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) 2006-2013 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 % 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; dataset_ = myinputs.dataset_; dataset_info = myinputs.dataset_info; bayestopt_ = myinputs.bayestopt_; estim_params_ = myinputs.estim_params_; options_ = myinputs.options_; M_ = myinputs.M_; oo_ = myinputs.oo_; varargin=myinputs.varargin; % Necessary only for remote computing! if whoiam Parallel=myinputs.Parallel; % initialize persistent variables in priordens() priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, bayestopt_.p3,bayestopt_.p4,1); end MetropolisFolder = CheckPath('metropolis',M_.dname); ModelName = M_.fname; BaseName = [MetropolisFolder filesep ModelName]; 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 % % NOW i run the (nblck-fblck+1) metropolis-hastings chains % proposal_covariance_Cholesky_decomposition = d*diag(bayestopt_.jscale); jloop=0; JSUM = 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 whoiam prc0=(b-fblck)/(nblck-fblck+1)*(isoctave || options_.console_mode); hh = dyn_waitbar({prc0,whoiam,options_.parallel(ThisMatlab)},['MH (' int2str(b) '/' int2str(options_.mh_nblck) ')...']); else hh = dyn_waitbar(0,['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, ix2(b,:), proposal_covariance_Cholesky_decomposition, n); if all( par(:) > mh_bounds.lb ) && all( par(:) < mh_bounds.ub ) try logpost = - feval(TargetFun, par(:),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_); catch logpost = -inf; end else logpost = -inf; end if (logpost > -inf) && (log(rand) < 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 (mod(j, 3)==0 && ~whoiam) || (mod(j,50)==0 && whoiam) dyn_waitbar(prtfrc,hh,[ 'MH (' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('Current acceptance ratio %4.3f', isux/j)]); 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; dyn_waitbar_close(hh); [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;