167 lines
6.8 KiB
Matlab
167 lines
6.8 KiB
Matlab
function SampleAddress = selec_posterior_draws(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,estim_params_,SampleSize,drsize)
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% Selects a sample of draws from the posterior distribution and if nargin>1
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% saves the draws in _pdraws mat files (metropolis folder). If drsize>0
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% the dr structure, associated to the parameters, is also saved in _pdraws.
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% This routine is more efficient than metropolis_draw.m because here an
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% _mh file cannot be opened twice.
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%
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% INPUTS
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% o M_ [structure] Matlab's structure describing the model
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% o options_ [structure] Matlab's structure describing the current options
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% o dr [structure] Reduced form model.
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% o endo_steady_state [vector] steady state value for endogenous variables
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% o exo_steady_state [vector] steady state value for exogenous variables
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% o exo_det_steady_state [vector] steady state value for exogenous deterministic variables
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% o SampleSize [integer] Size of the sample to build.
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% o drsize [double] structure dr is drsize megaoctets.
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%
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% OUTPUTS
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% o SampleAddress [integer] A (SampleSize*4) array, each line specifies the
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% location of a posterior draw:
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% Column 2 --> Chain number
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% Column 3 --> (mh) File number
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% Column 4 --> (mh) line number
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%
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% SPECIAL REQUIREMENTS
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% None.
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%
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% Copyright © 2006-2024 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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% Number of parameters:
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npar = estim_params_.nvx;
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npar = npar + estim_params_.nvn;
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npar = npar + estim_params_.ncx;
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npar = npar + estim_params_.ncn;
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npar = npar + estim_params_.np;
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% Select one task:
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switch nargin
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case 8
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info = 0;
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case 9
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MAX_mega_bytes = 10;% Should be an option...
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if drsize>0
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info=2;
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else
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info=1;
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end
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drawsize = drsize+npar*8/1048576;
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otherwise
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error('selec_posterior_draws:: Unexpected number of input arguments!')
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end
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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ModelName = M_.fname;
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BaseName = [MetropolisFolder filesep ModelName];
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% Get informations about the mcmc:
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record=load_last_mh_history_file(MetropolisFolder, ModelName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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LastMhFile = TotalNumberOfMhFiles;
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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mh_nblck = options_.mh_nblck;
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% Randomly select draws in the posterior distribution:
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SampleAddress = zeros(SampleSize,4);
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for i = 1:SampleSize
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ChainNumber = ceil(rand*mh_nblck);
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DrawNumber = ceil(rand*NumberOfDraws);
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SampleAddress(i,1) = DrawNumber;
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SampleAddress(i,2) = ChainNumber;
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if DrawNumber <= MAX_nruns-FirstLine+1
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MhFileNumber = FirstMhFile;
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MhLineNumber = FirstLine+DrawNumber-1;
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else
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DrawNumber = DrawNumber-(MAX_nruns-FirstLine+1);
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MhFileNumber = FirstMhFile+ceil(DrawNumber/MAX_nruns);
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MhLineNumber = DrawNumber-(MhFileNumber-FirstMhFile-1)*MAX_nruns;
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end
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SampleAddress(i,3) = MhFileNumber;
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SampleAddress(i,4) = MhLineNumber;
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end
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SampleAddress = sortrows(SampleAddress,[3 2]);
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% Selected draws in the posterior distribution, and if drsize>0
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% reduced form solutions, are saved on disk.
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if info
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%delete old stale files before creating new ones
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delete_stale_file([BaseName '_posterior_draws*.mat'])
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if SampleSize*drawsize <= MAX_mega_bytes% The posterior draws are saved in one file.
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pdraws = cell(SampleSize,info);
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old_mhfile = 0;
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old_mhblck = 0;
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for i = 1:SampleSize
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mhfile = SampleAddress(i,3);
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mhblck = SampleAddress(i,2);
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if (mhfile ~= old_mhfile) || (mhblck ~= old_mhblck)
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load([BaseName '_mh' num2str(mhfile) '_blck' num2str(mhblck) '.mat'],'x2')
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end
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pdraws(i,1) = {x2(SampleAddress(i,4),:)};
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if info==2
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M_ = set_parameters_locally(M_,pdraws{i,1});
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[dr,~,M_.params] =compute_decision_rules(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
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pdraws(i,2) = { dr };
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end
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old_mhfile = mhfile;
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old_mhblck = mhblck;
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end
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clear('x2')
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save([BaseName '_posterior_draws1.mat'],'pdraws','estim_params_')
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else% The posterior draws are saved in xx files.
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NumberOfDrawsPerFile = fix(MAX_mega_bytes/drawsize);
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NumberOfFiles = ceil(SampleSize*drawsize/MAX_mega_bytes);
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NumberOfLines = SampleSize - (NumberOfFiles-1)*NumberOfDrawsPerFile;
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linee = 0;
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fnum = 1;
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pdraws = cell(NumberOfDrawsPerFile,info);
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old_mhfile = 0;
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old_mhblck = 0;
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for i=1:SampleSize
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linee = linee+1;
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mhfile = SampleAddress(i,3);
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mhblck = SampleAddress(i,2);
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if (mhfile ~= old_mhfile) || (mhblck ~= old_mhblck)
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load([BaseName '_mh' num2str(mhfile) '_blck' num2str(mhblck) '.mat'],'x2')
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end
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pdraws(linee,1) = {x2(SampleAddress(i,4),:)};
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if info==2
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M_ = set_parameters_locally(M_,pdraws{i,1});
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[dr,~,M_.params] = compute_decision_rules(M_,options_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state);
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pdraws(linee,2) = { dr };
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end
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old_mhfile = mhfile;
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old_mhblck = mhblck;
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if fnum < NumberOfFiles && linee == NumberOfDrawsPerFile
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linee = 0;
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save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws','estim_params_')
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fnum = fnum+1;
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if fnum < NumberOfFiles
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pdraws = cell(NumberOfDrawsPerFile,info);
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else
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pdraws = cell(NumberOfLines,info);
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end
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end
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end
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save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws','estim_params_')
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end
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end |