67,7 @@ ModelName = M_.fname;
|
||||||
BaseName = [MetropolisFolder filesep ModelName];
|
BaseName = [MetropolisFolder filesep ModelName];
|
||||||
|
|
||||||
% Get informations about the mcmc:
|
% Get informations about the mcmc:
|
||||||
load_last_mh_history_file(MetropolisFolder, ModelName);
|
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
FirstLine = record.KeepedDraws.FirstLine;
|
FirstLine = record.KeepedDraws.FirstLine;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
|
|
|
@ -53,16 +53,17 @@ end
|
||||||
|
|
||||||
% Get informations about the posterior draws:
|
% Get informations about the posterior draws:
|
||||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||||
load_last_mh_history_file(MetropolisFolder, M_.fname);
|
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
|
||||||
|
|
||||||
FirstMhFile = 1;
|
FirstMhFile = 1;
|
||||||
FirstLine = 1;
|
FirstLine = 1;
|
||||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||||
|
[mh_nblck] = size(record.LastParameters,2);
|
||||||
clear record;
|
clear record;
|
||||||
|
|
||||||
% Get all the posterior draws:
|
% Get all the posterior draws:
|
||||||
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, blck);
|
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
|
||||||
|
|
||||||
|
|
||||||
% Plot the posterior draws:
|
% Plot the posterior draws:
|
||||||
|
|
Loading…
Reference in New Issue