Fix copyright in headers.

matlab/DSMH_sampler.m

@@ -0,0 +1,303 @@
+function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+
+% Dynamic Striated Metropolis-Hastings algorithm.
+%
+% INPUTS
+%   o TargetFun  [char]     string specifying the name of the objective
+%                           function (posterior kernel).
+%   o xparam1    [double]   (p*1) vector of parameters to be estimated (initial values).
+%   o mh_bounds  [double]   (p*2) matrix defining lower and upper bounds for the parameters.
+%   o dataset_              data structure
+%   o dataset_info          dataset info structure
+%   o options_              options structure
+%   o M_                    model structure
+%   o estim_params_         estimated parameters structure
+%   o bayestopt_            estimation options structure
+%   o oo_                   outputs structure
+%
+% SPECIAL REQUIREMENTS
+%   None.
+%
+% PARALLEL CONTEXT
+% The most computationally intensive part of this function may be executed
+% in parallel. The code suitable to be executed in
+% parallel on multi core or cluster machine (in general a 'for' cycle)
+% has been removed from this function and been placed in the posterior_sampler_core.m funtion.
+%
+% The DYNARE parallel packages comprise a i) set of pairs of Matlab functions that can be executed in
+% parallel and called name_function.m and name_function_core.m and ii) a second set of functions used
+% to manage the parallel computations.
+%
+% 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 functions.
+
+% Copyright © 2006-2022 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 <https://www.gnu.org/licenses/>.
+
+
+lambda = exp(bsxfun(@minus,options_.posterior_sampler_options.dsmh.H,1:1:options_.posterior_sampler_options.dsmh.H)/(options_.posterior_sampler_options.dsmh.H-1)*log(options_.posterior_sampler_options.dsmh.lambda1));
+c = 0.055 ;
+MM = int64(options_.posterior_sampler_options.dsmh.N*options_.posterior_sampler_options.dsmh.G/10) ;
+
+% Step 0: Initialization of the sampler
+[ param, tlogpost_iminus1, loglik, bayestopt_] = ...
+    SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,options_.posterior_sampler_options.dsmh.nparticles);
+
+ESS = zeros(options_.posterior_sampler_options.dsmh.H,1) ;
+zhat = 1 ;
+
+% The DSMH starts here
+for i=2:options_.posterior_sampler_options.dsmh.H
+    disp('');
+    disp('Tempered iteration');
+    disp(i) ;
+    % Step 1: sort the densities and compute IS weigths
+    [tlogpost_iminus1,loglik,param] = sort_matrices(tlogpost_iminus1,loglik,param) ;
+    [tlogpost_i,weights,zhat,ESS,Omegachol] = compute_IS_weights_and_moments(param,tlogpost_iminus1,loglik,lambda,i,zhat,ESS) ;
+    % Step 2: tune c_i
+    c = tune_c(TargetFun,param,tlogpost_i,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+    % Step 3: Metropolis step
+    [param,tlogpost_iminus1,loglik] = mutation_DSMH(TargetFun,param,tlogpost_i,tlogpost_iminus1,loglik,lambda,i,c,MM,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+end
+
+weights = exp(loglik*(lambda(end)-lambda(end-1)));
+weights = weights/sum(weights);
+indx_resmpl = smc_resampling(weights,rand(1,1),options_.posterior_sampler_options.dsmh.nparticles);
+distrib_param = param(:,indx_resmpl);
+
+mean_xparam = mean(distrib_param,2);
+npar  = length(xparam1);
+%mat_var_cov = bsxfun(@minus,distrib_param,mean_xparam) ;
+%mat_var_cov = (mat_var_cov*mat_var_cov')/(options_.HSsmc.nparticles-1) ;
+%std_xparam = sqrt(diag(mat_var_cov)) ;
+lb95_xparam = zeros(npar,1) ;
+ub95_xparam = zeros(npar,1) ;
+for i=1:npar
+    temp = sortrows(distrib_param(i,:)') ;
+    lb95_xparam(i) = temp(0.025*options_.posterior_sampler_options.dsmh.nparticles) ;
+    ub95_xparam(i) = temp(0.975*options_.posterior_sampler_options.dsmh.nparticles) ;
+end
+
+TeX = options_.TeX;
+
+str = sprintf(' Param. \t Lower Bound (95%%) \t Mean \t Upper Bound (95%%)');
+for l=1:npar
+    [name,~] = get_the_name(l,TeX,M_,estim_params_,options_);
+    str = sprintf('%s\n %s \t\t %5.4f \t\t %7.5f \t\t %5.4f', str, name, lb95_xparam(l), mean_xparam(l), ub95_xparam(l));
+end
+disp([str])
+disp('')
+
+%% Plot parameters densities
+
