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C++ Estimation DLL: Update of logMHMCMCposterior.cc with a draft octave MAT draws file save and adding a test random_walk_metropolis_hastings_core.m: Octave version crashes at start of DLL and Matlab version finishes with low acceptance due to frequent B&K and reports error within debugger too - needs more debugging!

time-shift
George Perendia 2010-11-03 09:05:04 +00:00
parent 03fac30723
commit fa3e19fdfb
6 changed files with 657 additions and 95 deletions
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36
mex/sources/estimation/KalmanFilter.cc
View File

@ -80,15 +80,24 @@ KalmanFilter::compute(const MatrixConstView &dataView, VectorView &steadyState,
VectorView &vll, MatrixView &detrendedDataView,
size_t start, size_t period, double &penalty, int &info)
{
if(period==0) // initialise all KF matrices
initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T, Pstar, Pinf,
penalty, dataView, detrendedDataView, info);
else // initialise parameter dependent KF matrices only but not Ps
initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T,
penalty, dataView, detrendedDataView, info);
double lik= filter(detrendedDataView, H, vll, start, info);
double lik=INFINITY;
try
{
if(period==0) // initialise all KF matrices
initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T, Pstar, Pinf,
penalty, dataView, detrendedDataView, info);
else // initialise parameter dependent KF matrices only but not Ps
initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T,
penalty, dataView, detrendedDataView, info);
lik= filter(detrendedDataView, H, vll, start, info);
}
catch (const DecisionRules::BlanchardKahnException &bke)
{
info =22;
return penalty;
}
if (info != 0)
return penalty;
else
@ -97,7 +106,7 @@ KalmanFilter::compute(const MatrixConstView &dataView, VectorView &steadyState,
};
/**
* 30:*
* Multi-variate standard Kalman Filter
*/
double
KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, VectorView &vll, size_t start, int &info)
@ -110,6 +119,7 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
if (nonstationary)
{
// K=PZ'
//blas::gemm("N", "T", 1.0, Pstar, Z, 0.0, K);
blas::symm("L", "U", 1.0, Pstar, Zt, 0.0, K);
//F=ZPZ' +H = ZK+H
@ -141,6 +151,7 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
Pstar(i,j)*=0.5;
// K=PZ'
//blas::gemm("N", "T", 1.0, Pstar, Z, 0.0, K);
blas::symm("L", "U", 1.0, Pstar, Zt, 0.0, K);
//F=ZPZ' +H = ZK+H
@ -167,7 +178,8 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
Fdet = 1;
for (size_t d = 1; d <= p; ++d)
Fdet *= FUTP(d + (d-1)*d/2 -1);
Fdet *=Fdet;
Fdet *=Fdet;//*pow(-1.0,p);
logFdet=log(fabs(Fdet));
Ptmp = Pstar;
@ -181,10 +193,6 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
// 3) Pt+1= Ptmp*T' +RQR'
Pstar = RQRt;
blas::gemm("N", "T", 1.0, Ptmp, T, 1.0, Pstar);
//enforce Pstar symmetry with P=(P+P')/2=0.5P+0.5P'
//blas::gemm("N", "T", 0.5, Ptmp, T, 0.5, Pstar);
//mat::transpose(Ptmp, Pstar);
//mat::add(Pstar,Ptmp);
if (t>0)
nonstationary = mat::isDiff(KFinv, oldKFinv, riccati_tol);

13
mex/sources/estimation/LogLikelihoodSubSample.cc
View File

@ -36,7 +36,7 @@ LogLikelihoodSubSample::LogLikelihoodSubSample(const std::string &dynamicDllFile
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, int &INinfo) :
estiParDesc(INestiParDesc),
startPenalty(-1e8),estiParDesc(INestiParDesc),
kalmanFilter(dynamicDllFile, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
varobs, riccati_tol, lyapunov_tol, INinfo), eigQ(n_exo), eigH(varobs.size()), info(INinfo)
{
@ -46,6 +46,8 @@ double
LogLikelihoodSubSample::compute(VectorView &steadyState, const MatrixConstView &dataView, const Vector &estParams, Vector &deepParams,
Matrix &Q, Matrix &H, VectorView &vll, MatrixView &detrendedDataView, int &info, size_t start, size_t period)
