230 lines
10 KiB
Matlab
230 lines
10 KiB
Matlab
function mcheck = mode_check(fun,xparam,hessian_mat,options_,M_,estim_params_,bayestopt_,bounds,isMinimum, varargin)
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% function mcheck = mode_check(fun,xparam,hessian_mat,options_,M_,estim_params_,bayestopt_,bounds,isMinimum, varargin)
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% -------------------------------------------------------------------------
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% Checks the estimated ML or Posterior mode/minimum by plotting sections of
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% the likelihood/posterior kernel. Each plot shows the variation of the
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% function implied by the variations of a single parameter ( ceteris paribus)
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% -------------------------------------------------------------------------
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% INPUTS
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% - fun: [func_handle] objective function
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% - xparam: [vector] estimated mode/minimum
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% - hessian_mat: [matrix] hessian of the objective function at the estimated mode/minimum
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% - options_: [structure] Dynare options structure
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% - M_: [structure] Dynare model structure
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% - estim_params_: [structure] Dynare estimated parameters structure
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% - bayestopt_: [structure] information on the priors
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% - bounds: [structure] information on the bounds
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% - isMinimum: [boolean] true if xparam is a minimum, false if it is a mode
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% - varargin: [cell] additional arguments to be passed to fun
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% -------------------------------------------------------------------------
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% OUTPUTS
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% - mcheck: [structure] structure containing the data for the check plots
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% - Saves the plots in the graphs folder and the data in a mat file
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% -------------------------------------------------------------------------
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% This function is called by
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% - dynare_estimation_1
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% - mom.run
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% -------------------------------------------------------------------------
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% Copyright © 2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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tolBounds = 1e-8;
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fval = feval(fun,xparam,varargin{:});
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if ~isempty(hessian_mat)
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[ s_min, k ] = min(diag(hessian_mat));
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if isMinimum
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fprintf('\nMINIMUM CHECK\n\nFval obtained by the optimization routine: %f\n', fval)
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else
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fprintf('\nMODE CHECK\n\nFval obtained by the optimization routine: %f\n', fval)
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end
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if s_min<eps
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fprintf('Most negative variance %f for parameter %d (%s = %f)\n', s_min, k , bayestopt_.name{k}, xparam(k));
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end
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end
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[nbplt,nr,nc,~,~,nstar] = pltorg(length(xparam));
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graphsFolder = CheckPath('graphs',M_.dname);
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latexFolder = CheckPath('latex',M_.dname);
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if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fidTeX = fopen([latexFolder filesep M_.fname '_CheckPlots.tex'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by mode_check.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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ll = options_.mode_check.neighbourhood_size;
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if isinf(ll)
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options_.mode_check.symmetric_plots = false;
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end
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if isMinimum
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mcheck = struct('cross',struct(),'emin',struct());
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else
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mcheck = struct('cross',struct(),'emode',struct());
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end
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for plt = 1:nbplt
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if options_.TeX
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NAMES = [];
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TeXNAMES = [];
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end
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if isMinimum
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hh_fig = dyn_figure(options_.nodisplay,'Name','Minimum check plots');
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else
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hh_fig = dyn_figure(options_.nodisplay,'Name','Mode check plots');
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end
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for k = 1:min(nstar,length(xparam)-(plt-1)*nstar)
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subplot(nr,nc,k)
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kk = (plt-1)*nstar+k;
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[name,texname] = get_the_name(kk,options_.TeX,M_,estim_params_,options_.varobs);
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xx = xparam;
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if xparam(kk)~=0 && ~isinf(bounds.lb(kk)) && ~isinf(bounds.ub(kk))
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l1 = max(bounds.lb(kk),(1-sign(xparam(kk))*ll)*xparam(kk)); m1 = 0; % lower bound
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l2 = min(bounds.ub(kk),(1+sign(xparam(kk))*ll)*xparam(kk)); % upper bound
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else
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% size info for 0 parameter is missing, use prior standard deviation
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upper_bound = bounds.lb(kk);
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if isinf(upper_bound)
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upper_bound = -1e-6*options_.huge_number;
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end
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lower_bound = bounds.ub(kk);
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if isinf(lower_bound)
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lower_bound = -1e-6*options_.huge_number;
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end
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l1 = max(lower_bound,-bayestopt_.p2(kk)); m1 = 0; % lower bound
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l2 = min(upper_bound,bayestopt_.p2(kk)); % upper bound
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end
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binding_lower_bound = 0;
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binding_upper_bound = 0;
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if abs(xparam(kk)-bounds.lb(kk))<tolBounds
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binding_lower_bound = 1;
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bound_value = bounds.lb(kk);
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elseif abs(xparam(kk)-bounds.ub(kk))<tolBounds
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binding_upper_bound = 1;
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bound_value = bounds.ub(kk);
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end
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if options_.mode_check.symmetric_plots && ~binding_lower_bound && ~binding_upper_bound