+[nbplt,nr,nc,lr,lc,nstar] = pltorg(npar);
+
+if TeX
+    fidTeX = fopen([M_.fname '_param_density.tex'],'w');
+    fprintf(fidTeX,'%% TeX eps-loader file generated by DSMH.m (Dynare).\n');
+    fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+    fprintf(fidTeX,' \n');
+end
+
+number_of_grid_points = 2^9;      % 2^9 = 512 !... Must be a power of two.
+bandwidth = 0;                    % Rule of thumb optimal bandwidth parameter.
+kernel_function = 'gaussian';     % Gaussian kernel for Fast Fourier Transform approximation.
+
+plt = 1 ;
+%for plt = 1:nbplt,
+if TeX
+    NAMES = [];
+    TeXNAMES = [];
+end
+hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
+for k=1:npar %min(nstar,npar-(plt-1)*nstar)
+    subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
+    %kk = (plt-1)*nstar+k;
+    [name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
+    optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.posterior_sampler_options.dsmh.nparticles,bandwidth,kernel_function);
+    [density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
+        options_.posterior_sampler_options.dsmh.nparticles,optimal_bandwidth,kernel_function);
+    plot(density(:,1),density(:,2));
+    hold on
+    if TeX
+        title(texname,'interpreter','latex')
+    else
+        title(name,'interpreter','none')
+    end
+    hold off
+    axis tight
+    drawnow
+end
+dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
+if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+    % TeX eps loader file
+    fprintf(fidTeX,'\\begin{figure}[H]\n');
+    fprintf(fidTeX,'\\centering \n');
+    fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
+    fprintf(fidTeX,'\\caption{Parameter densities based on the Dynamic Striated Metropolis-Hastings algorithm.}');
+    fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
+    fprintf(fidTeX,'\\end{figure}\n');
+    fprintf(fidTeX,' \n');
+end
+%end
+
+function [tlogpost_iminus1,loglik,param] = sort_matrices(tlogpost_iminus1,loglik,param)
+[~,indx_ord] = sortrows(tlogpost_iminus1);
+tlogpost_iminus1 = tlogpost_iminus1(indx_ord);
+param = param(:,indx_ord);
+loglik = loglik(indx_ord);
+
+function [tlogpost_i,weights,zhat,ESS,Omegachol] = compute_IS_weights_and_moments(param,tlogpost_iminus1,loglik,lambda,i,zhat,ESS)
+if i==1
+    tlogpost_i = tlogpost_iminus1 + loglik*lambda(i);
+else
+    tlogpost_i = tlogpost_iminus1 + loglik*(lambda(i)-lambda(i-1));
+end
+weights = exp(tlogpost_i-tlogpost_iminus1);
+zhat = (mean(weights))*zhat ;
+weights = weights/sum(weights);
+ESS(i) = 1/sum(weights.^2);
+% estimates of mean and variance
+mu = param*weights;
+z = bsxfun(@minus,param,mu);
+Omega = z*diag(weights)*z';
+Omegachol = chol(Omega)';
+
+function c = tune_c(TargetFun,param,tlogpost_i,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
+disp('tuning c_i...');
+disp('Initial value =');
+disp(c) ;
+npar = size(param,1);
+lower_prob = (.5*(options_.posterior_sampler_options.dsmh.alpha0+options_.posterior_sampler_options.dsmh.alpha1))^5;
+upper_prob = (.5*(options_.posterior_sampler_options.dsmh.alpha0+options_.posterior_sampler_options.dsmh.alpha1))^(1/5);
+stop=0 ;
+while stop==0
+    acpt = 0.0;
+    indx_resmpl = smc_resampling(weights,rand(1,1),options_.posterior_sampler_options.dsmh.G);
+    param0 = param(:,indx_resmpl);
+    tlogpost0 = tlogpost_i(indx_resmpl);
+    for j=1:options_.posterior_sampler_options.dsmh.G
+        for l=1:options_.posterior_sampler_options.dsmh.K
+            validate = 0;
+            while validate == 0
+                candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
+                if all(candidate >= mh_bounds.lb) && all(candidate <= mh_bounds.ub)
+                    [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+                    if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
+                        validate = 1;
+                        if rand(1,1)<exp(tlogpostx-tlogpost0(j)) % accept
+                            acpt = acpt + 1/(options_.posterior_sampler_options.dsmh.G*options_.posterior_sampler_options.dsmh.K);
+                            param0(:,j)= candidate;
+                            tlogpost0(j) = tlogpostx;