{
penalty=startPenalty;
logLikelihood=startPenalty;
updateParams(estParams, deepParams, Q, H, period);
if (info == 0)
@ -84,17 +86,11 @@ LogLikelihoodSubSample::updateParams(const Vector &estParams, Vector &deepParams
break;
case EstimatedParameter::measureErr_SD:
#ifdef DEBUG
mexPrintf("Setting of H var_endo\n");
#endif
k = estiParDesc.estParams[i].ID1;
H(k, k) = estParams(i)*estParams(i);
break;
case EstimatedParameter::shock_Corr:
#ifdef DEBUG
mexPrintf("Setting of Q corrx\n");
#endif
k1 = estiParDesc.estParams[i].ID1;
k2 = estiParDesc.estParams[i].ID2;
Q(k1, k2) = estParams(i)*sqrt(Q(k1, k1)*Q(k2, k2));
@ -128,9 +124,6 @@ LogLikelihoodSubSample::updateParams(const Vector &estParams, Vector &deepParams
break;
case EstimatedParameter::measureErr_Corr:
#ifdef DEBUG
mexPrintf("Setting of H corrn\n");
#endif
k1 = estiParDesc.estParams[i].ID1;
k2 = estiParDesc.estParams[i].ID2;
// H(k1,k2) = xparam1(i)*sqrt(H(k1,k1)*H(k2,k2));

3
mex/sources/estimation/LogLikelihoodSubSample.hh
View File

@ -43,13 +43,14 @@ public:
virtual ~LogLikelihoodSubSample();
private:
double penalty;
double startPenalty, penalty;
double logLikelihood;
EstimatedParametersDescription &estiParDesc;
KalmanFilter kalmanFilter;
VDVEigDecomposition eigQ;
VDVEigDecomposition eigH;
int &info;
// methods
void updateParams(const Vector &estParams, Vector &deepParams,
Matrix &Q, Matrix &H, size_t period);

41
mex/sources/estimation/RandomWalkMetropolisHastings.cc
View File

@ -19,17 +19,27 @@
#include "RandomWalkMetropolisHastings.hh"
#include <iostream>
#include <fstream>
double
RandomWalkMetropolisHastings::compute(VectorView &mhLogPostDens, MatrixView &mhParams, Matrix &steadyState,
Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H,
const size_t presampleStart, int &info, const size_t startDraw, size_t nMHruns, const Matrix &Dscale,
LogPosteriorDensity &lpd, Prior &drawDistribution, EstimatedParametersDescription &epd)
{
//streambuf *likbuf, *drawbuf *backup;
std::ofstream urandfilestr, drawfilestr;
urandfilestr.open ("urand.csv");
drawfilestr.open ("paramdraws.csv");
bool overbound;
double newLogpost, logpost;
double newLogpost, logpost, urand;
size_t count, accepted = 0;
parDraw = estParams;
logpost = - lpd.compute(steadyState, estParams, deepParams, data, Q, H, presampleStart, info);
for (size_t run = startDraw - 1; run < nMHruns; ++run)
{
overbound=false;
@ -49,25 +59,36 @@ RandomWalkMetropolisHastings::compute(VectorView &mhLogPostDens, MatrixView &mhP
{
newLogpost = - lpd.compute(steadyState, newParDraw, deepParams, data, Q, H, presampleStart, info);
}
catch(...)
catch(const std::exception &e)
{
throw; // for now handle the system and other errors higher-up
}
catch (...)
{
newLogpost = -INFINITY;
}
}
if ((newLogpost > -INFINITY) && log(uniform.drand()) < newLogpost-logpost)
urand=uniform.drand();
if ((newLogpost > -INFINITY) && log(urand) < newLogpost-logpost)
{
mat::get_row(mhParams, run) = newParDraw;
parDraw = newParDraw;
mhLogPostDens(run) = newLogpost;
logpost = newLogpost;
accepted++;
}
else
{
mat::get_row(mhParams, run) = parDraw;
mhLogPostDens(run) = logpost;
}
mat::get_row(mhParams, run) = parDraw;
mhLogPostDens(run) = logpost;
//urandfilestr.write(urand);
urandfilestr << urand << "\n"; //","
for (size_t c=0;c<newParDraw.getSize()-1;++c)
drawfilestr << newParDraw(c) << ",";
// drawfilestr.write(newParDraw(i));
drawfilestr << newParDraw(newParDraw.getSize()-1) << "\n";
}
urandfilestr.close();
drawfilestr.close();
return (double) accepted/(nMHruns-startDraw+1);
}

351
mex/sources/estimation/logMHMCMCposterior.cc
View File

@ -28,8 +28,10 @@
#include "RandomWalkMetropolisHastings.hh"
#include "mex.h"
#ifdef MATLAB_MEX_FILE
#if defined MATLAB_MEX_FILE
# include "mat.h"
#else // OCTAVE_MEX_FILE e.t.c.