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if l2<(1+ll)*xparam(kk) % test whether upper bound is too small due to prior binding
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l1 = xparam(kk) - (l2-xparam(kk)); % adjust lower bound to become closer
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m1 = 1;
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end
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if ~m1 && (l1>(1-ll)*xparam(kk)) && (xparam(kk)+(xparam(kk)-l1)<bounds.ub(kk)) % if lower bound was truncated and using difference from lower bound does not violate upper bound
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l2 = xparam(kk) + (xparam(kk)-l1); % set upper bound to same distance as lower bound
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end
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end
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z1 = l1:((xparam(kk)-l1)/(options_.mode_check.number_of_points/2)):xparam(kk);
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z2 = xparam(kk):((l2-xparam(kk))/(options_.mode_check.number_of_points/2)):l2;
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z = union(z1,z2);
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if ~options_.mode_check.nolik
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y = zeros(length(z),2);
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if isfield(options_,'mom') && ( (strcmp(options_.mom.mom_method,'GMM') || strcmp(options_.mom.mom_method,'SMM')) && options_.mom.penalized_estimator )
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dy = (xx-bayestopt_.p1)'/diag(bayestopt_.p2.^2)*(xx-bayestopt_.p1);
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else
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dy = priordens(xx,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
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end
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end
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for i = 1:length(z)
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xx(kk) = z(i);
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[fval, info, exit_flag] = feval(fun,xx, varargin{:});
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if exit_flag
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y(i,1) = fval;
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else
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y(i,1) = NaN;
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if options_.debug
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fprintf('mode_check:: could not solve model for parameter %s at value %4.3f, error code: %u (%s)\n',name,z(i),info(1),get_error_message(info, options_));
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end
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end
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if ~options_.mode_check.nolik
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if isfield(options_,'mom') && ( (strcmp(options_.mom.mom_method,'GMM') || strcmp(options_.mom.mom_method,'SMM')) && options_.mom.penalized_estimator )
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lnprior = (xx-bayestopt_.p1)'/diag(bayestopt_.p2.^2)*(xx-bayestopt_.p1);
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else
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lnprior = priordens(xx,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
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end
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y(i,2) = (y(i,1)+lnprior-dy);
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end
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end
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if isMinimum
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mcheck.cross = setfield(mcheck.cross, name, [transpose(z), y]); % keep y
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mcheck.emin = setfield(mcheck.emin, name, xparam(kk)); % store as min
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fighandle = plot(z,y);
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else
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mcheck.cross = setfield(mcheck.cross, name, [transpose(z), -y]); % multiply y by -1
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mcheck.emode = setfield(mcheck.emode, name, xparam(kk)); % store as mode
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fighandle = plot(z,-y);
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end
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hold on
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yl = get(gca,'ylim');
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plot( [xparam(kk) xparam(kk)], yl, 'c', 'LineWidth', 1);
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NaN_index = find(isnan(y(:,1)));
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zNaN = z(NaN_index);
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yNaN = yl(1)*ones(size(NaN_index));
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plot(zNaN,yNaN,'o','MarkerEdgeColor','r','MarkerFaceColor','r','MarkerSize',6);
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if options_.TeX
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title(texname,'interpreter','latex')
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else
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title(name,'interpreter','none')
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end
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axis tight
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if binding_lower_bound || binding_upper_bound
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xl = get(gca,'xlim');
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plot( [bound_value bound_value], yl, 'r--', 'LineWidth', 1);
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xlim([xl(1)-0.5*binding_lower_bound*(xl(2)-xl(1)) xl(2)+0.5*binding_upper_bound*(xl(2)-xl(1))]);
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end
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hold off
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drawnow
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end
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if ~options_.mode_check.nolik
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if isoctave
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axes('outerposition',[0.3 0.93 0.42 0.07],'box','on');
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else
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axes('position',[0.3 0.01 0.42 0.05],'box','on');
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end
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line_color=get(fighandle,'color');
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plot([0.48 0.68],[0.5 0.5],'color',line_color{2});
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hold on;
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plot([0.04 0.24],[0.5 0.5],'color',line_color{1});
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set(gca,'xlim',[0 1],'ylim',[0 1],'xtick',[],'ytick',[]);
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if isMinimum
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text(0.25,0.5,'log-post');
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text(0.69,0.5,'log-dist kernel');
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else
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text(0.25,0.5,'log-post');
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text(0.69,0.5,'log-lik kernel');
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end
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end
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dyn_saveas(hh_fig,[graphsFolder filesep M_.fname '_CheckPlots' int2str(plt) ],options_.nodisplay,options_.graph_format);
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if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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% TeX eps loader file
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_CheckPlots%s}\n',options_.figures.textwidth*min(k/nc,1),[graphsFolder '/' M_.fname],int2str(plt)); % don't use filesep as it will create issues with LaTeX on Windows
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fprintf(fidTeX,'\\caption{Check plots.}');
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fprintf(fidTeX,'\\label{Fig:CheckPlots:%s}\n',int2str(plt));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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end
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if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fclose(fidTeX);
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end
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save([graphsFolder filesep M_.fname '_check_plot_data.mat'],'mcheck'); |