+                        end
+                    end
+                end
+            end
+        end
+    end
+    disp('Acceptation rate =') ;
+    disp(acpt) ;
+    if options_.posterior_sampler_options.dsmh.alpha0<=acpt && acpt<=options_.posterior_sampler_options.dsmh.alpha1
+        disp('done!');
+        stop=1;
+    else
+        if acpt<lower_prob
+            c = c/5;
+        elseif lower_prob<=acpt && acpt<=upper_prob
+            c = c*log(.5*(options_.posterior_sampler_options.dsmh.alpha0+options_.posterior_sampler_options.dsmh.alpha1))/log(acpt);
+        else
+            c = 5*c;
+        end
+        disp('Trying with c= ') ;
+        disp(c)
+    end
+end
+
+function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,param,tlogpost_i,tlogpost_iminus1,loglik,lambda,i,c,MM,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
+indx_levels = (1:1:MM-1)*options_.posterior_sampler_options.dsmh.N*options_.posterior_sampler_options.dsmh.G/MM;
+npar = size(param,1) ;
+p = 1/(10*options_.posterior_sampler_options.dsmh.tau);
+disp('Metropolis step...');
+% build the dynamic grid of levels
+levels = [0.0;tlogpost_iminus1(indx_levels)];
+% initialize the outputs
+out_param = param;
+out_tlogpost_iminus1 = tlogpost_i;
+out_loglik = loglik;
+% resample and initialize the starting groups
+indx_resmpl = smc_resampling(weights,rand(1,1),options_.posterior_sampler_options.dsmh.G);
+param0 = param(:,indx_resmpl);
+tlogpost_iminus10 = tlogpost_iminus1(indx_resmpl);
+tlogpost_i0 = tlogpost_i(indx_resmpl);
+loglik0 = loglik(indx_resmpl);
+% Start the Metropolis
+for l=1:options_.posterior_sampler_options.dsmh.N*options_.posterior_sampler_options.dsmh.tau
+    for j=1:options_.posterior_sampler_options.dsmh.G
+        u1 = rand(1,1);
+        u2 = rand(1,1);
+        if u1<p
+            k=1 ;
+            for m=1:MM-1
+                if levels(m)<=tlogpost_iminus10(j) && tlogpost_iminus10(j)<levels(m+1)
+                    k = m+1;
+                    break
+                end
+            end
+            indx = floor( (k-1)*options_.posterior_sampler_options.dsmh.N*options_.posterior_sampler_options.dsmh.G/MM+1 + u2*(options_.posterior_sampler_options.dsmh.N*options_.posterior_sampler_options.dsmh.G/MM-1) );
+            if i==1
+                alp = (loglik(indx)-loglik0(j))*lambda(i);
+            else
+                alp = (loglik(indx)-loglik0(j))*(lambda(i)-lambda(i-1));
+            end
+            if u2<exp(alp)
+                param0(:,j) = param(:,indx);
+                tlogpost_i0(j) = tlogpost_i(indx);
+                loglik0(j) = loglik(indx);
+                tlogpost_iminus10(j) = tlogpost_iminus1(indx);
+            end
+        else
+            validate= 0;
+            while validate==0
+                candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
+                if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
+                    [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+                    if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
+                        validate = 1;
+                        if u2<exp(tlogpostx-tlogpost_i0(j)) % accept
+                            param0(:,j) = candidate;
+                            tlogpost_i0(j) = tlogpostx;
+                            loglik0(j) = loglikx;
+                            if i==1
+                                tlogpost_iminus10(j) = tlogpostx-loglikx*lambda(i);
+                            else
+                                tlogpost_iminus10(j) = tlogpostx-loglikx*(lambda(i)-lambda(i-1));
+                            end
+                        end
+                    end
+                end
+            end
+        end
+    end
+    if mod(l,options_.posterior_sampler_options.dsmh.tau)==0
+        rang = (l/options_.posterior_sampler_options.dsmh.tau-1)*options_.posterior_sampler_options.dsmh.G+1:l*options_.posterior_sampler_options.dsmh.G/options_.posterior_sampler_options.dsmh.tau;
+        out_param(:,rang) = param0;
+        out_tlogpost_iminus1(rang) = tlogpost_i0;
+        out_loglik(rang) = loglik0;
+    end
+end

