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

calibrate_mh_scale_parameter.m: Expand header

time-shift
Johannes Pfeifer 2021-06-01 11:34:39 +02:00
parent f51a57374a
commit f4c0781f45
1 changed files with 26 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

28
matlab/calibrate_mh_scale_parameter.m
View File

@ -1,5 +1,5 @@
function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatrix, Parameters, MhBounds, options, varargin)
% function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatrix, Parameters, MhBounds, options, varargin)
% Tune the MH scale parameter so that the overall acceptance ratio is close to AcceptanceTarget.
%
% INPUTS
@ -11,7 +11,31 @@ function Scale = calibrate_mh_scale_parameter(ObjectiveFunction, CovarianceMatri
% - varargin [cell] Additional arguments to be passed to ObjectiveFunction.
%
% OUTPUTS
% - Scale [double] scalar, optimal scale parameter for teh jumping distribution.
% - Scale [double] scalar, optimal scale parameter for the jumping distribution.
%
% Note: program terminates if c3 consecutive runs of stepsize draws occured where
% i) the overall acceptance rate was less than c1 from target and
% ii) less than c2 over the last stepsize=2000 draws.
% Adjustment between steps takes place using a weighted average with the exponent being rho
% Copyright (C) 2020-2021 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/>.
% Fire up the wait bar
hh = dyn_waitbar(0,'Tuning of the scale parameter...');