348 lines
13 KiB
Matlab
348 lines
13 KiB
Matlab
function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
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% stephane.adjemian@ens.fr [09-02-2005]
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global M_ oo_ options_ bayestopt_ estim_params_
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DirectoryName = CheckPath('metropolis');
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nblck = options_.mh_nblck;
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nruns = ones(nblck,1)*options_.mh_replic;
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npar = length(xparam1);
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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d = chol(vv);
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options_.lik_algo = 1;
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OpenOldFile = ones(nblck,1);
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if options_.load_mh_file == 0
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% Here we start a new metropolis-hastings, previous draws are not
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% considered.
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if nblck > 1
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disp('MH: Multiple chains mode.')
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else
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disp('MH: One Chain mode.')
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end
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% Delete old mh files...
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files = eval(['dir(''' DirectoryName '\' M_.fname '_mh*_blck*.mat'');']);
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if length(files)
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delete([ DirectoryName '\' M_.fname '_mh*_blck*.mat']);
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disp('MH: Old _mh files succesfully erased!')
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end
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% Initial values...
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if nblck > 1% Case 1: multiple chains
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disp('MH: Searching for initial values...')
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ix2 = zeros(nblck,npar);
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ilogpo2 = zeros(nblck,1);
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for j=1:nblck
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validate = 0;
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init_iter = 0;
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trial = 1;
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while validate == 0 & trial <= 10
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candidate = options_.mh_init_scale*randn(1,npar)*d + transpose(xparam1);
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if all(candidate' > mh_bounds(:,1)) & all(candidate' < mh_bounds(:,2))
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ix2(j,:) = candidate;
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ilogpo2(j) = -DsgeLikelihood(ix2(j,:)',gend,data);
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j = j+1;
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validate = 1;
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end
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init_iter = init_iter + 1;
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if init_iter > 100 & validate == 0
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disp(['MH: I couldn''t get a valid initial value in 100 trials.'])
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disp(['MH: You should Reduce mh_init_scale...'])
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disp(sprintf('MH: Parameter mh_init_scale is equal to %f.',options_.mh_init_scale))
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options_.mh_init_scale = input('MH: Enter a new value... ');
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trial = trial+1;
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end
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end
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if trial > 10 & ~validate
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disp(['MH: I''m unable to find a starting value for block ' int2str(j)])
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return
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end
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end
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disp('MH: Initial values found!')
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disp(' ')
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else% Case 2: one chain (we start from the posterior mode)
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candidate = transpose(xparam1);
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if all(candidate' > mh_bounds(:,1)) & all(candidate' < mh_bounds(:,2))
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ix2 = candidate;
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ilogpo2 = -DsgeLikelihood(ix2',gend,data);
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disp('MH: Initialization at the posterior mode.')
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disp(' ')
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else
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disp('MH: Initialization failed...')
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disp('MH: The posterior mode lies outside the prior bounds.')
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return
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end
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end
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fblck = 1;
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fline = ones(nblck,1);
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NewFile = ones(nblck,1);
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% Creation of the mh-history file:
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file = eval(['dir(''' DirectoryName '\' M_.fname '_mh_history.mat'');']);
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if length(files)
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delete([ DirectoryName '\' M_.fname '_mh_history.mat']);
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disp('MH: Old mh_history file succesfully erased!')
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end
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AnticipatedNumberOfFiles = floor(nruns(1)/MAX_nruns);
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AnticipatedNumberOfLinesInTheLastFile = nruns(1) - AnticipatedNumberOfFiles*MAX_nruns;
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record.Nblck = nblck;
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record.MhDraws = zeros(1,3);
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record.MhDraws(1,1) = nruns(1);
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record.MhDraws(1,2) = AnticipatedNumberOfFiles+1;
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record.MhDraws(1,3) = AnticipatedNumberOfLinesInTheLastFile;
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record.AcceptationRates = zeros(1,nblck);
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record.Seeds.Normal = randn('state');
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record.Seeds.Unifor = rand('state');
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record.InitialParameters = ix2;
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record.InitialLogLiK = ilogpo2;
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record.LastParameters = zeros(nblck,npar);
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record.LastLogLiK = zeros(nblck,1);
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record.LastFileNumber = AnticipatedNumberOfFiles+1;
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record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
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save([DirectoryName '\' M_.fname '_mh_history'],'record');
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elseif options_.load_mh_file == 1% Here we consider previous mh files (previous mh did not crash).
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disp('MH: I''m loading past metropolis-hastings simulations...')
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file = eval(['dir(''' DirectoryName '\' M_.fname '_mh_history.mat'');']);
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files = eval(['dir(''' DirectoryName '\' M_.fname '_mh*.mat'');']);
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if ~length(files)
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disp('MH:: FAILURE! there is no MH file to load here!')
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return
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end
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if ~length(file)
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disp('MH:: FAILURE! there is no MH-history file!')
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return
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else
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load([ DirectoryName '\' M_.fname '_mh_history'])
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end
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past_number_of_blocks = record.Nblck;
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if past_number_of_blocks ~= nblck
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disp('MH:: The specified number of blocks doesn''t match with the previous number of blocks!')