matlab/Herbst_Schorfheide_sampler.m

@@ -0,0 +1,246 @@
+function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+% function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+% SMC sampler from JAE 2014 .
+%
+% INPUTS
+%   o TargetFun  [char]     string specifying the name of the objective
+%                           function (posterior kernel).
+%   o xparam1    [double]   (p*1) vector of parameters to be estimated (initial values).
+%   o mh_bounds  [double]   (p*2) matrix defining lower and upper bounds for the parameters.
+%   o dataset_              data structure
+%   o dataset_info          dataset info structure
+%   o options_              options structure
+%   o M_                    model structure
+%   o estim_params_         estimated parameters structure
+%   o bayestopt_            estimation options structure
+%   o oo_                   outputs structure
+%
+% SPECIAL REQUIREMENTS
+%   None.
+%
+% PARALLEL CONTEXT
+% The most computationally intensive part of this function may be executed
+% in parallel. The code suitable to be executed in
+% parallel on multi core or cluster machine (in general a 'for' cycle)
+% has been removed from this function and been placed in the posterior_sampler_core.m funtion.
+%
+% The DYNARE parallel packages comprise a i) set of pairs of Matlab functions that can be executed in
+% parallel and called name_function.m and name_function_core.m and ii) a second set of functions used
+% to manage the parallel computations.
+%
+% 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 functions.
+
+% Copyright © 2006-2022 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 <https://www.gnu.org/licenses/>.
+
+
+% Create the tempering schedule
+phi = bsxfun(@power,(bsxfun(@minus,1:1:options_.posterior_sampler_options.HSsmc.nphi,1)/(options_.posterior_sampler_options.HSsmc.nphi-1)),options_.posterior_sampler_options.HSsmc.lambda) ;
+% tuning for MH algorithms matrices
+zhat    = 0 ;                                    % normalization constant
+csim    = zeros(options_.posterior_sampler_options.HSsmc.nphi,1) ;         % scale parameter
+ESSsim  = zeros(options_.posterior_sampler_options.HSsmc.nphi,1) ;         % ESS
+acptsim = zeros(options_.posterior_sampler_options.HSsmc.nphi,1) ;         % average acceptance rate
+% Step 0: Initialization of the sampler
+[ param, tlogpost_i, loglik, bayestopt_] = ...
+    SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,options_.posterior_sampler_options.HSsmc.nparticles);
+weights = ones(options_.posterior_sampler_options.HSsmc.nparticles,1)/options_.posterior_sampler_options.HSsmc.nparticles ;
+% The Herbst and Schorfheide sampler starts here
+for i=2:options_.posterior_sampler_options.HSsmc.nphi
+    % (a) Correction
+    % incremental weights
+    incwt = exp((phi(i)-phi(i-1))*loglik) ;
+    % update weights
+    weights = bsxfun(@times,weights,incwt) ;
+    sum_weights = sum(weights) ;
+    zhat = zhat + log(sum_weights) ;
+    % normalize weights
+    weights = weights/sum_weights ;
+    % (b) Selection
+    ESSsim(i) = 1/sum(weights.^2) ;
+    if (ESSsim(i) < options_.posterior_sampler_options.HSsmc.nparticles/2)
+        indx_resmpl = smc_resampling(weights,rand(1,1),options_.posterior_sampler_options.HSsmc.nparticles) ;
+        param = param(:,indx_resmpl) ;
+        loglik = loglik(indx_resmpl) ;
+        tlogpost_i = tlogpost_i(indx_resmpl) ;
+        weights = ones(options_.posterior_sampler_options.HSsmc.nparticles,1)/options_.posterior_sampler_options.HSsmc.nparticles  ;
+    end
+    % (c) Mutation
