810 lines
36 KiB
C++
810 lines
36 KiB
C++
/*
|
|
* Copyright (C) 2010-2017 Dynare Team
|
|
*
|
|
* This file is part of Dynare.
|
|
*
|
|
* Dynare is free software: you can redistribute it and/or modify
|
|
* it under the terms of the GNU General Public License as published by
|
|
* the Free Software Foundation, either version 3 of the License, or
|
|
* (at your option) any later version.
|
|
*
|
|
* Dynare is distributed in the hope that it will be useful,
|
|
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
* GNU General Public License for more details.
|
|
*
|
|
* You should have received a copy of the GNU General Public License
|
|
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
*/
|
|
|
|
#include <string>
|
|
#include <vector>
|
|
#include <algorithm>
|
|
#include <functional>
|
|
|
|
#include "Vector.hh"
|
|
#include "Matrix.hh"
|
|
#include "LogPosteriorDensity.hh"
|
|
#include "RandomWalkMetropolisHastings.hh"
|
|
|
|
#include <dynmex.h>
|
|
#if defined MATLAB_MEX_FILE
|
|
# include "mat.h"
|
|
#else // OCTAVE_MEX_FILE e.t.c.
|
|
# include "matio.h"
|
|
#endif
|
|
|
|
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(WINDOWS)
|
|
# define DIRECTORY_SEPARATOR "\\"
|
|
#else
|
|
# define DIRECTORY_SEPARATOR "/"
|
|
#endif
|
|
|
|
class LogMHMCMCposteriorMexErrMsgTxtException
|
|
{
|
|
public:
|
|
std::string errMsg;
|
|
LogMHMCMCposteriorMexErrMsgTxtException(const std::string &msg) : errMsg(msg)
|
|
{
|
|
}
|
|
inline const char *
|
|
getErrMsg()
|
|
{
|
|
return errMsg.c_str();
|
|
}
|
|
};
|
|
|
|
void
|
|
fillEstParamsInfo(const mxArray *estim_params_info, EstimatedParameter::pType type,
|
|
std::vector<EstimatedParameter> &estParamsInfo)
|
|
{
|
|
const mxArray *bayestopt_ = mexGetVariablePtr("global", "bayestopt_");
|
|
const mxArray *bayestopt_ubp = mxGetField(bayestopt_, 0, "ub"); // upper bound
|
|
const mxArray *bayestopt_lbp = mxGetField(bayestopt_, 0, "lb"); // lower bound
|
|
const mxArray *bayestopt_p1p = mxGetField(bayestopt_, 0, "p1"); // prior mean
|
|
const mxArray *bayestopt_p2p = mxGetField(bayestopt_, 0, "p2"); // prior standard deviation
|
|
const mxArray *bayestopt_p3p = mxGetField(bayestopt_, 0, "p3"); // lower bound
|
|
const mxArray *bayestopt_p4p = mxGetField(bayestopt_, 0, "p4"); // upper bound
|
|
const mxArray *bayestopt_p6p = mxGetField(bayestopt_, 0, "p6"); // first hyper-parameter (\alpha for the BETA and GAMMA distributions, s for the INVERSE GAMMAs, expectation for the GAUSSIAN distribution, lower bound for the UNIFORM distribution).
|
|
const mxArray *bayestopt_p7p = mxGetField(bayestopt_, 0, "p7"); // second hyper-parameter (\beta for the BETA and GAMMA distributions, \nu for the INVERSE GAMMAs, standard deviation for the GAUSSIAN distribution, upper bound for the UNIFORM distribution).
|
|
const mxArray *bayestopt_jscalep = mxGetField(bayestopt_, 0, "jscale"); // MCMC jump scale
|
|
|
|
const size_t bayestopt_size = mxGetM(bayestopt_);
|
|
const VectorConstView bayestopt_ub(mxGetPr(bayestopt_ubp), bayestopt_size, 1);
|
|
const VectorConstView bayestopt_lb(mxGetPr(bayestopt_lbp), bayestopt_size, 1);
|
|
const VectorConstView bayestopt_p1(mxGetPr(bayestopt_p1p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p1");
|
|
const VectorConstView bayestopt_p2(mxGetPr(bayestopt_p2p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p2");
|
|
const VectorConstView bayestopt_p3(mxGetPr(bayestopt_p3p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p3");
|
|
const VectorConstView bayestopt_p4(mxGetPr(bayestopt_p4p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p4");
|
|
const VectorConstView bayestopt_p6(mxGetPr(bayestopt_p6p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p6");
|
|
const VectorConstView bayestopt_p7(mxGetPr(bayestopt_p7p), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "p7");
|
|
const VectorConstView bayestopt_jscale(mxGetPr(bayestopt_jscalep), bayestopt_size, 1); //=mxGetField(bayestopt_, 0, "jscale");
|
|
|
|
// loop processsing
|
|
size_t m = mxGetM(estim_params_info), n = mxGetN(estim_params_info);
|
|
MatrixConstView epi(mxGetPr(estim_params_info), m, n, m);
|
|
size_t bayestopt_count = estParamsInfo.size();
|
|
|
|
for (size_t i = 0; i < m; i++)
|
|
{
|
|
size_t col = 0;
|
|
