function record=independent_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin) % Independent 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 vv [double] (p*p) matrix, posterior covariance matrix (at the mode). % o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters. % o varargin list of argument following mh_bounds % % OUTPUTS % o record [struct] structure describing the iterations % % ALGORITHM % Metropolis-Hastings. % % SPECIAL REQUIREMENTS % None. % % PARALLEL CONTEXT % See the comment in random_walk_metropolis_hastings.m funtion. % 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 . global M_ options_ bayestopt_ estim_params_ oo_ %%%% %%%% Initialization of the independent metropolis-hastings chains. %%%% [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ... metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin{:}); xparam1 = transpose(xparam1); InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2); load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record'); %The mandatory variables for local/remote parallel computing are stored in localVars struct. localVars = struct('TargetFun', TargetFun, ... 'ProposalFun', ProposalFun, ... 'xparam1', xparam1, ... 'vv', vv, ... 'mh_bounds', mh_bounds, ... 'ix2', ix2, ... 'ilogpo2', ilogpo2, ... 'ModelName', ModelName, ... 'fline', fline, ... 'npar', npar, ... 'nruns', nruns, ... 'NewFile', NewFile, ... 'MAX_nruns', MAX_nruns, ... 'd', d); localVars.InitSizeArray=InitSizeArray; localVars.record=record; localVars.varargin=varargin; % Like a sequential execution! if isnumeric(options_.parallel), fout = independent_metropolis_hastings_core(localVars, fblck, nblck, 0); record = fout.record; % Parallel execution. else % global variables for parallel routines globalVars = struct('M_',M_, ... 'options_', options_, ... 'bayestopt_', bayestopt_, ... 'estim_params_', estim_params_, ... 'oo_', oo_); % which files have to be copied to run remotely NamFileInput(1,:) = {'',[ModelName '_static.m']}; NamFileInput(2,:) = {'',[ModelName '_dynamic.m']}; if options_.steadystate_flag, NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_steadystate.m']}; 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 if exist([ModelName '_optimal_mh_scale_parameter.mat']) NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_optimal_mh_scale_parameter.mat']}; end % from where to get back results % NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'}; [fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, fblck, nblck,NamFileInput,'independent_metropolis_hastings_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.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.AcceptationRates(offset+1:sum(nBlockPerCPU(1:j))); record.Seeds(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.Seeds(offset+1:sum(nBlockPerCPU(1:j))); end end irun = fout(1).irun; NewFile = fout(1).NewFile; % record.Seeds.Normal = randn('state'); % record.Seeds.Unifor = rand('state'); save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record'); disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.']) disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.']) disp(['MH: Total number of iterations : ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.']) disp('MH: average acceptation rate per chain : ') disp(record.AcceptationRates); skipline()