#include "matio.h"
#endif
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(WINDOWS)
@ -100,53 +102,84 @@ fillEstParamsInfo(const mxArray *estim_params_info, EstimatedParameter::pType ty
}
}
size_t
int
sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
Matrix &steadyState, Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H,
const size_t presampleStart, int &info, const VectorConstView &nruns, const size_t fblock, const size_t nBlocks,
size_t presampleStart, int &info, const VectorConstView &nruns, size_t fblock, size_t nBlocks,
const Matrix &Jscale, Prior &drawDistribution, EstimatedParametersDescription &epd,
const std::string &resultsFileStem, size_t console_mode, size_t load_mh_file)
{
enum {iMin, iMax};
int iret=0; // return value
std::vector<size_t> OpenOldFile(nBlocks, 0);
size_t jloop = 0, irun, j; // counters
double dsum, dmax, dmin, sux = 0, jsux = 0;
std::string mhFName;
std::stringstream ssFName;
#ifdef MATLAB_MEX_FILE
#if defined MATLAB_MEX_FILE
MATFile *drawmat; // MCMC draws output file pointer
int matfStatus;
#else // OCTAVE_MEX_FILE e.t.c.
int dims[2];
mat_t *drawmat;
matvar_t *matvar;
int matfStatus;
#endif
FILE *fidlog; // log file
size_t npar = estParams.getSize();
Matrix MinMax(npar, 2);
const mxArray *myinputs = mexGetVariablePtr("caller", "myinputs");
const mxArray *InitSizeArrayPtr = mxGetField(myinputs, 0, "InitSizeArray");
const mxArray *InitSizeArrayPtr = mexGetVariablePtr("caller", "InitSizeArray");
if (InitSizeArrayPtr==NULL || InitSizeArrayPtr==0 || (long)InitSizeArrayPtr==-1)
{
mexPrintf("Metropolis-Hastings myinputs field InitSizeArrayPtr Initialisation failed!\n");
return(-1);
}
const VectorConstView InitSizeArrayVw(mxGetPr(InitSizeArrayPtr), nBlocks, 1);
Vector InitSizeArray(InitSizeArrayVw.getSize());
InitSizeArray = InitSizeArrayVw;
const mxArray *flinePtr = mxGetField(myinputs, 0, "fline");
//const mxArray *flinePtr = mxGetField(myinputs, 0, "fline");
const mxArray *flinePtr = mexGetVariable("caller", "fline");
if (flinePtr==NULL || flinePtr==0 || (long)flinePtr==-1)
{
mexPrintf("Metropolis-Hastings myinputs field fline Initialisation failed!\n");
return(-1);
}
VectorView fline(mxGetPr(flinePtr), nBlocks, 1);
mxArray *NewFileArrayPtr = mxGetField(myinputs, 0, "NewFile");
mxArray *NewFileArrayPtr = mexGetVariable("caller", "NewFile");
if (NewFileArrayPtr==NULL || NewFileArrayPtr==0 || (long)NewFileArrayPtr==-1)
{
mexPrintf("Metropolis-Hastings myinputs fields NewFileArrayPtr Initialisation failed!\n");
return(-1);
}
VectorView NewFileVw(mxGetPr(NewFileArrayPtr), nBlocks, 1);
Vector NewFile(NewFileVw.getSize());
NewFile = NewFileVw;
//Vector NewFile(NewFileVw.getSize());
//NewFile = NewFileVw;
const mxArray *MAX_nrunsPtr = mxGetField(myinputs, 0, "MAX_nruns");
const mxArray *MAX_nrunsPtr = mexGetVariablePtr("caller", "MAX_nruns");
const size_t MAX_nruns = (size_t) mxGetScalar(MAX_nrunsPtr);
//ix2=myinputs.ix2;
const mxArray *blockStartParamsPtr = mxGetField(myinputs, 0, "ix2");
const mxArray *blockStartParamsPtr = mexGetVariable("caller", "ix2");
MatrixView blockStartParamsMxVw(mxGetPr(blockStartParamsPtr), nBlocks, npar, nBlocks);
Vector startParams(npar);
//ilogpo2=myinputs.ilogpo2;
mxArray *mxFirstLogLikPtr = mxGetField(myinputs, 0, "ilogpo2");
const mxArray *mxFirstLogLikPtr = mexGetVariable("caller", "ilogpo2");
VectorView FirstLogLiK(mxGetPr(mxFirstLogLikPtr), nBlocks, 1);
const mxArray *record = mxGetField(myinputs, 0, "record");
const mxArray *record = mexGetVariable("caller", "record");
//const mxArray *record = mxGetField(myinputs, 0, "record");
if (record==NULL || record==0 || (long)record==-1)
{
mexPrintf("Metropolis-Hastings record Initialisation failed!\n");
return(-1);
}
mxArray *AcceptationRatesPtr = mxGetField(record, 0, "AcceptationRates");