size_t id1 = (size_t) epi(i, col++) - 1;
|
|
size_t id2 = 0;
|
|
if (type == EstimatedParameter::shock_Corr
|
|
|| type == EstimatedParameter::measureErr_Corr)
|
|
id2 = (size_t) epi(i, col++) - 1;
|
|
col++; // Skip init_val #2 or #3
|
|
double par_low_bound = bayestopt_lb(bayestopt_count); col++; //#3 epi(i, col++);
|
|
double par_up_bound = bayestopt_ub(bayestopt_count); col++; //#4 epi(i, col++);
|
|
Prior::pShape shape = (Prior::pShape) epi(i, col++);
|
|
double mean = epi(i, col++);
|
|
double std = epi(i, col++);
|
|
double low_bound = bayestopt_p3(bayestopt_count);
|
|
double up_bound = bayestopt_p4(bayestopt_count);
|
|
double fhp = bayestopt_p6(bayestopt_count); // double p3 = epi(i, col++);
|
|
double shp = bayestopt_p7(bayestopt_count); // double p4 = epi(i, col++);
|
|
|
|
Prior *p = Prior::constructPrior(shape, mean, std, low_bound, up_bound, fhp, shp); //1.0,INFINITY);//p3, p4);
|
|
|
|
// Only one subsample
|
|
std::vector<size_t> subSampleIDs;
|
|
subSampleIDs.push_back(0);
|
|
estParamsInfo.push_back(EstimatedParameter(type, id1, id2, subSampleIDs,
|
|
par_low_bound, par_up_bound, p));
|
|
bayestopt_count++;
|
|
}
|
|
}
|
|
|
|
int
|
|
sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
|
|
VectorView &steadyState, VectorConstView &estParams, VectorView &deepParams, const MatrixConstView &data,
|
|
MatrixView &Q, Matrix &H, size_t presampleStart, const VectorConstView &nruns,
|
|
size_t fblock, size_t nBlocks, Proposal pdd, EstimatedParametersDescription &epd,
|
|
const std::string &resultsFileStem, size_t console_mode, size_t load_mh_file)
|
|
{
|
|
enum {iMin, iMax};
|
|
int iret = 0; // return value
|
|
std::vector<size_t> OpenOldFile(nBlocks, 0);
|
|
size_t jloop = 0, irun, j; // counters
|
|
double dsum, dmax, dmin, sux = 0, jsux = 0;
|
|
std::string mhFName;
|
|
std::stringstream ssFName;
|
|
#if defined MATLAB_MEX_FILE
|
|
MATFile *drawmat; // MCMC draws output file pointer
|
|
int matfStatus;
|
|
#else // OCTAVE_MEX_FILE e.t.c.
|
|
# if MATIO_MAJOR_VERSION > 1 || (MATIO_MAJOR_VERSION == 1 && MATIO_MINOR_VERSION >= 5)
|
|
size_t dims[2];
|
|
const matio_compression compression = MAT_COMPRESSION_NONE;
|
|
# else
|
|
int dims[2];
|
|
const int compression = COMPRESSION_NONE;
|
|
# endif
|
|
mat_t *drawmat;
|
|
matvar_t *matvar;
|
|
int matfStatus;
|
|
#endif
|
|
FILE *fidlog; // log file
|
|
size_t npar = estParams.getSize();
|
|
Matrix MinMax(npar, 2);
|
|
|
|
const mxArray *InitSizeArrayPtr = mexGetVariablePtr("caller", "InitSizeArray");
|
|
if (InitSizeArrayPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings myinputs field InitSizeArrayPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
const VectorConstView InitSizeArrayVw(mxGetPr(InitSizeArrayPtr), nBlocks, 1);
|
|
Vector InitSizeArray(InitSizeArrayVw.getSize());
|
|
InitSizeArray = InitSizeArrayVw;
|
|
//const mxArray *flinePtr = mxGetField(myinputs, 0, "fline");
|
|
const mxArray *flinePtr = mexGetVariable("caller", "fline");
|
|
if (flinePtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings myinputs field fline Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
VectorView fline(mxGetPr(flinePtr), nBlocks, 1);
|
|
|
|
mxArray *NewFileArrayPtr = mexGetVariable("caller", "NewFile");
|
|
if (NewFileArrayPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings myinputs fields NewFileArrayPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
VectorView NewFileVw(mxGetPr(NewFileArrayPtr), nBlocks, 1);
|
|
//Vector NewFile(NewFileVw.getSize());
|
|
//NewFile = NewFileVw;
|
|
|
|
const mxArray *MAX_nrunsPtr = mexGetVariablePtr("caller", "MAX_nruns");
|
|
const size_t MAX_nruns = (size_t) mxGetScalar(MAX_nrunsPtr);
|
|
|
|
const mxArray *blockStartParamsPtr = mexGetVariable("caller", "ix2");
|
|
MatrixView blockStartParamsMxVw(mxGetPr(blockStartParamsPtr), nBlocks, npar, nBlocks);
|
|
Vector startParams(npar);
|
|
|
|
const mxArray *mxFirstLogLikPtr = mexGetVariable("caller", "ilogpo2");
|
|
VectorView FirstLogLiK(mxGetPr(mxFirstLogLikPtr), nBlocks, 1);
|
|
|
|
const mxArray *record = mexGetVariable("caller", "record");
|
|
//const mxArray *record = mxGetField(myinputs, 0, "record");
|
|
if (record == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings record Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