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disp(['MH:: You declared ' int2str(nblck) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.'])
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disp(['MH:: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ])
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nblck = past_number_of_blocks;
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options_.mh_nblck = nblck;
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end
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% I get the last line of the last mh-file for initialization
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% of the new metropolis-hastings simulations:
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LastFileNumber = record.LastFileNumber;
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LastLineNumber = record.LastLineNumber;
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if LastLineNumber < MAX_nruns
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NewFile = ones(nblck,1)*LastFileNumber;
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else
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NewFile = ones(nblck,1)*(LastFileNumber+1);
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end
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ilogpo2 = record.LastLogLiK;
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ix2 = record.LastParameters;
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fblck = 1;
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fline = ones(nblck,1)*(LastLineNumber+1);
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NumberOfPreviousSimulations = sum(record.MhDraws(:,1),1);
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record.MhDraws = [record.MhDraws;zeros(1,3)];
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NumberOfDrawsWrittenInThePastLastFile = MAX_nruns - LastLineNumber;
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NumberOfDrawsToBeSaved = nruns(1) - NumberOfDrawsWrittenInThePastLastFile;
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AnticipatedNumberOfFiles = floor(NumberOfDrawsToBeSaved/MAX_nruns);
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AnticipatedNumberOfLinesInTheLastFile = NumberOfDrawsToBeSaved - AnticipatedNumberOfFiles*MAX_nruns;
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record.LastFileNumber = LastFileNumber + AnticipatedNumberOfFiles + 1;
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record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
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record.MhDraws(end,1) = nruns(1);
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record.MhDraws(end,2) = AnticipatedNumberOfFiles+1;
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record.MhDraws(end,3) = AnticipatedNumberOfLinesInTheLastFile;
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randn('state',record.Seeds.Normal);
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rand('state',record.Seeds.Unifor);
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save([DirectoryName '\' M_.fname '_mh_history'],'record');
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disp(['MH: ... It''s done. I''ve loaded ' int2str(NumberOfPreviousSimulations) ' simulations.'])
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disp(' ')
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elseif options_.load_mh_file == -1% The previous metropolis-hastings
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% crashed before the end! I try to
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% recover the saved draws...
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disp('MH: Recover mode!')
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disp(' ')
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file = eval(['dir(''' DirectoryName '\' M_.fname '_mh_history.mat'');']);
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if ~length(file)
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disp('MH:: FAILURE! there is no MH-history file!')
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return
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else
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load([ DirectoryName '\' M_.fname '_mh_history'])
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end
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nblck = record.Nblck;
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options_.mh_nblck = nblck;
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if size(record.MhDraws,1) == 1
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OldMh = 0;% The crashed metropolis was the first session.
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else
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OldMh = 1;% The crashed metropolis wasn't the first session.
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end
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% Default initialization:
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if OldMh
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ilogpo2 = record.LastLogLiK;
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ix2 = record.LastParameters;
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else
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ilogpo2 = record.InitialLogLiK;
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ix2 = record.InitialParameters;
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end
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% Set "NewFile":
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if OldMh
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LastLineNumberInThePreviousMh = record.MhDraws(end-1,3);
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LastFileNumberInThePreviousMh = sum(record.MhDraws(1:end-1,2),1);
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if LastLineNumberInThePreviousMh < MAX_nruns
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NewFile = ones(nblck,1)*LastFileNumberInThePreviousMh;
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else
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NewFile = ones(nblck,1)*(LastFileNumberInThePreviousMh+1);
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end
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else
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NewFile = ones(nblck,1);
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end
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% Set fline (First line):
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if OldMh
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fline = ones(nblck,1)*(record.MhDraws(end-1,3)+1);
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else
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fline = ones(nblck,1);
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end
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% Set fblck (First block):
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fblck = 1;
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% How many mh files should we have ?
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ExpectedNumberOfMhFilesPerBlock = sum(record.MhDraws(:,2),1);
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ExpectedNumberOfMhFiles = ExpectedNumberOfMhFilesPerBlock*nblck;
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% I count the total number of saved mh files...
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AllMhFiles = eval(['dir(''' DirectoryName '\' M_.fname '_mh*_blck*.mat'');']);
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TotalNumberOfMhFiles = length(AllMhFiles);
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% I count the number of saved mh files per block
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NumberOfMhFilesPerBlock = zeros(nblck,1);
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for i = 1:nblck
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BlckMhFiles = eval(['dir(''' DirectoryName '\' M_.fname '_mh*_blck' int2str(i) '.mat'');']);
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NumberOfMhFilesPerBlock(i) = length(BlckMhFiles);
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end
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tmp = NumberOfMhFilesPerBlock(1); b = 1;
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% Is there a chain with less mh files than the first chain ?
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CrashedBlck = 1;
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while b <= nblck
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if NumberOfMhFilesPerBlock(b) < ExpectedNumberOfMhFilesPerBlock
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CrashedBlck = b;% YES!
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break
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end
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b = b+1;
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end
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% The new metropolis-hastings should start from (fblck=CrashedBlck)
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fblck = CrashedBlck;
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% How many mh-files are saved in this block ?