+    options_.posterior_sampler_options.HSsmc.c = options_.posterior_sampler_options.HSsmc.c*modified_logit(0.95,0.1,16.0,options_.posterior_sampler_options.HSsmc.acpt-options_.posterior_sampler_options.HSsmc.trgt) ;
+    % Calculate estimates of mean and variance
+    mu = param*weights ;
+    z = bsxfun(@minus,param,mu) ;
+    R = z*(bsxfun(@times,z',weights)) ;
+    Rchol = chol(R)' ;
+    % Mutation
+    if options_.posterior_sampler_options.HSsmc.option_mutation==1
+        [param,tlogpost_i,loglik,options_.posterior_sampler_options.HSsmc.acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,options_.posterior_sampler_options.HSsmc.c*Rchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
+    elseif options_.posterior_sampler_options.HSsmc.option_mutation==2
+        inv_R = inv(options_.posterior_sampler_options.HSsmc.c^2*R) ;
+        Rdiagchol = sqrt(diag(R)) ;
+        [param,tlogpost_i,loglik,options_.posterior_sampler_options.HSsmc.acpt] = mutation_Mixture(TargetFun,param,tlogpost_i,loglik,phi,i,options_.posterior_sampler_options.HSsmc.c*Rchol,options_.posterior_sampler_options.HSsmc.c*Rdiagchol,inv_R,mu,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
+    end
+    acptsim(i) = options_.posterior_sampler_options.HSsmc.acpt ;
+    csim(i) = options_.posterior_sampler_options.HSsmc.c ;
+    % print information
+    fprintf(' Iteration = %5.0f / %5.0f \n', i, options_.posterior_sampler_options.HSsmc.nphi);
+    fprintf(' phi = %5.4f \n', phi(i));
+    fprintf(' Neff = %5.4f \n', ESSsim(i));
+    fprintf(' %accept. = %5.4f \n', acptsim(i));
+end
+indx_resmpl = smc_resampling(weights,rand(1,1),options_.posterior_sampler_options.HSsmc.nparticles);
+distrib_param = param(:,indx_resmpl);
+fprintf(' Log_lik = %5.4f \n', zhat);
+
+mean_xparam = mean(distrib_param,2);
+npar = length(xparam1) ;
+%mat_var_cov = bsxfun(@minus,distrib_param,mean_xparam) ;
+%mat_var_cov = (mat_var_cov*mat_var_cov')/(options_.posterior_sampler_options.HSsmc.nparticles-1) ;
+%std_xparam = sqrt(diag(mat_var_cov)) ;
+lb95_xparam = zeros(npar,1) ;
+ub95_xparam = zeros(npar,1) ;
+for i=1:npar
+    temp = sortrows(distrib_param(i,:)') ;
+    lb95_xparam(i) = temp(0.025*options_.posterior_sampler_options.HSsmc.nparticles) ;
+    ub95_xparam(i) = temp(0.975*options_.posterior_sampler_options.HSsmc.nparticles) ;
+end
+
+TeX = options_.TeX;
+
+str = sprintf(' Param. \t Lower Bound (95%%) \t Mean \t Upper Bound (95%%)');
+for l=1:npar
+    [name,~] = get_the_name(l,TeX,M_,estim_params_,options_);
+    str = sprintf('%s\n %s \t\t %5.4f \t\t %7.5f \t\t %5.4f', str, name, lb95_xparam(l), mean_xparam(l), ub95_xparam(l));
+end
+disp([str])
+disp('')
+
+%% Plot parameters densities
+
+[nbplt,nr,nc,lr,lc,nstar] = pltorg(npar);
+
+if TeX
+    fidTeX = fopen([M_.fname '_param_density.tex'],'w');
+    fprintf(fidTeX,'%% TeX eps-loader file generated by DSMH.m (Dynare).\n');
+    fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+    fprintf(fidTeX,' \n');
+end
+
+number_of_grid_points = 2^9;      % 2^9 = 512 !... Must be a power of two.
+bandwidth = 0;                    % Rule of thumb optimal bandwidth parameter.
+kernel_function = 'gaussian';     % Gaussian kernel for Fast Fourier Transform approximation.
+plt = 1 ;
+%for plt = 1:nbplt,
+if TeX
+    NAMES = [];
+    TeXNAMES = [];
+end
+hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
+for k=1:npar %min(nstar,npar-(plt-1)*nstar)
+    subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
+    %kk = (plt-1)*nstar+k;
+    [name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
+    optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.posterior_sampler_options.HSsmc.nparticles,bandwidth,kernel_function);
+    [density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