mxArray *AcceptationRatesPtr = mxGetField(record, 0, "AcceptationRates");
|
|
if (AcceptationRatesPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings record AcceptationRatesPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
VectorView AcceptationRates(mxGetPr(AcceptationRatesPtr), nBlocks, 1);
|
|
|
|
mxArray *mxLastParametersPtr = mxGetField(record, 0, "LastParameters");
|
|
MatrixView LastParameters(mxGetPr(mxLastParametersPtr), nBlocks, npar, nBlocks);
|
|
LastParameters = blockStartParamsMxVw;
|
|
|
|
mxArray *mxLastLogLikPtr = mxGetField(record, 0, "LastLogLiK");
|
|
VectorView LastLogLiK(mxGetPr(mxLastLogLikPtr), nBlocks, 1);
|
|
|
|
mxArray *mxMhLogPostDensPtr = 0;
|
|
mxArray *mxMhParamDrawsPtr = 0;
|
|
size_t currInitSizeArray = 0;
|
|
|
|
#if defined MATLAB_MEX_FILE
|
|
// Waitbar
|
|
mxArray *waitBarRhs[3], *waitBarLhs[1];
|
|
waitBarRhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
|
|
std::string barTitle;
|
|
std::stringstream ssbarTitle;
|
|
if (console_mode == 0)
|
|
{
|
|
ssbarTitle.clear();
|
|
ssbarTitle.str("");
|
|
ssbarTitle << "Please wait... Metropolis-Hastings " << fblock << "/" << nBlocks << " ...";
|
|
barTitle = ssbarTitle.str();
|
|
waitBarRhs[1] = mxCreateString(barTitle.c_str());
|
|
*mxGetPr(waitBarRhs[0]) = (double) 0.0;
|
|
mexCallMATLAB(1, waitBarLhs, 2, waitBarRhs, "waitbar");
|
|
if (waitBarRhs[1])
|
|
mxDestroyArray(waitBarRhs[1]);
|
|
waitBarRhs[1] = waitBarLhs[0];
|
|
}
|
|
#endif
|
|
|
|
for (size_t b = fblock; b <= nBlocks; ++b)
|
|
{
|
|
jloop = jloop+1;
|
|
|
|
#if defined MATLAB_MEX_FILE
|
|
if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
|
|
{
|
|
// load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
|
|
ssFName.clear();
|
|
ssFName.str("");
|
|
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
|
|
mhFName = ssFName.str();
|
|
drawmat = matOpen(mhFName.c_str(), "r");
|
|
mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
|
|
if (drawmat == 0)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not open old draws Mat file for reading: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
else
|
|
{
|
|
currInitSizeArray = (size_t) InitSizeArray(b-1);
|
|
mxMhParamDrawsPtr = matGetVariable(drawmat, "x2");
|
|
mxMhLogPostDensPtr = matGetVariable(drawmat, "logpo2");
|
|
matClose(drawmat);
|
|
OpenOldFile[b] = 1;
|
|
}
|
|
} // end if
|
|
if (console_mode == 0)
|
|
{
|
|
ssbarTitle.clear();
|
|
ssbarTitle.str("");
|
|
ssbarTitle << "Please wait... Metropolis-Hastings " << b << "/" << nBlocks << " ...";
|
|
barTitle = ssbarTitle.str();
|
|
waitBarRhs[2] = mxCreateString(barTitle.c_str());
|
|
//strcpy( *mxGetPr(waitBarRhs[1]), mhFName.c_str());
|
|
*mxGetPr(waitBarRhs[0]) = (double) 0.0;
|
|
mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
|
|
mxDestroyArray(waitBarRhs[2]);
|
|
}
|
|
#else //if defined OCTAVE_MEX_FILE
|
|
if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
|
|
{
|
|
// load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
|
|
if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
|
|
{
|
|
// new or different size result arrays/matrices
|
|
currInitSizeArray = (size_t) InitSizeArray(b-1);
|
|
if (mxMhLogPostDensPtr)
|
|
mxDestroyArray(mxMhLogPostDensPtr); // log post density array
|
|
mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
|
|
if (mxMhLogPostDensPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
if (mxMhParamDrawsPtr)
|
|
mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
|
|
mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
|
|
if (mxMhParamDrawsPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
}
|
|
|
|
ssFName.clear();
|
|
ssFName.str("");
|
|
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
|
|
mhFName = ssFName.str();
|
|
drawmat = Mat_Open(mhFName.c_str(), MAT_ACC_RDONLY);
|
|
if (drawmat == NULL)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not open old draws Mat file for reading: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
else
|
|
{
|
|
int start[2] = {0, 0}, edge[2], stride[2] = {1, 1}, err = 0;
|
|
mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
|
|
// matvar = Mat_VarReadInfo(drawmat, "x2");
|
|
matvar = Mat_VarReadInfo(drawmat, (char *) "x2");
|
|