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NumberOfSavedMhFilesInTheCrashedBlck = ...
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NumberOfMhFilesPerBlock(CrashedBlck);
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% How many mh-files were saved in this block during the last session
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% (if there was a complete session before the crash) ?
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if OldMh
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ante = sum(record.MhDraws(1:end-1,2),1);
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load(['.\' DirectoryName '\' M_.fname '_mh' int2str(ante) '_blck' ...
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int2str(CrashedBlck) '.mat'],'logpo2');
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if length(logpo2) == MAX_nruns
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IsTheLastFileOfThePreviousMhFull = 1;
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else
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IsTheLastFileOfThePreviousMhFull = 0;
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end
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else
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ante = 0;% Because the crashed session is the first one
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IsTheLastFileOfThePreviousMhFull = 1;
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end
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if ~IsTheLastFileOfThePreviousMhFull
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MhFileExist = 1;
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MhFileNumber = ante;
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while MhFileExist
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MhFileNumber = MhFileNumber + 1;
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if ~exist(['.\' DirectoryName '\' M_.fname '_mh' int2str(MhFileNumber) '_blck' int2str(CrashedBlck) '.mat'])
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MhFileExist = 0;
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end
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end
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% if MhFileNumber > ExpectedNumberOfMhFilesPerBlock % Peut <20>tre <20> d<>placer plus haut...
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% disp('MH : You are using the recover mode but the previous session');
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% disp(' of the metropolis-hastings didn''t crash!')
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% disp('MH : I stop and you shoud modify your mod file.')
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% return
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% else
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NumberOfCompletedMhFiles = (MhFileNumber-1)-ante;
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% How many runs were saved ?
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if OldMh
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reste = MAX_nruns-record.MhDraws(end-1,3);
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else
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reste = 0
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end
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NumberOfSavedDraws = MAX_nruns*(NumberOfCompletedMhFiles) + reste;
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% Here is the number of draws we still need to complete the block:
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nruns(CrashedBlck) = nruns(CrashedBlck)-NumberOfSavedDraws;
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% I initialize with the last saved mh file of the inccomplete
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% block:
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load(['.\' DirectoryName '\' M_.fname '_mh' int2str(MhFileNumber-1) '_blck' int2str(CrashedBlck) '.mat']);
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ilogpo2(CrashedBlck) = logpo2(end);
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ix2(CrashedBlck,:) = x2(end,:);
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NewFile(CrashedBlck) = MhFileNumber;
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fline(CrashedBlck,1) = 1;
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else
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% creuser ce qui se passe dans ce cas !
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OpenOldFile(CrashedBlck) = 0;
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disp('Ok')
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end
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end% of (if options_.load_mh_file == {0,1 or -1})
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%%%%
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%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
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%%%%
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InitSizeArray = min([MAX_nruns*ones(nblck) nruns],[],2);
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for b = fblck:nblck
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if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
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load(['.\' DirectoryName '\' M_.fname '_mh' int2str(NewFile(b)) ...
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'_blck' int2str(b) '.'])
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x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
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logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
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OpenOldFile(b) = 0;
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else
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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end
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hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(nblck) ')...']);
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set(hh,'Name','Metropolis-Hastings')
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isux = 0;
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irun = fline(b);
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j = 1;
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while j <= nruns(b)
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par = randn(1,npar)*d;
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par = par.*bayestopt_.jscale' + ix2(b,:);
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if all(par'>mh_bounds(:,1)) & all(par'<mh_bounds(:,2))
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logpost = -DsgeLikelihood(par',gend,data);
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else
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logpost = -inf;
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end
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if (logpost > -inf) & (log(rand) < logpost-ilogpo2(b))
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x2(irun,:) = par;
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ix2(b,:) = par;
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logpo2(irun) = logpost;
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ilogpo2(b) = logpost;
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isux = isux + 1;
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else
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x2(irun,:) = ix2(b,:);
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logpo2(irun) = ilogpo2(b);
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end
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prtfrc = j/nruns(b);
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waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
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if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
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save([DirectoryName '\' M_.fname '_mh' int2str(NewFile(b)) '_blck' int2str(b)],'x2','logpo2');
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InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
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if j == nruns(b) % I record the last draw...
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record.LastParameters(b,:) = x2(end,:);
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record.LastLogLiK(b) = logpo2(end);
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end
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if InitSizeArray(b)
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x2 = zeros(InitSizeArray(b),npar);
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logpo2 = zeros(InitSizeArray(b),1);
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NewFile(b) = NewFile(b) + 1;
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irun = 0;
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else % InitSizeArray is equal to zero because we are at the end of an mc chain.
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InitSizeArray(b) = min(nruns(b),MAX_nruns);
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end
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end
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j=j+1;
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irun = irun + 1;
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end% End of the simulations for one mh-block.
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record.AcceptationRates(b) = isux/j;
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close(hh);
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end% End of the loop over the mh-blocks.
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record.Seeds.Normal = randn('state');
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record.Seeds.Unifor = rand('state');
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save([DirectoryName '\' M_.fname '_mh_history'],'record');
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disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
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disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])
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disp(['MH: Total number of iterations : ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])
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disp(' ')
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