diff --git a/matlab/calibrate_mh_scale_parameter.m b/matlab/calibrate_mh_scale_parameter.m index 410891059..4425e7516 100644 --- a/matlab/calibrate_mh_scale_parameter.m +++ b/matlab/calibrate_mh_scale_parameter.m @@ -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 . % Fire up the wait bar hh = dyn_waitbar(0,'Tuning of the scale parameter...');