if (matvar == NULL)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not read old draws Mat file for reading: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
else
|
|
{
|
|
// GetVariable(drawmat, "x2");
|
|
edge[0] = matvar->dims[0];
|
|
edge[1] = matvar->dims[1];
|
|
err = Mat_VarReadData(drawmat, matvar, mxGetPr(mxMhParamDrawsPtr), start, stride, edge);
|
|
if (err)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not retreive old draws from Mat file: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
Mat_VarFree(matvar);
|
|
}
|
|
//mxMhLogPostDensPtr = Mat_GetVariable(drawmat, "logpo2");
|
|
matvar = Mat_VarReadInfo(drawmat, (char *) "logpo2");
|
|
if (matvar == NULL)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not read old logPos Mat file for reading: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
else
|
|
{
|
|
// GetVariable(drawmat, "x2");
|
|
edge[0] = matvar->dims[0];
|
|
edge[1] = matvar->dims[1];
|
|
err = Mat_VarReadData(drawmat, matvar, mxGetPr(mxMhLogPostDensPtr), start, stride, edge);
|
|
if (err)
|
|
{
|
|
fline(b) = 1;
|
|
mexPrintf("Error in MH: Can not retreive old logPos from Mat file: %s \n \
|
|
Starting a new file instead! \n", mhFName.c_str());
|
|
}
|
|
Mat_VarFree(matvar);
|
|
}
|
|
Mat_Close(drawmat);
|
|
OpenOldFile[b] = 1;
|
|
}
|
|
} // end if
|
|
|
|
#endif
|
|
|
|
VectorView LastParametersRow = mat::get_row(LastParameters, b-1);
|
|
|
|
sux = 0.0;
|
|
jsux = 0;
|
|
irun = (size_t) fline(b-1);
|
|
j = 0; //1;
|
|
while (j < nruns(b-1))
|
|
{
|
|
if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
|
|
{
|
|
// new or different size result arrays/matrices
|
|
currInitSizeArray = (size_t) InitSizeArray(b-1);
|
|
if (mxMhLogPostDensPtr)
|
|
mxDestroyArray(mxMhLogPostDensPtr); // log post density array
|
|
mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
|
|
if (mxMhLogPostDensPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
if (mxMhParamDrawsPtr)
|
|
mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
|
|
mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
|
|
if (mxMhParamDrawsPtr == NULL)
|
|
{
|
|
mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
|
|
return (-1);
|
|
}
|
|
}
|
|
startParams = LastParametersRow;
|
|
VectorView mhLogPostDens(mxGetPr(mxMhLogPostDensPtr), currInitSizeArray, (size_t) 1);
|
|
MatrixView mhParamDraws(mxGetPr(mxMhParamDrawsPtr), currInitSizeArray, npar, currInitSizeArray);
|
|
try
|
|
{
|
|
jsux = rwmh.compute(mhLogPostDens, mhParamDraws, steadyState, startParams, deepParams, data, Q, H,
|
|
presampleStart, irun, currInitSizeArray, lpd, pdd, epd);
|
|
irun = currInitSizeArray;
|
|
sux += jsux*currInitSizeArray;
|
|
j += currInitSizeArray; //j=j+1;
|
|
}
|
|
catch (const TSException &tse)
|
|
{
|
|
iret = -100;
|
|
mexPrintf(" TSException Exception in RandomWalkMH dynamic_dll: %s \n", (tse.getMessage()).c_str());
|
|
goto cleanup;
|
|
}
|
|
catch (const DecisionRules::BlanchardKahnException &bke)
|
|
{
|
|
iret = -90;
|
|
mexPrintf(" Too many Blanchard-Kahn Exceptions in RandomWalkMH : n_fwrd_vars %d n_explosive_eigenvals %d \n", bke.n_fwrd_vars, bke.n_explosive_eigenvals);
|
|
goto cleanup;
|
|
}
|
|
catch (const GeneralizedSchurDecomposition::GSDException &gsde)
|
|
{
|
|
iret = -80;
|
|
mexPrintf(" GeneralizedSchurDecomposition Exception in RandomWalkMH: info %d, n %d \n", gsde.info, gsde.n);
|
|
goto cleanup;
|
|
}
|
|
catch (const LUSolver::LUException &lue)
|
|
{
|
|
iret = -70;
|
|
mexPrintf(" LU Exception in RandomWalkMH : info %d \n", lue.info);
|
|
goto cleanup;
|
|
}
|
|
catch (const VDVEigDecomposition::VDVEigException &vdve)
|
|
{
|
|
iret = -60;
|
|
mexPrintf(" VDV Eig Exception in RandomWalkMH : %s , info: %d\n", vdve.message.c_str(), vdve.info);
|
|
goto cleanup;
|
|
}
|
|
catch (const DiscLyapFast::DLPException &dlpe)
|
|
{
|
|
iret = -50;
|
|
mexPrintf(" Lyapunov solver Exception in RandomWalkMH : %s , info: %d\n", dlpe.message.c_str(), dlpe.info);
|
|
goto cleanup;
|
|
}
|
|
catch (const std::runtime_error &re)
|
|
{
|
|
iret = -3;
|
|
mexPrintf(" Runtime Error Exception in RandomWalkMH: %s \n", re.what());
|
|
goto cleanup;
|
|
}
|
|
catch (const std::exception &e)
|
|
{
|
|
iret = -2;
|
|
mexPrintf(" Standard System Exception in RandomWalkMH: %s \n", e.what());
|
|
goto cleanup;
|
|
}
|
|
catch (...)