if (AcceptationRatesPtr==NULL || AcceptationRatesPtr==0 || (long)AcceptationRatesPtr==-1)
{
mexPrintf("Metropolis-Hastings record AcceptationRatesPtr Initialisation failed!\n");
return(-1);
}
VectorView AcceptationRates(mxGetPr(AcceptationRatesPtr), nBlocks, 1);
mxArray *mxLastParametersPtr = mxGetField(record, 0, "LastParameters");
@ -160,6 +193,7 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mxArray *mxMhParamDrawsPtr = 0;
size_t currInitSizeArray = 0;
#if defined MATLAB_MEX_FILE
// Waitbar
mxArray *waitBarRhs[3], *waitBarLhs[1];
waitBarRhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
@ -178,21 +212,22 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mxDestroyArray(waitBarRhs[1]);
waitBarRhs[1] = waitBarLhs[0];
}
#endif
for (size_t b = fblock; b <= nBlocks; ++b)
{
jloop = jloop+1;
#ifdef MATLAB_MEX_FILE
#if defined MATLAB_MEX_FILE
if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
{
// load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
ssFName.clear();
ssFName.str("");
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFile(b-1) << "_blck" << b << ".mat";
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = matOpen(mhFName.c_str(), "r");
mexPrintf("MH: Open mhFName.c_str %s \n", mhFName.c_str());
mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
if (drawmat == 0)
{
fline(b) = 1;
@ -208,16 +243,109 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
OpenOldFile[b] = 1;
}
} // end if
if (console_mode==0)
{
ssbarTitle.clear();
ssbarTitle.str("");
ssbarTitle << "Please wait... Metropolis-Hastings " << b << "/" << nBlocks << " ...";
barTitle = ssbarTitle.str();
waitBarRhs[2] = mxCreateString(barTitle.c_str());
//strcpy( *mxGetPr(waitBarRhs[1]), mhFName.c_str());
*mxGetPr(waitBarRhs[0]) = (double) 0.0;
mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
mxDestroyArray(waitBarRhs[2]);
}
#else //if defined OCTAVE_MEX_FILE
if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
{
// load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
{
// new or different size result arrays/matrices
currInitSizeArray = (size_t) InitSizeArray(b-1);
if (mxMhLogPostDensPtr)
mxDestroyArray(mxMhLogPostDensPtr); // log post density array
mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
if( mxMhLogPostDensPtr == NULL)
{
mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
return(-1);
}
if (mxMhParamDrawsPtr)
mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
if( mxMhParamDrawsPtr == NULL)
{
mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
return(-1);
}
}
ssFName.clear();
ssFName.str("");
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = Mat_Open(mhFName.c_str(), MAT_ACC_RDONLY);
if (drawmat == NULL)
{
fline(b) = 1;
mexPrintf("Error in MH: Can not open old draws Mat file for reading: %s \n \
Starting a new file instead! \n", mhFName.c_str());
}
else
{
int start[2]={0,0},edge[2]={2,2},stride[2]={1,1}, err=0;
mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
// matvar = Mat_VarReadInfo(drawmat, "x2");
matvar = Mat_VarReadInfo(drawmat, (char *)"x2");
if (matvar == NULL)
{
fline(b) = 1;
mexPrintf("Error in MH: Can not read old draws Mat file for reading: %s \n \
Starting a new file instead! \n", mhFName.c_str());
}
else
{
// GetVariable(drawmat, "x2");
dims[0] = matvar->dims[0]-1;
dims[1] = matvar->dims[1]-1;
err=Mat_VarReadData(drawmat,matvar,mxGetPr(mxMhParamDrawsPtr),start,stride,matvar->dims);
if (err)
{
fline(b) = 1;
mexPrintf("Error in MH: Can not retreive old draws from Mat file: %s \n \
Starting a new file instead! \n", mhFName.c_str());
}
Mat_VarFree(matvar);
}
//mxMhLogPostDensPtr = Mat_GetVariable(drawmat, "logpo2");
matvar = Mat_VarReadInfo(drawmat, (char*)"logpo2");
if (matvar == NULL)
{
fline(b) = 1;
