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Variable number of parameter MCMC convergence plots 

This change allows the user to change the number of parameters for which the MCMC convergence diagnostics are shown. The user needs to set a value for options_.convergence.brooksgelman.plotrows for an arbitrary number of parameters to be shown, but defaulting to 3 if no input is supplied.
remove-submodule
William Gatt 2023-07-05 10:07:38 +00:00 committed by Sébastien Villemot
parent 8b945dfd64
commit eb5eefdcf0
2 changed files with 9 additions and 5 deletions
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12
matlab/convergence_diagnostics/McMCDiagnostics.m
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@ -48,6 +48,7 @@ MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
load_last_mh_history_file(MetropolisFolder, ModelName);
NumberOfMcFilesPerBlock = record.LastFileNumber;
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)
@ -284,12 +285,13 @@ end
UDIAG(:,[2 4 6],:) = UDIAG(:,[2 4 6],:)/nblck;
skipline()
clear pmet temp moyenne CSUP CINF csup cinf n linea iter tmp;
pages = floor(npar/3);
pages = floor(npar/npardisp); % changed from 3 to npardisp
k = 0;
for i = 1:pages
h=dyn_figure(options_.nodisplay,'Name','MCMC univariate convergence diagnostic (Brooks and Gelman,1998)');
boxplot = 1;
for j = 1:3 % Loop over parameters
for j = 1:npardisp % Loop over parameters %npardisp instead of 3
k = k+1;
[nam,namtex] = get_the_name(k,TeX,M_,estim_params_,options_);
for crit = 1:3% Loop over criteria
@ -306,7 +308,7 @@ for i = 1:pages
plt2 = UDIAG(:,6,k);
namnam = [nam , ' (m3)'];
end
subplot(3,3,boxplot);
subplot(npardisp,3,boxplot); %Added more rows to display more variables
plot(xx,plt1,'-b'); % Pooled
hold on;
plot(xx,plt2,'-r'); % Within (mean)
@ -339,8 +341,8 @@ if reste
if reste == 1
nr = 3;
nc = 1;
elseif reste == 2
nr = 2;
else % Conditional for additional rows (variables) when not towards the end of the loop
nr = npardisp;
nc = 3;
end
h = dyn_figure(options_.nodisplay,'Name','MCMC univariate convergence diagnostic (Brooks and Gelman, 1998)');

2
matlab/default_option_values.m
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@ -766,6 +766,8 @@ options_.convergence.geweke.geweke_interval=[0.2 0.5];
%Raftery/Lewis convergence diagnostics;
options_.convergence.rafterylewis.indicator=false;
options_.convergence.rafterylewis.qrs=[0.025 0.005 0.95];
%Brooks Gelman convergence plots
options_.convergence.brooksgelman.plotrows=3;
%tolerance for Modified Harmonic Mean estimator
options_.marginal_data_density.harmonic_mean.tolerance = 0.01;