|
|
{
|
|
iret = -1000;
|
|
mexPrintf(" Unknown unhandled Exception in RandomWalkMH! %s \n");
|
|
goto cleanup;
|
|
}
|
|
|
|
#if defined MATLAB_MEX_FILE
|
|
if (console_mode)
|
|
mexPrintf(" MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
|
|
else
|
|
{
|
|
// Waitbar
|
|
ssbarTitle.clear();
|
|
ssbarTitle.str("");
|
|
ssbarTitle << "Metropolis-Hastings : " << b << "/" << nBlocks << " Acceptance: " << 100 * sux/j << "%";
|
|
barTitle = ssbarTitle.str();
|
|
waitBarRhs[2] = mxCreateString(barTitle.c_str());
|
|
*mxGetPr(waitBarRhs[0]) = j / nruns(b-1);
|
|
mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
|
|
mxDestroyArray(waitBarRhs[2]);
|
|
|
|
}
|
|
|
|
// % Now I save the simulations
|
|
// save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
|
|
ssFName.clear();
|
|
ssFName.str("");
|
|
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
|
|
mhFName = ssFName.str();
|
|
drawmat = matOpen(mhFName.c_str(), "w");
|
|
if (drawmat == 0)
|
|
{
|
|
mexPrintf("Error in MH: Can not open draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
matfStatus = matPutVariable(drawmat, "x2", mxMhParamDrawsPtr);
|
|
if (matfStatus)
|
|
{
|
|
mexPrintf("Error in MH: Can not use draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
matfStatus = matPutVariable(drawmat, "logpo2", mxMhLogPostDensPtr);
|
|
if (matfStatus)
|
|
{
|
|
mexPrintf("Error in MH: Can not usee draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
matClose(drawmat);
|
|
#else
|
|
|
|
printf(" MH: Computing Metropolis-Hastings (chain %ld/%ld): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
|
|
// % Now I save the simulations
|
|
// save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
|
|
ssFName.clear();
|
|
ssFName.str("");
|
|
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
|
|
mhFName = ssFName.str();
|
|
|
|
drawmat = Mat_Create(mhFName.c_str(), NULL);
|
|
if (drawmat == 0)
|
|
{
|
|
mexPrintf("Error in MH: Can not open draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
dims[0] = currInitSizeArray;
|
|
dims[1] = npar;
|
|
matvar = Mat_VarCreate("x2", MAT_C_DOUBLE, MAT_T_DOUBLE, 2, dims, mxGetPr(mxMhParamDrawsPtr), 0);
|
|
matfStatus = Mat_VarWrite(drawmat, matvar, compression);
|
|
Mat_VarFree(matvar);
|
|
if (matfStatus)
|
|
{
|
|
mexPrintf("Error in MH: Can not use draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
//matfStatus = matPutVariable(drawmat, "logpo2", mxMhLogPostDensPtr);
|
|
dims[1] = 1;
|
|
matvar = Mat_VarCreate("logpo2", MAT_C_DOUBLE, MAT_T_DOUBLE, 2, dims, mxGetPr(mxMhLogPostDensPtr), 0);
|
|
matfStatus = Mat_VarWrite(drawmat, matvar, compression);
|
|
Mat_VarFree(matvar);
|
|
if (matfStatus)
|
|
{
|
|
mexPrintf("Error in MH: Can not usee draws Mat file for writing: %s \n", mhFName.c_str());
|
|
exit(1);
|
|
}
|
|
Mat_Close(drawmat);
|
|
#endif
|
|
|
|
// save log to fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
|
|
ssFName.str("");
|
|
ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << "metropolis.log";
|
|
mhFName = ssFName.str();
|
|
fidlog = fopen(mhFName.c_str(), "a");
|
|
fprintf(fidlog, "\n");
|
|
fprintf(fidlog, "%% Mh%dBlck%lu ( %s %s )\n", (int) NewFileVw(b-1), b, __DATE__, __TIME__);
|
|
fprintf(fidlog, " \n");
|
|
fprintf(fidlog, " Number of simulations.: %lu \n", currInitSizeArray); // (length(logpo2)) ');
|
|
fprintf(fidlog, " Acceptation rate......: %f \n", jsux);
|
|
fprintf(fidlog, " Posterior mean........:\n");
|
|
for (size_t i = 0; i < npar; ++i)
|
|
{
|
|
VectorView mhpdColVw = mat::get_col(mhParamDraws, i);
|
|
fprintf(fidlog, " params: %lu : %f \n", i+1, vec::meanSumMinMax(dsum, dmin, dmax, mhpdColVw));