+        options_.posterior_sampler_options.HSsmc.nparticles,optimal_bandwidth,kernel_function);
+    plot(density(:,1),density(:,2));
+    hold on
+    if TeX
+        title(texname,'interpreter','latex')
+    else
+        title(name,'interpreter','none')
+    end
+    hold off
+    axis tight
+    drawnow
+end
+dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
+if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+    % TeX eps loader file
+    fprintf(fidTeX,'\\begin{figure}[H]\n');
+    fprintf(fidTeX,'\\centering \n');
+    fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
+    fprintf(fidTeX,'\\caption{Parameter densities based on the Herbst/Schorfheide sampler.}');
+    fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
+    fprintf(fidTeX,'\\end{figure}\n');
+    fprintf(fidTeX,' \n');
+end
+%end
+
+function [param,tlogpost_i,loglik,acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,cRchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
+acpt = 0.0 ;
+tlogpost_i = tlogpost_i + (phi(i)-phi(i-1))*loglik ;
+for j=1:options_.posterior_sampler_options.HSsmc.nparticles
+    validate= 0;
+    while validate==0
+        candidate = param(:,j) + cRchol*randn(size(param,1),1) ;
+        if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
+            [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+            if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
+                validate = 1;
+                if rand(1,1)<exp(tlogpostx-tlogpost_i(j)) % accept
+                    acpt = acpt + 1 ;
+                    param(:,j) = candidate;
+                    loglik(j) = loglikx;
+                    tlogpost_i(j) = tlogpostx;
+                end
+            end
+        end
+    end
+end
+acpt = acpt/options_.posterior_sampler_options.HSsmc.nparticles;
+
+function [param,tlogpost_i,loglik,acpt] = mutation_Mixture(TargetFun,param,tlogpost_i,loglik,phi,i,cRchol,cRdiagchol,invR,mu,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
+acpt = 0.0 ;
+tlogpost_i = tlogpost_i + (phi(i)-phi(i-1))*loglik ;
+for j=1:options_.posterior_sampler_options.HSsmc.nparticles
+    qx = 0 ;
+    q0 = 0 ;
+    alpind = rand(1,1) ;
+    validate= 0;
+    while validate==0
+        if alpind<options_.posterior_sampler_options.HSsmc.alp % RW, no need to modify qx and q0
+            candidate = param(:,j) + cRchol*randn(size(param,1),1);
+        elseif alpind<options_.posterior_sampler_options.HSsmc.alp + (1-options_.posterior_sampler_options.HSsmc.alp/2) % random walk with diagonal cov no need to modify qx and q0
+            candidate = param(:,j) + cRdiagchol*randn(size(param,1),1);
+        else % Proposal densities
+            candidate = mu + cRchol*randn(size(param,1),1);
+            qx = -.5*(candidate-mu)'*invR*(candidate-mu) ; % no need of the constants in the acceptation rule
+            q0 = -.5*(param(:,j)-mu)'*invR*(param(:,j)-mu) ;
+        end
+        if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
+            [tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+            if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
+                validate = 1;
+                if rand(1,1)<exp((tlogpostx-qx)-(tlogpost_i(j)-q0)) % accept
+                    acpt = acpt + 1 ;
+                    param(:,j) = candidate;
+                    loglik(j) = loglikx;
+                    tlogpost_i(j) = tlogpostx;
+                end
+            end
+        end
+    end
+end
+acpt = acpt/options_.posterior_sampler_options.HSsmc.nparticles;
+
+function x = modified_logit(a,b,c,d)
+tmp = exp(c*d) ;
+x =  a + b*tmp/(1 + tmp) ;

