199 lines
6.9 KiB
Matlab
199 lines
6.9 KiB
Matlab
function [theta, fxsim, neval] = slice_sampler(objective_function,theta,thetaprior,sampler_options,varargin)
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% function [theta, fxsim, neval] = slice_sampler(objective_function,theta,thetaprior,sampler_options,varargin)
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% ----------------------------------------------------------
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% UNIVARIATE SLICE SAMPLER - stepping out (Neal, 2003)
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% W: optimal value in the range (3,10)*std(x)
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% - see C.Planas and A.Rossi (2014)
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% objective_function(theta,varargin): -log of any unnormalized pdf
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% with varargin (optional) a vector of auxiliaty parameters
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% to be passed to f( ).
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% ----------------------------------------------------------
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%
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% INPUTS
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% objective_function: objective function (expressed as minus the log of a density)
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% theta: last value of theta
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% thetaprior: bounds of the theta space
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% sampler_options: posterior sampler options
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% varargin: optional input arguments to objective function
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%
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% OUTPUTS
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% theta: new theta sample
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% fxsim: value of the objective function for the new sample
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% neval: number of function evaluations
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2015-2023 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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if sampler_options.rotated %&& ~isempty(sampler_options.V1),
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[theta, fxsim, neval] = rotated_slice_sampler(objective_function,theta,thetaprior,sampler_options,varargin{:});
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if isempty(sampler_options.mode) % jumping
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return
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else
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nevalR=sum(neval);
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end
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end
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theta=theta(:);
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npar = length(theta);
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W1 = sampler_options.W1;
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neval = zeros(npar,1);
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% % % fname0=fname;
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fname = [ int2str(sampler_options.curr_block)];
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Prior = dprior(varargin{6},varargin{3}.prior_trunc);
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it=0;
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while it<npar
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it=it+1;
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neval(it) = 0;
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W = W1(it);
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xold = theta(it);
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% XLB = thetaprior(3);
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% XUB = thetaprior(4);
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XLB = thetaprior(it,1);
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XUB = thetaprior(it,2);
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% -------------------------------------------------------
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% 1. DRAW Z = ln[f(X0)] - EXP(1) where EXP(1)=-ln(U(0,1))
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% THIS DEFINES THE SLICE S={x: z < ln(f(x))}
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% -------------------------------------------------------
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fxold = -feval(objective_function,theta,varargin{:});
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if ~isfinite(fxold)
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disp(['slice_sampler:: Iteration ' int2str(it) ' started with bad parameter set (fval is inf or nan)'])
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icount=0;
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while ~isfinite(fxold) && icount<1000
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icount=icount+1;
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theta = Prior.draw();
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if all(theta >= thetaprior(:,1)) && all(theta <= thetaprior(:,2))
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fxold = -feval(objective_function,theta,varargin{:});
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end
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end
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% restart from 1
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it = 1;
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neval(it) = 0;
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W = W1(it);
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xold = theta(it);
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XLB = thetaprior(it,1);
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XUB = thetaprior(it,2);
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end
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neval(it) = neval(it) + 1;
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Z = fxold + log(rand(1,1));
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% -------------------------------------------------------------
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% 2. FIND I=(L,R) AROUND X0 THAT CONTAINS S AS MUCH AS POSSIBLE
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% STEPPING-OUT PROCEDURE
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% -------------------------------------------------------------
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u = rand(1,1);
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L = max(XLB,xold-W*u);
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R = min(XUB,L+W);
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mytxt{it,1} = '';
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while(L > XLB)
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xsim = L;
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theta(it) = xsim;
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fxl = -feval(objective_function,theta,varargin{:});
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neval(it) = neval(it) + 1;
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if (fxl <= Z)
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break
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end
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L = max(XLB,L-W);
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if neval(it)>30
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L=XLB;
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xsim = L;
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theta(it) = xsim;
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fxl = -feval(objective_function,theta,varargin{:});
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icount = 0;
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while (isinf(fxl) || isnan(fxl)) && icount<300
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icount = icount+1;
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L=L+sqrt(eps);
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xsim = L;
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theta(it) = xsim;
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fxl = -feval(objective_function,theta,varargin{:});
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end
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mytxt{it,1} = sprintf('Getting L for [%s] is taking too long.', varargin{6}.name{it});
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save(['slice_iter_info_' fname],'mytxt','neval','it','theta','fxl')
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%keyboard;
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end
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end
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neval1 = neval(it);
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mytxt{it,2} = '';
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while(R < XUB)
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xsim = R;
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theta(it) = xsim;
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fxr = -feval(objective_function,theta,varargin{:});
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neval(it) = neval(it) + 1;
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if (fxr <= Z)
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break
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end
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R = min(XUB,R+W);
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if neval(it)>(neval1+30)
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R=XUB;
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xsim = R;
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theta(it) = xsim;
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fxr = -feval(objective_function,theta,varargin{:});
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icount = 0;
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while (isinf(fxr) || isnan(fxr)) && icount<300
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icount = icount+1;
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R=R-sqrt(eps);
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xsim = R;
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theta(it) = xsim;
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fxr = -feval(objective_function,theta,varargin{:});
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end
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mytxt{it,2} = sprintf('Getting R for [%s] is taking too long.', varargin{6}.name{it});
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save(['slice_iter_info_' fname],'mytxt','neval','it','theta','fxr')
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%keyboard;
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end
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end
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% ------------------------------------------------------
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% 3. SAMPLING FROM THE SET A = (I INTERSECT S) = (LA,RA)
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% ------------------------------------------------------
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fxsim = Z-1;
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mytxt{it,3} = '';
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while (fxsim < Z)
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u = rand(1,1);
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xsim = L + u*(R - L);
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theta(it) = xsim;
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fxsim = -feval(objective_function,theta,varargin{:});
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neval(it) = neval(it) + 1;
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if (xsim > xold)
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R = xsim;
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else
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L = xsim;
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end
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if (R-L)<1.e-6 %neval(it)>(30+neval2)
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fprintf('The sampling for parameter [%s] is taking too long as the sampling set is too tight. Check the prior.\n', varargin{6}.name{it})
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mytxt{it,3} = sprintf('Sampling [%s] is taking too long.', varargin{6}.name{it});
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save([varargin{4}.dname filesep 'metropolis/slice_iter_info_' fname],'mytxt','neval','it')
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break
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end
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end
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save([varargin{4}.dname filesep 'metropolis/slice_iter_info_' fname],'mytxt','neval','it','theta','fxsim')
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if isinf(fxsim) || isnan(fxsim)
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theta(it) = xold;
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fxsim = fxold;
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disp('SLICE: posterior density is infinite. Reset values at initial ones.')
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end
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end
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if sampler_options.rotated && ~isempty(sampler_options.mode) % jumping
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neval=sum(neval)+nevalR;
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end
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