|
|
MinMax(i, iMin) = dmin;
|
|
MinMax(i, iMax) = dmax;
|
|
} // end
|
|
fprintf(fidlog, " log2po: %f \n", vec::meanSumMinMax(dsum, dmin, dmax, mhLogPostDens));
|
|
fprintf(fidlog, " Minimum value.........:\n");;
|
|
for (size_t i = 0; i < npar; ++i)
|
|
fprintf(fidlog, " params: %lu : %f \n", i+1, MinMax(i, iMin));
|
|
fprintf(fidlog, " log2po: %f \n", dmin);
|
|
fprintf(fidlog, " Maximum value.........:\n");
|
|
for (size_t i = 0; i < npar; ++i)
|
|
fprintf(fidlog, " params: %lu : %f \n", i+1, MinMax(i, iMax));
|
|
fprintf(fidlog, " log2po: %f \n", dmax);
|
|
fprintf(fidlog, " \n");
|
|
fclose(fidlog);
|
|
|
|
jsux = 0;
|
|
LastParametersRow = mat::get_row(mhParamDraws, currInitSizeArray-1); //x2(end,:);
|
|
LastLogLiK(b-1) = mhLogPostDens(currInitSizeArray-1); //logpo2(end);
|
|
InitSizeArray(b-1) = std::min((size_t) nruns(b-1)-j, MAX_nruns);
|
|
// initialization of next file if necessary
|
|
if (InitSizeArray(b-1))
|
|
{
|
|
NewFileVw(b-1)++; // = NewFile(b-1) + 1;
|
|
irun = 1;
|
|
} // end
|
|
//irun++;
|
|
} // end while % End of the simulations for one mh-block.
|
|
//record.
|
|
AcceptationRates(b-1) = sux/j;
|
|
OpenOldFile[b] = 0;
|
|
} // end % End of the loop over the mh-blocks.
|
|
|
|
if (mexPutVariable("caller", "record_AcceptationRates", AcceptationRatesPtr))
|
|
mexPrintf("MH Warning: due to error record_AcceptationRates is NOT set !! \n");
|
|
|
|
if (mexPutVariable("caller", "record_LastParameters", mxLastParametersPtr))
|
|
mexPrintf("MH Warning: due to error record_MhParamDraw is NOT set !! \n");
|
|
|
|
if (mexPutVariable("caller", "record_LastLogLiK", mxLastLogLikPtr))
|
|
mexPrintf("MH Warning: due to error record_LastLogLiK is NOT set !! \n");
|
|
|
|
//NewFileVw = NewFile;
|
|
if (mexPutVariable("caller", "NewFile", NewFileArrayPtr))
|
|
mexPrintf("MH Warning: due to error NewFile is NOT set !! \n");
|
|
|
|
// Cleanup
|
|
mexPrintf("MH Cleanup !! \n");
|
|
|
|
cleanup:
|
|
if (mxMhLogPostDensPtr)
|
|
mxDestroyArray(mxMhLogPostDensPtr); // delete log post density array
|
|
if (mxMhParamDrawsPtr)
|
|
mxDestroyArray(mxMhParamDrawsPtr); // delete accepted MCMC MH draws
|
|
|
|
#ifdef MATLAB_MEX_FILE
|
|
// Waitbar
|
|
if (console_mode == 0)
|
|
{
|
|
// Bellow call to close waitbar seems to cause crashes and it is for
|
|
// now left commented out and the waitbar neeeds to be closed manually
|
|
// alternativelly, call with options_.console_mode=1;
|
|
//mexCallMATLAB(0, NULL, 1, waitBarLhs, "close");
|
|
//mxDestroyArray(waitBarLhs[0]);
|
|
mxDestroyArray(waitBarRhs[1]);
|
|
mxDestroyArray(waitBarRhs[0]);
|
|
}
|
|
#endif
|
|
|
|
// return error code or last line run in the last MH block sub-array
|
|
if (iret == 0)
|
|
iret = (int) irun;
|
|
return iret;
|
|
|
|
}
|
|
|
|
int
|
|
logMCMCposterior(VectorConstView &estParams, const MatrixConstView &data,
|
|
const size_t fblock, const size_t nBlocks, const VectorConstView &nMHruns, const MatrixConstView &D,
|
|
VectorView &steadyState, VectorView &deepParams, MatrixView &Q, Matrix &H)
|
|
{
|
|
// Retrieve pointers to global variables
|
|
const mxArray *M_ = mexGetVariablePtr("global", "M_");
|
|
const mxArray *options_ = mexGetVariablePtr("global", "options_");
|
|
const mxArray *estim_params_ = mexGetVariablePtr("global", "estim_params_");
|
|
const mxArray *bayestopt_ = mexGetVariablePtr("global", "bayestopt_");
|
|
|
|
double loglinear = *mxGetPr(mxGetField(options_, 0, "loglinear"));
|
|
if (loglinear == 1)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Option loglinear is not supported");
|
|
|
|