matlab/SMC_resampling.m

@@ -0,0 +1,30 @@
+function indx = SMC_resampling(weights,noise,number)
+
+% Copyright © 2022 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 <https://www.gnu.org/licenses/>.
+
+
+indx = zeros(number,1);
+cumweights = cumsum(weights);
+randvec = (transpose(1:number)-1+noise(:))/number;
+j = 1;
+for i=1:number
+    while (randvec(i)>cumweights(j))
+        j = j+1;
+    end
+    indx(i) = j;
+end

matlab/SMC_samplers_initialization.m

@@ -0,0 +1,113 @@
+function [ ix2, temperedlogpost, loglik, bayestopt_] = ...
+    SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, oo_, NumberOfParticles)
+% function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npar, NumberOfParticles, bayestopt_] = ...
+%     SMC_samplers_initialization(TargetFun, xparam1, mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,NumberOfParticles)
+% Draw in prior distribution to initialize samplers.
+%
+% INPUTS
+%   o TargetFun  [char]     string specifying the name of the objective
+%                           function (tempered posterior kernel and likelihood).
+%   o xparam1    [double]   (p*1) vector of parameters to be estimated (initial values).
+%   o mh_bounds  [double]   (p*2) matrix defining lower and upper bounds for the parameters.
+%   o dataset_              data structure
+%   o dataset_info          dataset info structure
+%   o options_              options structure
+%   o M_                    model structure
+%   o estim_params_         estimated parameters structure
+%   o bayestopt_            estimation options structure
+%   o oo_                   outputs structure
+%
+% OUTPUTS
+%   o ix2                   [double]    (NumberOfParticles*npar) vector of starting points for different chains
+%   o ilogpo2               [double]    (NumberOfParticles*1) vector of initial posterior values for different chains
+%   o iloglik2              [double]    (NumberOfParticles*1) vector of initial likelihood values for different chains
+%   o ModelName             [string]    name of the mod-file
+%   o MetropolisFolder      [string]    path to the Metropolis subfolder
+%   o bayestopt_            [structure] estimation options structure
+%
+% SPECIAL REQUIREMENTS
+%   None.
+
+% Copyright © 2006-2022 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 <https://www.gnu.org/licenses/>.
+
+%Initialize outputs
+ix2 = [];
+ilogpo2 = [];
+iloglik2 = [];
+ModelName = [];
+MetropolisFolder = [];
+
+ModelName = M_.fname;
+if ~isempty(M_.bvar)
+    ModelName = [ModelName '_bvar'];
+end
+
+MetropolisFolder = CheckPath('dsmh',M_.dname);
+BaseName = [MetropolisFolder filesep ModelName];
+
+npar  = length(xparam1);
+
+% Here we start a new DS Metropolis-Hastings, previous draws are discarded.
+disp('Estimation:: Initialization...')
+% Delete old dsmh files if any...
+files = dir([BaseName '_dsmh*_blck*.mat']);
+%if length(files)
+%    delete([BaseName '_dsmh*_blck*.mat']);
+%    disp('Estimation::smc: Old dsmh-files successfully erased!')
+%end
+% Delete old log file.
+file = dir([ MetropolisFolder '/dsmh.log']);
+%if length(file)
+%    delete([ MetropolisFolder '/dsmh.log']);
+%    disp('Estimation::dsmh: Old dsmh.log file successfully erased!')
+%    disp('Estimation::dsmh: Creation of a new dsmh.log file.')
+%end
+fidlog = fopen([MetropolisFolder '/dsmh.log'],'w');
+fprintf(fidlog,'%% DSMH log file (Dynare).\n');
+fprintf(fidlog,['%% ' datestr(now,0) '.\n']);
+fprintf(fidlog,' \n\n');
+fprintf(fidlog,'%% Session 1.\n');
+fprintf(fidlog,' \n');
+prior_draw(bayestopt_,options_.prior_trunc);
+% Find initial values for the NumberOfParticles chains...
+set_dynare_seed('default');
+fprintf(fidlog,['  Initial values of the parameters:\n']);
+disp('Estimation::dsmh: Searching for initial values...');
+ix2 = zeros(npar,NumberOfParticles);
+temperedlogpost = zeros(NumberOfParticles,1);
+loglik = zeros(NumberOfParticles,1);
+%stderr = sqrt(bsxfun(@power,mh_bounds.ub-mh_bounds.lb,2)/12)/10;
+for j=1:NumberOfParticles
+    validate = 0;
+    while validate == 0
+    	candidate = prior_draw()';
+%        candidate = xparam1(:) + 0.001*randn(npar,1);%bsxfun(@times,stderr,randn(npar,1)) ;
+        if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
+            ix2(:,j) = candidate ;
+            [temperedlogpost(j),loglik(j)] = tempered_likelihood(TargetFun,candidate,0.0,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+            if isfinite(loglik(j)) % if returned log-density is Inf or Nan (penalized value)
+                validate = 1;
+            end
+        end
+    end
+end
+fprintf(fidlog,' \n');
+disp('Estimation:: Initial values found!')
+skipline()
+
+