mexPrintf("Error in MH: Can not read old logPos Mat file for reading: %s \n \
Starting a new file instead! \n", mhFName.c_str());
}
else
{
// GetVariable(drawmat, "x2");
dims[0] = matvar->dims[0]-1;
dims[1] = matvar->dims[1]-1;
err=Mat_VarReadData(drawmat,matvar,mxGetPr(mxMhLogPostDensPtr),start,stride,matvar->dims);
if (err)
{
fline(b) = 1;
mexPrintf("Error in MH: Can not retreive old logPos from Mat file: %s \n \
Starting a new file instead! \n", mhFName.c_str());
}
Mat_VarFree(matvar);
}
Mat_Close(drawmat);
OpenOldFile[b] = 1;
}
} // end if
#endif
ssbarTitle.clear();
ssbarTitle.str("");
ssbarTitle << "Please wait... Metropolis-Hastings " << b << "/" << nBlocks << " ...";
barTitle = ssbarTitle.str();
waitBarRhs[2] = mxCreateString(barTitle.c_str());
//strcpy( *mxGetPr(waitBarRhs[1]), mhFName.c_str());
*mxGetPr(waitBarRhs[0]) = (double) 0.0;
mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
mxDestroyArray(waitBarRhs[2]);
VectorView LastParametersRow = mat::get_row(LastParameters, b-1);
@ -229,26 +357,92 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
{
if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
{
mexPrintf(" Init 2 Arrays\n");
// new or different size result arrays/matrices
currInitSizeArray = (size_t) InitSizeArray(b-1);
if (mxMhLogPostDensPtr)
mxDestroyArray(mxMhLogPostDensPtr); // log post density array
mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
if( mxMhLogPostDensPtr == NULL)
{
mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
return(-1);
}
if (mxMhParamDrawsPtr)
mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
if( mxMhParamDrawsPtr == NULL)
{
mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
return(-1);
}
}
startParams = LastParametersRow;
VectorView mhLogPostDens(mxGetPr(mxMhLogPostDensPtr), currInitSizeArray, (size_t) 1);
MatrixView mhParamDraws(mxGetPr(mxMhParamDrawsPtr), currInitSizeArray, npar, currInitSizeArray);
jsux = rwmh.compute(mhLogPostDens, mhParamDraws, steadyState, startParams, deepParams, data, Q, H,
try
{
jsux = rwmh.compute(mhLogPostDens, mhParamDraws, steadyState, startParams, deepParams, data, Q, H,
presampleStart, info, irun, currInitSizeArray, Jscale, lpd, drawDistribution, epd);
irun = currInitSizeArray;
sux += jsux*currInitSizeArray;
j += currInitSizeArray; //j=j+1;
irun = currInitSizeArray;
sux += jsux*currInitSizeArray;
j += currInitSizeArray; //j=j+1;
}
catch (const TSException &tse)
{
iret=-100;
mexPrintf(" TSException Exception in RandomWalkMH dynamic_dll: %s \n", (tse.getMessage()).c_str());
goto cleanup;
}
catch (const DecisionRules::BlanchardKahnException &bke)
{
iret=-90;
mexPrintf(" Too many Blanchard-Kahn Exceptions in RandomWalkMH : n_fwrd_vars %d n_explosive_eigenvals %d \n", bke.n_fwrd_vars, bke.n_explosive_eigenvals);
goto cleanup;
}
catch (const GeneralizedSchurDecomposition::GSDException &gsde)
{
iret=-80;
mexPrintf(" GeneralizedSchurDecomposition Exception in RandomWalkMH: info %d, n %d \n", gsde.info, gsde.n);
goto cleanup;
}
catch (const LUSolver::LUException &lue)
{
iret=-70;
mexPrintf(" LU Exception in RandomWalkMH : info %d \n", lue.info);
goto cleanup;
}
catch (const VDVEigDecomposition::VDVEigException &vdve)
{
iret=-60;
mexPrintf(" VDV Eig Exception in RandomWalkMH : %s , info: %d\n", vdve.message.c_str(), vdve.info);
goto cleanup;
}
catch (const DiscLyapFast::DLPException &dlpe)
{
iret=-50;
mexPrintf(" Lyapunov solver Exception in RandomWalkMH : %s , info: %d\n", dlpe.message.c_str(), dlpe.info);
goto cleanup;
}
catch (const std::runtime_error &re)
{
iret=-3;
mexPrintf(" Runtime Error Exception in RandomWalkMH: %s \n", re.what());
goto cleanup;
}
catch (const std::exception &e)
{
iret=-2;
mexPrintf(" Standard System Exception in RandomWalkMH: %s \n", e.what());
goto cleanup;
}
catch (...)
