function myoutput = independent_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab) % PARALLEL CONTEXT % The most computationally intensive portion of code in % independent_metropolis_hastings (the 'for xxx = fblck:nblck' cycle). % See the comment in random_walk_metropolis_hastings_core.m funtion. % % INPUTS % See See the comment in random_walk_metropolis_hastings_core.m funtion. % OUTPUTS % See See the comment in random_walk_metropolis_hastings_core.m funtion. % % ALGORITHM % Portion of Independing Metropolis-Hastings. % % SPECIAL REQUIREMENTS. % None. % % Copyright (C) 2006-2013 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 . if nargin<4, whoiam=0; end global bayestopt_ estim_params_ options_ M_ oo_ objective_function_penalty_base % 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; if whoiam Parallel=myinputs.Parallel; % initialize persistent variables in priordens() priordens(xparam1',bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, ... bayestopt_.p3,bayestopt_.p4,1); end % (re)Set the penalty. objective_function_penalty_base = Inf; MetropolisFolder = CheckPath('metropolis',M_.dname); BaseName = [MetropolisFolder filesep ModelName]; OpenOldFile = ones(nblck,1); if strcmpi(ProposalFun,'rand_multivariate_normal') n = npar; ProposalDensity = 'multivariate_normal_pdf'; elseif strcmpi(ProposalFun,'rand_multivariate_student') n = options_.student_degrees_of_freedom; ProposalDensity = 'multivariate_student_pdf'; end % Now I run the (nblck-fblck+1) metropolis-hastings chains if any(isnan(bayestopt_.jscale)) if exist([ModelName '_optimal_mh_scale_parameter.mat'])% This file is created by mode_compute=6. load([ModelName '_optimal_mh_scale_parameter']) proposal_covariance = d*Scale; else error('mh:: Something is wrong. I can''t figure out the value of the scale parameter.') end else proposal_covariance = d*diag(bayestopt_.jscale); end jloop=0; for b = fblck:nblck, jloop=jloop+1; try % this will not work if the master uses a random generator not % available in the slave (different Matlab version or % Matlab/Octave cluster). Therefor the trap. % this set the random generator type (the seed is useless but % needed by the function) set_dynare_seed(options_.DynareRandomStreams.algo,... options_.DynareRandomStreams.seed); % this set the state set_dynare_random_generator_state(record.InitialSeeds(b).Unifor, ... record.InitialSeeds(b).Normal); catch % if the state set by master is incompatible with the slave, we % only reseed set_dynare_seed(options_.DynareRandomStreams.seed+b); end if (options_.load_mh_file~=0) && (fline(b)>1) && OpenOldFile(b) load([BaseName '_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 isoctave || options_.console_mode diary off skipline() elseif whoiam % keyboard; waitbarString = ['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']; % waitbarTitle=['Metropolis-Hastings ',options_.parallel(ThisMatlab).ComputerName]; if options_.parallel(ThisMatlab).Local, waitbarTitle=['Local ']; else waitbarTitle=[options_.parallel(ThisMatlab).ComputerName]; end fMessageStatus(0,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab)); 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; while j <= nruns(b) par = feval(ProposalFun, xparam1, proposal_covariance, n); if all( par(:) > mh_bounds.lb ) && all( par(:) < mh_bounds.ub ) try logpost = - feval(TargetFun, par(:),varargin{:}); catch, logpost = -inf; end else logpost = -inf; end r = logpost - ilogpo2(b) + ... log(feval(ProposalDensity, ix2(b,:), xparam1, proposal_covariance, n)) - ... log(feval(ProposalDensity, par, xparam1, proposal_covariance, n)); if (logpost > -inf) && (log(rand) < r) 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 isoctave || options_.console_mode if mod(j, 10) == 0 if isoctave if (whoiam==0), printf('Estimation::mcmc: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, Current acceptance ratio: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j); end else fprintf('Estimation::mcmc: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, Current acceptance ratio: %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)) end else if mod(j, 3)==0 && ~whoiam waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, Current acceptance ratio %f',prtfrc,isux/j)]); elseif mod(j,50)==0 && whoiam, % keyboard; waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, Current acceptance ratio %f',prtfrc,isux/j)]; fMessageStatus(prtfrc,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab)) end end if (irun == InitSizeArray(b)) || (j == nruns(b)) % Now I save the simulations save([BaseName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2'); fidlog = fopen([MetropolisFolder '/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,[' Acceptance ratio......: ' 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.LastLogPost(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.AcceptanceRatio(b) = isux/j; if isoctave || options_.console_mode printf('\n'); diary on elseif ~whoiam close(hh); end [record.LastSeeds(b).Unifor, record.LastSeeds(b).Normal] = get_dynare_random_generator_state(); OutputFileName(jloop,:) = {[MetropolisFolder,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']}; end% End of the loop over the mh-blocks. myoutput.record = record; myoutput.irun = irun; myoutput.NewFile = NewFile; myoutput.OutputFileName = OutputFileName;