matlab/default_option_values.m

@@ -470,6 +470,27 @@ options_.posterior_sampler_options.slice.save_tmp_file=1;
 options_.posterior_sampler_options.imh.proposal_distribution = 'rand_multivariate_normal';
 options_.posterior_sampler_options.imh.use_mh_covariance_matrix=0;
 options_.posterior_sampler_options.imh.save_tmp_file=0;
+% Herbst and Schorfeide SMC Sampler
+%options_.posterior_sampler = 'Herbst_Schorfheide' ;
+options_.posterior_sampler_options.HSsmc.nphi= 25 ;
+options_.posterior_sampler_options.HSsmc.lambda = 2 ;
+options_.posterior_sampler_options.HSsmc.nparticles = 20000 ;
+options_.posterior_sampler_options.HSsmc.c = 0.5 ;
+options_.posterior_sampler_options.HSsmc.acpt = 0.25 ;
+options_.posterior_sampler_options.HSsmc.trgt = 0.25 ;
+options_.posterior_sampler_options.HSsmc.option_mutation = 1 ;
+options_.posterior_sampler_options.HSsmc.alp = .9 ;
+% DSMH: Dynamic Striated Metropolis-Hastings algorithm
+%options_.posterior_sampler = 'DSMH' ;
+options_.posterior_sampler_options.dsmh.H = 25 ;
+options_.posterior_sampler_options.dsmh.N = 20 ;
+options_.posterior_sampler_options.dsmh.G = 10 ;
+options_.posterior_sampler_options.dsmh.K = 50 ;
+options_.posterior_sampler_options.dsmh.lambda1 = 0.1 ;
+options_.posterior_sampler_options.dsmh.nparticles = 20000 ;
+options_.posterior_sampler_options.dsmh.alpha0 = 0.2 ;
+options_.posterior_sampler_options.dsmh.alpha1 = 0.3 ; 
+options_.posterior_sampler_options.dsmh.tau = 10 ;
 
 options_.trace_plot_ma = 200;
 options_.mh_autocorrelation_function_size = 30;

matlab/particles

@@ -1 +1 @@
-Subproject commit d20be2c271b442d91bd36aea300e4837a066ae2d
+Subproject commit d71f8be6e777fd3e08f1ab2cb74bbf9621ad2d8e

matlab/tempered_likelihood.m

@@ -0,0 +1,23 @@
+function [tlogpostkern,loglik] = tempered_likelihood(TargetFun,xparam1,lambda,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_)
+
+% Copyright © 2022 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 <https://www.gnu.org/licenses/>.
+
+logpostkern = -feval(TargetFun,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
+logprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
+loglik = logpostkern-logprior ;
+tlogpostkern = lambda*loglik + logprior;