365 lines
16 KiB
Matlab
365 lines
16 KiB
Matlab
function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
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metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
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%function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] =
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% metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, dataset_,options_,M_,estim_params_,bayestopt_,oo_)
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% Metropolis-Hastings initialization.
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%
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% INPUTS
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% o TargetFun [char] string specifying the name of the objective
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% function (posterior kernel).
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% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
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% o vv [double] (p*p) matrix, posterior covariance matrix (at the mode).
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% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
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% o dataset_ data structure
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% o options_ options structure
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% o M_ model structure
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% o estim_params_ estimated parameters structure
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% o bayestopt_ estimation options structure
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% o oo_ outputs structure
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%
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% OUTPUTS
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% None
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright (C) 2006-2013 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 <http://www.gnu.org/licenses/>.
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ix2 = [];
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ilogpo2 = [];
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ModelName = [];
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MhDirectoryName = [];
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fblck = [];
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fline = [];
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npar = [];
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nblck = [];
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nruns = [];
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NewFile = [];
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MAX_nruns = [];
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d = [];
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ModelName = M_.fname;
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if ~isempty(M_.bvar)
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ModelName = [M_.fname '_bvar'];
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end
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MhDirectoryName = CheckPath('metropolis',M_.dname);
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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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if ~options_.load_mh_file && ~options_.mh_recover
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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 = dir([ MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
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if length(files)
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delete([ MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
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disp('MH: Old _mh files successfully erased!')
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end
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file = dir([ MhDirectoryName '/metropolis.log']);
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if length(file)
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delete([ MhDirectoryName '/metropolis.log']);
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disp('MH: Old metropolis.log file successfully erased!')
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disp('MH: Creation of a new metropolis.log file.')
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end
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fidlog = fopen([MhDirectoryName '/metropolis.log'],'w');
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fprintf(fidlog,'%% MH log file (Dynare).\n');
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fprintf(fidlog,['%% ' datestr(now,0) '.\n']);
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fprintf(fidlog,' \n\n');
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fprintf(fidlog,'%% Session 1.\n');
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fprintf(fidlog,' \n');
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fprintf(fidlog,[' Number of blocks...............: ' int2str(nblck) '\n']);
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fprintf(fidlog,[' Number of simulations per block: ' int2str(nruns(1)) '\n']);
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fprintf(fidlog,' \n');
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%% Initial values...
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if nblck > 1% Case 1: multiple chains
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fprintf(fidlog,[' Initial values of the parameters:\n']);
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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 = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar);
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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) = - feval(TargetFun,ix2(j,:)',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
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if ~isfinite(ilogpo2(j)) % if returned log-density is
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% Inf or Nan (penalized value)
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validate = 0;
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else
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fprintf(fidlog,[' Blck ' int2str(j) ':\n']);
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for i=1:length(ix2(1,:))
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fprintf(fidlog,[' params:' int2str(i) ': ' num2str(ix2(j,i)) '\n']);
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end
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fprintf(fidlog,[' logpo2: ' num2str(ilogpo2(j)) '\n']);
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j = j+1;
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validate = 1;
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end
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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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fprintf(fidlog,' \n');
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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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fprintf(fidlog,[' Initial values of the parameters:\n']);
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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 = - feval(TargetFun,ix2',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
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disp('MH: Initialization at the posterior mode.')
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disp(' ')
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fprintf(fidlog,[' Blck ' int2str(1) 'params:\n']);
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for i=1:length(ix2(1,:))
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fprintf(fidlog,[' ' int2str(i) ':' num2str(ix2(1,i)) '\n']);
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end
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fprintf(fidlog,[' Blck ' int2str(1) 'logpo2:' num2str(ilogpo2) '\n']);
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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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fprintf(fidlog,' \n');
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end
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fprintf(fidlog,' \n');
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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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%%
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%% Creation of the mh-history file:
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%%
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file = dir([MhDirectoryName '/' ModelName '_mh_history.mat']);
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if length(file)
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delete([ MhDirectoryName '/' ModelName '_mh_history.mat']);
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disp('MH: Old mh_history file successfully erased!')
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end
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AnticipatedNumberOfFiles = ceil(nruns(1)/MAX_nruns);
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AnticipatedNumberOfLinesInTheLastFile = nruns(1) - (AnticipatedNumberOfFiles-1)*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;
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record.MhDraws(1,3) = AnticipatedNumberOfLinesInTheLastFile;
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record.AcceptationRates = zeros(1,nblck);
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% separate initializaton for each chain
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JSUM = 0;
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for j=1:nblck,
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% we set a different seed for the random generator for each block
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% then we record the corresponding random generator state (vector)
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set_dynare_seed(options_.DynareRandomStreams.seed+j);
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% record.Seeds keeps a vector of the random generator state and
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% not the scalar seed despite its name
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[record.Seeds(j).Unifor,record.Seeds(j).Normal] = get_dynare_random_generator_state();
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end
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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.LastLogPost = zeros(nblck,1);
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record.LastFileNumber = AnticipatedNumberOfFiles ;
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record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
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save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
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fprintf(fidlog,[' CREATION OF THE MH HISTORY FILE!\n\n']);
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fprintf(fidlog,[' Expected number of files per block.......: ' int2str(AnticipatedNumberOfFiles) '.\n']);
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fprintf(fidlog,[' Expected number of lines in the last file: ' ...