if (*mxGetPr(mxGetField(options_, 0, "endogenous_prior")) == 1)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Option endogenous_prior is not supported");
|
|
|
|
double with_trend = *mxGetPr(mxGetField(bayestopt_, 0, "with_trend"));
|
|
if (with_trend == 1)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Observation trends are not supported");
|
|
|
|
// Construct arguments of constructor of LogLikelihoodMain
|
|
char *fName = mxArrayToString(mxGetField(M_, 0, "fname"));
|
|
std::string resultsFileStem(fName);
|
|
std::string basename(fName);
|
|
mxFree(fName);
|
|
|
|
size_t n_endo = (size_t) *mxGetPr(mxGetField(M_, 0, "endo_nbr"));
|
|
size_t n_exo = (size_t) *mxGetPr(mxGetField(M_, 0, "exo_nbr"));
|
|
|
|
size_t n_estParams = estParams.getSize();
|
|
|
|
std::vector<size_t> zeta_fwrd, zeta_back, zeta_mixed, zeta_static;
|
|
const mxArray *lli_mx = mxGetField(M_, 0, "lead_lag_incidence");
|
|
MatrixConstView lli(mxGetPr(lli_mx), mxGetM(lli_mx), mxGetN(lli_mx), mxGetM(lli_mx));
|
|
if (lli.getRows() != 3 || lli.getCols() != n_endo)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Error in logMCMCposterior: Incorrect lead/lag incidence matrix");
|
|
for (size_t i = 0; i < n_endo; i++)
|
|
{
|
|
if (lli(0, i) == 0 && lli(2, i) == 0)
|
|
zeta_static.push_back(i);
|
|
else if (lli(0, i) != 0 && lli(2, i) == 0)
|
|
zeta_back.push_back(i);
|
|
else if (lli(0, i) == 0 && lli(2, i) != 0)
|
|
zeta_fwrd.push_back(i);
|
|
else
|
|
zeta_mixed.push_back(i);
|
|
}
|
|
|
|
double qz_criterium = *mxGetPr(mxGetField(options_, 0, "qz_criterium"));
|
|
double lyapunov_tol = *mxGetPr(mxGetField(options_, 0, "lyapunov_complex_threshold"));
|
|
double riccati_tol = *mxGetPr(mxGetField(options_, 0, "riccati_tol"));
|
|
size_t presample = (size_t) *mxGetPr(mxGetField(options_, 0, "presample"));
|
|
size_t console_mode = (size_t) *mxGetPr(mxGetField(options_, 0, "console_mode"));
|
|
size_t load_mh_file = (size_t) *mxGetPr(mxGetField(options_, 0, "load_mh_file"));
|
|
|
|
std::vector<size_t> varobs;
|
|
const mxArray *varobs_mx = mxGetField(options_, 0, "varobs_id");
|
|
if (mxGetM(varobs_mx) != 1)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Error in logMCMCposterior: options_.varobs_id must be a row vector");
|
|
size_t n_varobs = mxGetN(varobs_mx);
|
|
std::transform(mxGetPr(varobs_mx), mxGetPr(varobs_mx) + n_varobs, back_inserter(varobs),
|
|
std::bind2nd(std::minus<size_t>(), 1));
|
|
|
|
if (data.getRows() != n_varobs)
|
|
throw LogMHMCMCposteriorMexErrMsgTxtException("Error in logMCMCposterior: Data does not have as many rows as there are observed variables");
|
|
|
|
std::vector<EstimationSubsample> estSubsamples;
|
|
estSubsamples.push_back(EstimationSubsample(0, data.getCols() - 1));
|
|
|
|
std::vector<EstimatedParameter> estParamsInfo;
|
|
fillEstParamsInfo(mxGetField(estim_params_, 0, "var_exo"), EstimatedParameter::shock_SD,
|
|
estParamsInfo);
|
|
fillEstParamsInfo(mxGetField(estim_params_, 0, "var_endo"), EstimatedParameter::measureErr_SD,
|
|
estParamsInfo);
|
|
fillEstParamsInfo(mxGetField(estim_params_, 0, "corrx"), EstimatedParameter::shock_Corr,
|
|
estParamsInfo);
|
|
fillEstParamsInfo(mxGetField(estim_params_, 0, "corrn"), EstimatedParameter::measureErr_Corr,
|
|
estParamsInfo);
|
|
fillEstParamsInfo(mxGetField(estim_params_, 0, "param_vals"), EstimatedParameter::deepPar,
|
|
estParamsInfo);
|
|
EstimatedParametersDescription epd(estSubsamples, estParamsInfo);
|
|
|
|
bool noconstant = (bool) *mxGetPr(mxGetField(options_, 0, "noconstant"));
|
|
|
|
// Allocate LogPosteriorDensity object
|
|
LogPosteriorDensity lpd(basename, epd, n_endo, n_exo, zeta_fwrd, zeta_back, zeta_mixed, zeta_static,
