function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,dispString) % function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,dispString) % Random Walk Metropolis-Hastings algorithm. % % INPUTS % o TargetFun [char] string specifying the name of the objective % function (posterior kernel). % o ProposalFun [char] string specifying the name of the proposal % density % o xparam1 [double] (p*1) vector of parameters to be estimated (initial values). % o sampler_options structure % o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters. % o dataset_ [structure] data structure % o dataset_info [structure] dataset info structure % o options_ [structure] options structure % o M_ [structure] model structure % o estim_params_ [structure] estimated parameters structure % o bayestopt_ [structure] prior specification structure % o oo_ [structure] output structure % o dispString [string] string prependening the messages printed to the command window % % 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 © 2006-2023 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 . vv = sampler_options.invhess; % Initialization of the sampler [ ix2, ilogpo2, ModelName, MetropolisFolder, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d, bayestopt_] = ... posterior_sampler_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_, dispString); InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2); % Load last mh history file record=load_last_mh_history_file(MetropolisFolder, ModelName); % Only for test parallel results!!! % To check the equivalence between parallel and serial computation! % First run in serial mode, and then comment the follow line. % save('recordSerial.mat','-struct', 'record'); % For parallel runs after serial runs with the abobe line active. % TempRecord=load('recordSerial.mat'); % record.Seeds=TempRecord.Seeds; % Snapshot of the current state of computing. It necessary for the parallel % execution (i.e. to execute in a corretct way a portion of code remotely or % on many cores). The mandatory variables for local/remote parallel % computing are stored in the localVars struct. localVars = struct('TargetFun', TargetFun, ... 'ProposalFun', ProposalFun, ... 'xparam1', xparam1, ... 'vv', vv, ... 'sampler_options', sampler_options, ... 'mh_bounds', mh_bounds, ... 'ix2', ix2, ... 'ilogpo2', ilogpo2, ... 'ModelName', ModelName, ... 'fline', fline, ... 'npar', npar, ... 'nruns', nruns, ... 'NewFile', NewFile, ... 'MAX_nruns', MAX_nruns, ... 'd', d, ... 'InitSizeArray',InitSizeArray, ... 'record', record, ... 'dataset_', dataset_, ... 'dataset_info', dataset_info, ... 'options_', options_, ... 'M_',M_, ... 'bayestopt_', bayestopt_, ... 'estim_params_', estim_params_, ... 'dr', oo_.dr,... 'endo_steady_state', oo_.steady_state,... 'exo_steady_state', oo_.exo_steady_state,... 'exo_det_steady_state', oo_.exo_det_steady_state,... 'varargin',[]); if strcmp(sampler_options.posterior_sampling_method,'tailored_random_block_metropolis_hastings') localVars.options_.silent_optimizer=1; %locally set optimizer to silent mode if ~isempty(sampler_options.optim_opt) localVars.options_.optim_opt=sampler_options.optim_opt; %locally set options for optimizer end end % User doesn't want to use parallel computing, or wants to compute a % single chain compute sequentially. if isnumeric(options_.parallel) || (~isempty(fblck) && (nblck-fblck)==0) fout = posterior_sampler_core(localVars, fblck, nblck, 0); record = fout.record; % Parallel in Local or remote machine. else % Global variables for parallel routines. globalVars = struct(); % which files have to be copied to run remotely NamFileInput(1,:) = {'',[ModelName '.static.m']}; NamFileInput(2,:) = {'',[ModelName '.dynamic.m']}; if M_.set_auxiliary_variables NamFileInput(3,:) = {'',[M_.fname '.set_auxiliary_variables.m']}; end if options_.steadystate_flag if options_.steadystate_flag == 1 NamFileInput(length(NamFileInput)+1,:)={'',[M_.fname '_steadystate.m']}; else NamFileInput(length(NamFileInput)+1,:)={'',[M_.fname '.steadystate.m']}; end end if (options_.load_mh_file~=0) && any(fline>1) NamFileInput(length(NamFileInput)+1,:)={[M_.dname '/metropolis/'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']}; end % from where to get back results % NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'}; if options_.mh_recover && isempty(fblck) % here we just need to retrieve the output of the completed remote jobs fblck=1; options_.parallel_info.parallel_recover = 1; end [fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, fblck, nblck,NamFileInput,'posterior_sampler_core', localVars, globalVars, options_.parallel_info); for j=1:totCPU offset = sum(nBlockPerCPU(1:j-1))+fblck-1; record.LastLogPost(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastLogPost(offset+1:sum(nBlockPerCPU(1:j))); record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:)=fout(j).record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:); record.AcceptanceRatio(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.AcceptanceRatio(offset+1:sum(nBlockPerCPU(1:j))); record.FunctionEvalPerIteration(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.FunctionEvalPerIteration(offset+1:sum(nBlockPerCPU(1:j))); record.LastSeeds(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastSeeds(offset+1:sum(nBlockPerCPU(1:j))); if j==1 if isfield(fout(j).record,'ProposalCovariance') && isfield(fout(j).record,'ProposalScaleVec') record.ProposalCovariance=fout(j).record.ProposalCovariance; record.ProposalScaleVec=fout(j).record.ProposalScaleVec; end end end options_.parallel_info.parallel_recover = 0; end irun = fout(1).irun; NewFile = fout(1).NewFile; record.MCMCConcludedSuccessfully = 1; %set indicator for successful run update_last_mh_history_file(MetropolisFolder, ModelName, record); % Provide diagnostic output skipline() fprintf('%s: Number of mh files: %u per block.\n', dispString, NewFile(1)); fprintf('%s: Total number of generated files: %u.\n', dispString, NewFile(1)*nblck); fprintf('%s: Total number of iterations: %u.\n', dispString, (NewFile(1)-1)*MAX_nruns+irun-1); fprintf('%s: Current acceptance ratio per chain:\n', dispString); for i=1:nblck if i<10 disp([' Chain ' num2str(i) ': ' num2str(100*record.AcceptanceRatio(i)) '%']) else disp([' Chain ' num2str(i) ': ' num2str(100*record.AcceptanceRatio(i)) '%']) end end if max(record.FunctionEvalPerIteration)>1 fprintf('%s: Current function evaluations per iteration:\n', dispString); for i=1:nblck if i<10 disp([' Chain ' num2str(i) ': ' num2str(record.FunctionEvalPerIteration(i))]) else disp([' Chain ' num2str(i) ': ' num2str(record.FunctionEvalPerIteration(i))]) end end end