function [xparams, logpost]=metropolis_draw(init) % function [xparams, logpost]=metropolis_draw(init) % Builds draws from metropolis % % INPUTS: % init: scalar equal to 1 (first call) or 0 % % OUTPUTS: % xparams: vector of estimated parameters % logpost: log of posterior density % % SPECIAL REQUIREMENTS % none % Copyright (C) 2003-2011 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 . global options_ estim_params_ M_ persistent mh_nblck NumberOfDraws BaseName FirstLine FirstMhFile MAX_nruns xparams = 0; logpost = 0; if init nvx = estim_params_.nvx; nvn = estim_params_.nvn; ncx = estim_params_.ncx; ncn = estim_params_.ncn; np = estim_params_.np ; npar = nvx+nvn+ncx+ncn+np; MetropolisFolder = CheckPath('metropolis',M_.dname); FileName = M_.fname; BaseName = [MetropolisFolder filesep FileName]; load_last_mh_history_file(MetropolisFolder, FileName); FirstMhFile = record.KeepedDraws.FirstMhFile; FirstLine = record.KeepedDraws.FirstLine; TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles; TotalNumberOfMhDraws = sum(record.MhDraws(:,1)); NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws); MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8); mh_nblck = options_.mh_nblck; % set sub_draws option if empty if isempty(options_.sub_draws) options_.sub_draws = min(options_.posterior_max_subsample_draws, round(.25*NumberOfDraws)); else if options_.sub_draws>NumberOfDraws skipline() disp(['Estimation::mcmc: The value of option sub_draws (' num2str(options_.sub_draws) ') is greater than the number of available draws in the MCMC (' num2str(NumberOfDraws) ')!']) disp('Estimation::mcmc: You can either change the value of sub_draws, reduce the value of mh_drop, or run another mcmc (with the load_mh_file option).') skipline() xparams = 1; % xparams is interpreted as an error flag end end return end ChainNumber = ceil(rand*mh_nblck); DrawNumber = ceil(rand*NumberOfDraws); if DrawNumber <= MAX_nruns-FirstLine+1 MhFilNumber = FirstMhFile; MhLine = FirstLine+DrawNumber-1; else DrawNumber = DrawNumber-(MAX_nruns-FirstLine+1); MhFilNumber = FirstMhFile+ceil(DrawNumber/MAX_nruns); MhLine = DrawNumber-(MhFilNumber-FirstMhFile-1)*MAX_nruns; end load( [ BaseName '_mh' int2str(MhFilNumber) '_blck' int2str(ChainNumber) '.mat' ],'x2','logpo2'); xparams = x2(MhLine,:); logpost= logpo2(MhLine);