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int2str(AnticipatedNumberOfLinesInTheLastFile) '.\n']);
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fprintf(fidlog,['\n']);
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for j = 1:nblck,
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fprintf(fidlog,[' Initial seed (randn) for chain number ',int2str(j),':\n']);
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for i=1:length(record.Seeds(j).Normal)
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fprintf(fidlog,[' ' num2str(record.Seeds(j).Normal(i)') '\n']);
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end
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fprintf(fidlog,[' Initial seed (rand) for chain number ',int2str(j),':\n']);
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for i=1:length(record.Seeds(j).Unifor)
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fprintf(fidlog,[' ' num2str(record.Seeds(j).Unifor(i)') '\n']);
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end
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end,
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fprintf(fidlog,' \n');
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fclose(fidlog);
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elseif options_.load_mh_file && ~options_.mh_recover
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%% 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 = dir([ MhDirectoryName '/' ModelName '_mh_history.mat' ]);
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files = dir([ MhDirectoryName filesep ModelName '_mh*.mat']);
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if ~length(files)
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error('MH:: FAILURE! there is no MH file to load here!')
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end
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if ~length(file)
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error('MH:: FAILURE! there is no MH-history file!')
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else
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load([ MhDirectoryName '/' ModelName '_mh_history.mat'])
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end
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fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
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fprintf(fidlog,'\n');
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fprintf(fidlog,['%% Session ' int2str(length(record.MhDraws(:,1))+1) '.\n']);
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fprintf(fidlog,' \n');
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fprintf(fidlog,[' Number of blocks...............: ' int2str(nblck) '\n']);
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fprintf(fidlog,[' Number of simulations per block: ' int2str(nruns(1)) '\n']);
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fprintf(fidlog,' \n');
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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 ' ...
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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 read 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.LastLogPost;
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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 = ceil(NumberOfDrawsToBeSaved/MAX_nruns);
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AnticipatedNumberOfLinesInTheLastFile = NumberOfDrawsToBeSaved - (AnticipatedNumberOfFiles-1)*MAX_nruns;
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record.LastFileNumber = LastFileNumber + AnticipatedNumberOfFiles;
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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;
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record.MhDraws(end,3) = AnticipatedNumberOfLinesInTheLastFile;
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save([MhDirectoryName '/' ModelName '_mh_history.mat'],'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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fclose(fidlog);
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elseif options_.mh_recover
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%% The previous metropolis-hastings 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 = dir([MhDirectoryName '/' ModelName '_mh_history.mat']);
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if ~length(file)
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error('MH:: FAILURE! there is no MH-history file!')
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else
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load([ MhDirectoryName '/' ModelName '_mh_history.mat'])
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end
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nblck = record.Nblck;% Number of "parallel" mcmc chains.
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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.LastLogPost;
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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, a nblck*1 vector of integers, and fline (first line), a nblck*1 vector of integers.
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if OldMh
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LastLineNumberInThePreviousMh = record.MhDraws(end-1,3);% Number of lines in the last mh files of the previous session.
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LastFileNumberInThePreviousMh = sum(record.MhDraws(1:end-1,2),1);% Number of mh files in the the previous sessions.
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if LastLineNumberInThePreviousMh < MAX_nruns% Test if the last mh files of the previous session are not complete (yes)
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NewFile = ones(nblck,1)*LastFileNumberInThePreviousMh;
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fline = ones(nblck,1)*(LastLineNumberInThePreviousMh+1);
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else% The last mh files of the previous session are complete.
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NewFile = ones(nblck,1)*(LastFileNumberInThePreviousMh+1);
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fline = ones(nblck,1);
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end
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else
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LastLineNumberInThePreviousMh = 0;
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LastFileNumberInThePreviousMh = 0;
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NewFile = ones(nblck,1);
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fline = ones(nblck,1);
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end
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%% Set fblck (First block), an integer targeting the crashed mcmc chain.
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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 = dir([MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
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TotalNumberOfMhFiles = length(AllMhFiles);
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%% And I quit if I can't find a crashed mcmc chain.
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if (TotalNumberOfMhFiles==ExpectedNumberOfMhFiles)
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disp('MH: It appears that you don''t need to use the mh_recover option!')
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disp(' You have to edit the mod file and remove the mh_recover')
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disp(' in the estimation command')
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error
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end
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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 b = 1:nblck
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BlckMhFiles = dir([ MhDirectoryName '/' ModelName '_mh*_blck' int2str(b) '.mat']);
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NumberOfMhFilesPerBlock(b) = length(BlckMhFiles);
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end
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%% Is there a chain with less mh files than expected ?
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while fblck <= nblck
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if NumberOfMhFilesPerBlock(fblck) < ExpectedNumberOfMhFilesPerBlock
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disp(['MH: Chain ' int2str(fblck) ' is not complete!'])
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break
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% The mh_recover session will start from chain fblck.
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else
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disp(['MH: Chain ' int2str(fblck) ' is complete!'])
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end
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fblck = fblck+1;
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end
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%% How many mh-files are saved in this block?
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NumberOfSavedMhFilesInTheCrashedBlck = NumberOfMhFilesPerBlock(fblck);
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%% Correct the number of saved mh files if the crashed metropolis was not the first session (so
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%% that NumberOfSavedMhFilesInTheCrashedBlck is the number of saved mh files in the crashed chain
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%% of the current session).
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if OldMh
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NumberOfSavedMhFilesInTheCrashedBlck = NumberOfSavedMhFilesInTheCrashedBlck - LastFileNumberInThePreviousMh;
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end
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NumberOfSavedMhFiles = NumberOfSavedMhFilesInTheCrashedBlck+LastFileNumberInThePreviousMh;
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%% Correct initial conditions.
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if NumberOfSavedMhFiles
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load([MhDirectoryName '/' ModelName '_mh' int2str(NumberOfSavedMhFiles) '_blck' int2str(fblck) '.mat']);
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ilogpo2(fblck) = logpo2(end);
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ix2(fblck,:) = x2(end,:);
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end
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end |