{
iret=-1000;
mexPrintf(" Unknown unhandled Exception in RandomWalkMH! %s \n");
goto cleanup;
}
// if exist('OCTAVE_VERSION') ||
#if defined MATLAB_MEX_FILE
if (console_mode)
mexPrintf(" MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
else
@ -265,12 +459,11 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
}
#ifdef MATLAB_MEX_FILE
// % Now I save the simulations
// save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
ssFName.clear();
ssFName.str("");
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFile(b-1) << "_blck" << b << ".mat";
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = matOpen(mhFName.c_str(), "w");
if (drawmat == 0)
@ -291,6 +484,43 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
exit(1);
}
matClose(drawmat);
#else
printf(" MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
// % Now I save the simulations
// save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
ssFName.clear();
ssFName.str("");
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = Mat_Open(mhFName.c_str(), MAT_ACC_RDWR);
if (drawmat == 0)
{
mexPrintf("Error in MH: Can not open draws Mat file for writing: %s \n", mhFName.c_str());
exit(1);
}
dims[0]= currInitSizeArray;
dims[1]= npar;
matvar = Mat_VarCreate("x2",MAT_C_DOUBLE,MAT_T_DOUBLE,2,dims,mxGetPr(mxMhParamDrawsPtr),0);
matfStatus=Mat_VarWrite( drawmat, matvar, 0);
Mat_VarFree(matvar);
if (matfStatus)
{
mexPrintf("Error in MH: Can not use draws Mat file for writing: %s \n", mhFName.c_str());
exit(1);
}
//matfStatus = matPutVariable(drawmat, "logpo2", mxMhLogPostDensPtr);
dims[1]= 1;
matvar = Mat_VarCreate("logpo2",MAT_C_DOUBLE,MAT_T_DOUBLE,2,dims,mxGetPr(mxMhLogPostDensPtr),0);
matfStatus=Mat_VarWrite( drawmat, matvar, 0);
Mat_VarFree(matvar);
if (matfStatus)
{
mexPrintf("Error in MH: Can not usee draws Mat file for writing: %s \n", mhFName.c_str());
exit(1);
}
Mat_Close(drawmat);
#endif
// save log to fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
@ -299,7 +529,7 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mhFName = ssFName.str();
fidlog = fopen(mhFName.c_str(), "a");
fprintf(fidlog, "\n");
fprintf(fidlog, "%% Mh%dBlck%d ( %s %s )\n", (int) NewFile(b-1), b, __DATE__, __TIME__);
fprintf(fidlog, "%% Mh%dBlck%d ( %s %s )\n", (int) NewFileVw(b-1), b, __DATE__, __TIME__);
fprintf(fidlog, " \n");
fprintf(fidlog, " Number of simulations.: %d \n", currInitSizeArray); // (length(logpo2)) ');
fprintf(fidlog, " Acceptation rate......: %f \n", jsux);
@ -326,45 +556,43 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
jsux = 0;
LastParametersRow = mat::get_row(mhParamDraws, currInitSizeArray-1); //x2(end,:);
LastLogLiK(b-1) = mhLogPostDens(currInitSizeArray-1); //logpo2(end);
InitSizeArray(b-1) = std::min((size_t) nruns(b-1)-j, MAX_nruns);
InitSizeArray(b-1) = std::min( (size_t) nruns(b-1)-j, MAX_nruns);
// initialization of next file if necessary
if (InitSizeArray(b-1))
{
NewFile(b-1) = NewFile(b-1) + 1;
irun = 0;
NewFileVw(b-1)++;// = NewFile(b-1) + 1;
irun = 1;
} // end
irun++;
//irun++;
} // end while % End of the simulations for one mh-block.
//record.
AcceptationRates(b-1) = sux/j;
OpenOldFile[b] = 0;
} // end % End of the loop over the mh-blocks.
