function myoutput=PosteriorIRF_core1(myinputs,fpar,npar,whoiam, ThisMatlab) % PARALLEL CONTEXT % This function perfom in parallel a portion of PosteriorIRF.m code. % This is a special kind of parallel function. Unlike of other parallel functions, % that running in parallel a 'for' cycle, this function run in parallel a % 'while' loop! The parallelization of 'while' loop (when possible) is a more % sophisticated procedure. % % See also the comment in random_walk_metropolis_hastings_core.m funtion. % % INPUTS % See the comment in random_walk_metropolis_hastings_core.m funtion. % % OUTPUTS % o myoutput [struc] % Contained: % OutputFileName_dsge, OutputFileName_param and OutputFileName_bvardsge. % % ALGORITHM % Portion of PosteriorIRF.m function. Specifically the 'while' cycle. % % SPECIAL REQUIREMENTS. % None. % % Copyright (C) 2006-2008,2010 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_ oo_ M_ bayestopt_ 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: % Da CONTROLLARE con MARCO! IRUN = myinputs.IRUN; irun =myinputs.irun; irun2=myinputs.irun2; nosaddle=myinputs.nosaddle; type=myinputs.type; if ~strcmpi(type,'prior'), x=myinputs.x; end nvar=myinputs.nvar; IndxVariables=myinputs.IndxVariables; MAX_nirfs_dsgevar=myinputs.MAX_nirfs_dsgevar; MAX_nirfs_dsge=myinputs.MAX_nirfs_dsge; MAX_nruns=myinputs.MAX_nruns; NumberOfIRFfiles_dsge=myinputs.NumberOfIRFfiles_dsge; NumberOfIRFfiles_dsgevar=myinputs.NumberOfIRFfiles_dsgevar; ifil2=myinputs.ifil2; %%%%%%%%%%%%%%%%%%%%%%%%%%%% if whoiam Parallel=myinputs.Parallel; MasterName=myinputs.MasterName; DyMo=myinputs.DyMo; end MhDirectoryName = CheckPath('metropolis'); RemoteFlag = 0; if whoiam waitbarString = ['Please wait... Bayesian (posterior) IRFs computing. (' int2str(fpar) 'of' int2str(npar) ')...']; if Parallel(ThisMatlab).Local, waitbarTitle=['Local ']; else waitbarTitle=[Parallel(ThisMatlab).PcName]; RemoteFlag =1; end fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo); else if exist('OCTAVE_VERSION') diary off; printf('\n') else if strcmpi(type,'posterior') h = waitbar(0,'Bayesian (posterior) IRFs...'); set(h,'Name','Bayesian (posterior) IRFs.'); elseif strcmpi(type,'gsa') h = waitbar(0,'GSA (prior) IRFs...'); else h = waitbar(0,'Bayesian (prior) IRFs...'); end end end OutputFileName_bvardsge = {}; OutputFileName_dsge = {}; OutputFileName_param = {}; fpar0=fpar; fpar = fpar-1; if whoiam ifil2=ifil2(whoiam); NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge(whoiam); NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar(whoiam); end while fpar 1e-13 y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order); if options_.relative_irf y = 100*y/cs(i,i); end for j = 1:nvar if max(y(IndxVariables(j),:)) - min(y(IndxVariables(j),:)) > 1e-12 stock_irf_dsge(:,j,i,irun) = transpose(y(IndxVariables(j),:)); end end end end if MAX_nirfs_dsgevar IRUN = IRUN+1; %tmp_dsgevar = zeros(options_.irf,nvobs*M_.exo_nbr); [fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep(fpar,:)',gend); dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names)); DSGE_PRIOR_WEIGHT = floor(gend*(1+dsge_prior_weight)); SIGMA_inv_upper_chol = chol(inv(SIGMAu*gend*(dsge_prior_weight+1))); explosive_var = 1; while explosive_var % draw from the marginal posterior of SIGMA SIGMAu_draw = rand_inverse_wishart(nvobs, DSGE_PRIOR_WEIGHT-NumberOfParametersPerEquation, ... SIGMA_inv_upper_chol); % draw from the conditional posterior of PHI PHI_draw = rand_matrix_normal(NumberOfParametersPerEquation,nvobs, PHI, ... chol(SIGMAu_draw)', chol(iXX)'); Companion_matrix(1:nvobs,:) = transpose(PHI_draw(1:NumberOfLagsTimesNvobs,:)); % Check for stationarity explosive_var = any(abs(eig(Companion_matrix))>1.000000001); end % Get the mean % $$$ if options_.noconstant mu = zeros(1,nvobs); % $$$ else % $$$ AA = eye(nvobs); % $$$ for lag=1:NumberOfLags % $$$ AA = AA-PHI_draw((lag-1)*nvobs+1:lag*nvobs,:); % $$$ end % $$$ mu = transpose(AA\transpose(PHI_draw(end,:))); % $$$ end % Get rotation if dsge_prior_weight > 0 Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e); A0 = Atheta(bayestopt_.mfys,:); [OMEGAstar,SIGMAtr] = qr2(A0'); end SIGMAu_chol = chol(SIGMAu_draw)'; SIGMAtrOMEGA = SIGMAu_chol*OMEGAstar'; PHIpower = eye(NumberOfLagsTimesNvobs); irfs = zeros (options_.irf,nvobs*M_.exo_nbr); tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA; irfs(1,:) = tmp3(:)'; for t = 2:options_.irf PHIpower = Companion_matrix*PHIpower; tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA; irfs(t,:) = tmp3(:)'+kron(ones(1,M_.exo_nbr),mu); end tmp_dsgevar = kron(ones(options_.irf,1),mu); for j = 1:(nvobs*M_.exo_nbr) if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10 tmp_dsgevar(:,j) = (irfs(:,j)); end end if IRUN < MAX_nirfs_dsgevar stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr); else stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr); instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ... int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];, eval(['save ' instr]); if RemoteFlag==1, OutputFileName_bvardsge = [OutputFileName_bvardsge; {[MhDirectoryName filesep], [M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) '.mat']}]; end NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1; IRUN =0; stock_irf_dsgevar = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar); end end if irun == MAX_nirfs_dsge | irun == npar | fpar == npar if fpar == npar stock_irf_dsge = stock_irf_dsge(:,:,:,1:irun); if MAX_nirfs_dsgevar & (fpar == npar | IRUN == npar) stock_irf_bvardsge = stock_irf_bvardsge(:,:,:,1:IRUN); instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ... int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];, eval(['save ' instr]); NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1; if RemoteFlag==1, OutputFileName_bvardsge = [OutputFileName_bvardsge; {[MhDirectoryName filesep], [M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) '.mat']}]; end irun = 0; end end save([MhDirectoryName '/' M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge) '.mat'],'stock_irf_dsge'); if RemoteFlag==1, OutputFileName_dsge = [OutputFileName_dsge; {[MhDirectoryName filesep], [M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge) '.mat']}]; end NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge+1; irun = 0; end if irun2 == MAX_nruns | fpar == npar if fpar == npar stock_param = stock_param(1:irun2,:); end stock = stock_param; save([MhDirectoryName '/' M_.fname '_param_irf' int2str(ifil2) '.mat'],'stock'); if RemoteFlag==1, OutputFileName_param = [OutputFileName_param; {[MhDirectoryName filesep], [M_.fname '_param_irf' int2str(ifil2) '.mat']}]; end ifil2 = ifil2 + 1; irun2 = 0; end if exist('OCTAVE_VERSION') printf(['Posterior IRF %3.f%% done\r'],(fpar/npar*100)); elseif ~whoiam waitbar(fpar/npar,h); end % if mod(fpar,10)==0 & whoiam, if whoiam, fprintf('Done! \n'); waitbarString = [ 'Subdraw ' int2str(fpar) '/' int2str(npar) ' done.']; fMessageStatus((fpar-fpar0)/(npar-fpar0),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo) end end if whoiam==0 if nosaddle disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(npar+nosaddle))]) end if exist('h') close(h); end if exist('OCTAVE_VERSION') printf('\n'); diary on; end end % Copy the rusults of computation on the call machine (specifically in the % directory on call machine that contain the model). myoutput.OutputFileName = [OutputFileName_dsge; OutputFileName_param; OutputFileName_bvardsge];