mexPrintf(" put Var record.AcceptationRates \n");
if (mexPutVariable("caller", "record.AcceptationRates", AcceptationRatesPtr))
mexPrintf("MH Warning: due to error record.AcceptationRates is NOT set !! \n");
//else mexPrintf(" record.AcceptationRates is now set !! \n");
if (mexPutVariable("caller", "record.LastParameters", mxLastParametersPtr))
mexPrintf("MH Warning: due to error record.MhParamDraw is NOT set !! \n");
if (mexPutVariable("caller", "record_AcceptationRates", AcceptationRatesPtr))
mexPrintf("MH Warning: due to error record_AcceptationRates is NOT set !! \n");
if (mexPutVariable("caller", "record.LastLogLiK", mxLastLogLikPtr))
mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
if (mexPutVariable("caller", "record_LastParameters", mxLastParametersPtr))
mexPrintf("MH Warning: due to error record_MhParamDraw is NOT set !! \n");
if (mexPutVariable("caller", "record.LastLogLiK2", mxLastLogLikPtr))
mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
if (mexPutVariable("caller", "LastLogLiK3", mxLastLogLikPtr))
mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
if (mexPutVariable("caller", "record_LastLogLiK", mxLastLogLikPtr))
mexPrintf("MH Warning: due to error record_LastLogLiK is NOT set !! \n");
NewFileVw = NewFile;
//NewFileVw = NewFile;
if (mexPutVariable("caller", "NewFile", NewFileArrayPtr))
mexPrintf("MH Warning: due to error NewFile is NOT set !! \n");
// Cleanup
mexPrintf("MH Cleanup !! \n");
cleanup:
if (mxMhLogPostDensPtr)
mxDestroyArray(mxMhLogPostDensPtr); // delete log post density array
if (mxMhParamDrawsPtr)
mxDestroyArray(mxMhParamDrawsPtr); // delete accepted MCMC MH draws
#ifdef MATLAB_MEX_FILE
// Waitbar
if (console_mode==0)
{
@ -372,17 +600,20 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
// now left commented out and the waitbar neeeds to be closed manually
// alternativelly, call with options_.console_mode=1;
//mexCallMATLAB(0, NULL, 1, waitBarLhs, "close");
mxDestroyArray(waitBarLhs[0]);
//mxDestroyArray(waitBarLhs[0]);
mxDestroyArray(waitBarRhs[1]);
mxDestroyArray(waitBarRhs[0]);
}
#endif
// return last line run in the last MH block sub-array
return irun;
// return error code or last line run in the last MH block sub-array
if (iret==0)
iret=(int)irun;
return iret;
}
size_t
int
logMCMCposterior(const VectorConstView &estParams, const MatrixConstView &data, const std::string &mexext,
const size_t fblock, const size_t nBlocks, const VectorConstView &nMHruns, const MatrixConstView &D)
{
@ -494,7 +725,7 @@ logMCMCposterior(const VectorConstView &estParams, const MatrixConstView &data,
blas::gemm("N", "N", 1.0, D, Jscale, 0.0, Dscale);
//sample MHMCMC draws and get get last line run in the last MH block sub-array
size_t lastMHblockArrayLine = sampleMHMC(lpd, rwmh, steadyState, estParams2, deepParams, data, Q, H, presample, info,
int lastMHblockArrayLine = sampleMHMC(lpd, rwmh, steadyState, estParams2, deepParams, data, Q, H, presample, info,
nMHruns, fblock, nBlocks, Dscale, drawGaussDist01, epd, resultsFileStem, console_mode, load_mh_file);
// Cleanups
@ -541,7 +772,7 @@ mexFunction(int nlhs, mxArray *plhs[],
MatrixConstView D(mxGetPr(prhs[6]), mxGetM(prhs[6]), mxGetN(prhs[6]), mxGetM(prhs[6]));
//calculate MHMCMC draws and get get last line run in the last MH block sub-array
size_t lastMHblockArrayLine = logMCMCposterior(estParams, data, mexext, fblock, nBlocks, nMHruns, D);
int lastMHblockArrayLine = logMCMCposterior(estParams, data, mexext, fblock, nBlocks, nMHruns, D);
*mxGetPr(plhs[0]) = (double) lastMHblockArrayLine;
}

308
mex/sources/estimation/tests/random_walk_metropolis_hastings_core.m Normal file
View File

@ -0,0 +1,308 @@
function myoutput = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab)
% PARALLEL CONTEXT
% This function contain the most computationally intensive portion of code in
% random_walk_metropolis_hastings (the 'for xxx = fblck:nblck' loop). The branches in 'for'
% cycle and are completely independent than suitable to be executed in parallel way.
%
% INPUTS
% o myimput [struc] The mandatory variables for local/remote
% parallel computing obtained from random_walk_metropolis_hastings.m
% function.
% o fblck and nblck [integer] The Metropolis-Hastings chains.
% o whoiam [integer] In concurrent programming a modality to refer to the differents thread running in parallel is needed.
% The integer whoaim is the integer that
% allows us to distinguish between them. Then it is the index number of this CPU among all CPUs in the
% cluster.
% o ThisMatlab [integer] Allows us to distinguish between the
% 'main' matlab, the slave matlab worker, local matlab, remote matlab,
% ... Then it is the index number of this slave machine in the cluster.
% OUTPUTS
% o myoutput [struc]
% If executed without parallel is the original output of 'for b =
% fblck:nblck' otherwise a portion of it computed on a specific core or
% remote machine. In this case:
% record;
% irun;
% NewFile;
% OutputFileName
%
% ALGORITHM
% Portion of Metropolis-Hastings.
%
% SPECIAL REQUIREMENTS.
% None.
% PARALLEL CONTEXT
% The most computationally intensive part of this function may be executed
% in parallel. The code sutable to be executed in parallel on multi core or cluster machine,
% is removed from this function and placed in random_walk_metropolis_hastings_core.m funtion.
% Then the DYNARE parallel package contain a set of pairs matlab functios that can be executed in
% parallel and called name_function.m and name_function_core.m.
% In addition in the parallel package we have second set of functions used
% to manage the parallel computation.
%
% This function was the first function to be parallelized, later other
% functions have been parallelized using the same methodology.
% Then the comments write here can be used for all the other pairs of
% parallel functions and also for management funtions.
% Copyright (C) 2006-2008,2010 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_
% reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
TargetFun=myinputs.TargetFun;
ProposalFun=myinputs.ProposalFun;
xparam1=myinputs.xparam1;
vv=myinputs.vv;
mh_bounds=myinputs.mh_bounds;
ix2=myinputs.ix2;
ilogpo2=myinputs.ilogpo2;
ModelName=myinputs.ModelName;
fline=myinputs.fline;
npar=myinputs.npar;
nruns=myinputs.nruns;
NewFile=myinputs.NewFile;
MAX_nruns=myinputs.MAX_nruns;
d=myinputs.d;
InitSizeArray=myinputs.InitSizeArray;
record=myinputs.record;
varargin=myinputs.varargin;
% Necessary only for remote computing!
if whoiam
Parallel=myinputs.Parallel;
MasterName=myinputs.MasterName;
DyMo=myinputs.DyMo;
% initialize persistent variables in priordens()
priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, ...
bayestopt_.p3,bayestopt_.p4,1);
end
% (re)Set the penalty
bayestopt_.penalty = Inf;
MhDirectoryName = CheckPath('metropolis');
options_.lik_algo = 1;
OpenOldFile = ones(nblck,1);
if strcmpi(ProposalFun,'rand_multivariate_normal')
n = npar;
elseif strcmpi(ProposalFun,'rand_multivariate_student')
n = options_.student_degrees_of_freedom;
end
% load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
%%%%
%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
%%%%
jscale = diag(bayestopt_.jscale);
jloop=0;
if options_.use_dll==1
%%%TEST%%%
oldoptions_console_mode=options_.console_mode;
%options_.console_mode=1;
if exist('OCTAVE_VERSION')
oldoptions_console_mode=options_.console_mode;
options_.console_mode=1;
end
for b = fblck:nblck,
record.Seeds(b).Normal = randn('state');
record.Seeds(b).Unifor = rand('state');
end
% calculate draws and get last line run in the last MH block sub-array
irun = logMHMCMCposterior( xparam1, varargin{2}, mexext, fblck, nblck, nruns, d)
if irun<0
error('Error in logMHMCMCposterior');
end
for b = fblck:nblck,
record.Seeds(b).Normal = randn('state');
record.Seeds(b).Unifor = rand('state');
OutputFileName(b,:) = {[MhDirectoryName,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']};
end
if exist('OCTAVE_VERSION')
options_.console_mode=oldoptions_console_mode;
options_.console_mode=1;
end
record.AcceptationRates=record_AcceptationRates;
record.LastLogLiK=record_LastLogLiK;
record.LastParameters=record_LastParameters;
options_.console_mode=oldoptions_console_mode;
else
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') || options_.console_mode
diary off
disp(' ')
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;
load urand_1_1.csv
load paramdraws_1_1.csv
while j <= nruns(b)
par = feval(ProposalFun, ix2(b,:), d * jscale, n);
par=paramdraws_1_1(j,:);
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
try
logpost = - feval(TargetFun, par(:),varargin{:});
catch
logpost = -inf;
end
else
logpost = -inf;
end
lurand=log(urand_1_1(j));
% if (logpost > -inf) && (log(rand) < logpost-ilogpo2(b))
if (logpost > -inf) && (lurand < logpost-ilogpo2(b))
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') || options_.console_mode
if mod(j, 10) == 0
if exist('OCTAVE_VERSION')
printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
else
fprintf(' MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
end
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') || options_.console_mode
if exist('OCTAVE_VERSION')
printf('\n');
else
fprintf('\n');
end
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.
end % if use_dll
myoutput.record = record;
myoutput.irun = irun;
myoutput.NewFile = NewFile;
myoutput.OutputFileName = OutputFileName;