|
|
qz_criterium, varobs, riccati_tol, lyapunov_tol, noconstant);
|
|
|
|
// Construct MHMCMC Sampler
|
|
RandomWalkMetropolisHastings rwmh(estParams.getSize());
|
|
// Construct GaussianPrior drawDistribution m=0, sd=1
|
|
GaussianPrior drawGaussDist01(0.0, 1.0, -INFINITY, INFINITY, 0.0, 1.0);
|
|
// get Jscale = diag(bayestopt_.jscale);
|
|
const Matrix Jscale(n_estParams);
|
|
const VectorConstView vJscale(mxGetPr(mxGetField(bayestopt_, 0, "jscale")), n_estParams, 1);
|
|
Proposal pdd(vJscale, D);
|
|
|
|
//sample MHMCMC draws and get get last line run in the last MH block sub-array
|
|
int lastMHblockArrayLine = sampleMHMC(lpd, rwmh, steadyState, estParams, deepParams, data, Q, H, presample,
|
|
nMHruns, fblock, nBlocks, pdd, epd, resultsFileStem, console_mode, load_mh_file);
|
|
|
|
// Cleanups
|
|
for (std::vector<EstimatedParameter>::iterator it = estParamsInfo.begin();
|
|
it != estParamsInfo.end(); it++)
|
|
delete it->prior;
|
|
|
|
return lastMHblockArrayLine;
|
|
}
|
|
|
|
void
|
|
mexFunction(int nlhs, mxArray *plhs[],
|
|
int nrhs, const mxArray *prhs[])
|
|
{
|
|
if (nrhs != 10)
|
|
DYN_MEX_FUNC_ERR_MSG_TXT("logposterior: exactly 11 arguments are required.");
|
|
if (nlhs != 2)
|
|
DYN_MEX_FUNC_ERR_MSG_TXT("logposterior: exactly two return arguments are required.");
|
|
|
|
// Check and retrieve the arguments
|
|
|
|
if (!mxIsDouble(prhs[0]) || mxGetN(prhs[0]) != 1)
|
|
DYN_MEX_FUNC_ERR_MSG_TXT("logposterior: First argument must be a column vector of double-precision numbers");
|
|
|
|
VectorConstView estParams(mxGetPr(prhs[0]), mxGetM(prhs[0]), 1);
|
|
|
|
if (!mxIsDouble(prhs[1]))
|
|
DYN_MEX_FUNC_ERR_MSG_TXT("logposterior: Second argument must be a matrix of double-precision numbers");
|
|
|
|
size_t fblock = (size_t) mxGetScalar(prhs[2]);
|
|
size_t nBlocks = (size_t) mxGetScalar(prhs[3]);
|
|
VectorConstView nMHruns(mxGetPr(prhs[4]), mxGetM(prhs[4]), 1);
|
|
MatrixConstView D(mxGetPr(prhs[5]), mxGetM(prhs[5]), mxGetN(prhs[5]), mxGetM(prhs[5]));
|
|
const mxArray *dataset = prhs[6];
|
|
const mxArray *options_ = prhs[7];
|
|
const mxArray *M_ = prhs[8];
|
|
const mxArray *bayestopt_ = prhs[9];
|
|
const mxArray *oo_ = prhs[10];
|
|
|
|
assert(nMHruns.getSize() == nBlocks);
|
|
|
|
mxArray *dataset_data = mxGetField(dataset, 0, "data");
|
|
MatrixConstView data(mxGetPr(dataset_data), mxGetM(dataset_data), mxGetN(dataset_data), mxGetM(dataset_data));
|
|
|
|
int endo_nbr = *(int *) mxGetPr(mxGetField(M_, 0, "endo_nbr"));
|
|
int exo_nbr = *(int *) mxGetPr(mxGetField(M_, 0, "exo_nbr"));
|
|
int param_nbr = *(int *) mxGetPr(mxGetField(M_, 0, "param_nbr"));
|
|
int varobs_nbr = mxGetN(mxGetField(options_, 0, "varobs"));
|
|
|
|
VectorView steadyState(mxGetPr(mxGetField(oo_, 0, "steady_state")), endo_nbr, 1);
|
|
VectorView deepParams(mxGetPr(mxGetField(M_, 0, "params")), param_nbr, 1);
|
|
|
|
MatrixView Q(mxGetPr(mxGetField(M_, 0, "Sigma_e")), exo_nbr, exo_nbr, exo_nbr);
|
|
|
|
Matrix H(varobs_nbr, varobs_nbr);
|
|
const mxArray *H_mx = mxGetField(M_, 0, "H");
|
|
if (mxGetM(H_mx) == 1 && mxGetN(H_mx) == 1 && *mxGetPr(H_mx) == 0)
|
|
H.setAll(0.0);
|
|
else
|
|
H = MatrixConstView(mxGetPr(H_mx), varobs_nbr, varobs_nbr, varobs_nbr);
|
|
|
|
//calculate MHMCMC draws and get get last line run in the last MH block sub-array
|
|
try
|
|
{
|
|
int lastMHblockArrayLine = logMCMCposterior(estParams, data, fblock, nBlocks, nMHruns, D, steadyState, deepParams, Q, H);
|
|
plhs[1] = mxCreateDoubleMatrix(1, 1, mxREAL);
|
|
*mxGetPr(plhs[1]) = (double) lastMHblockArrayLine;
|
|
}
|
|
catch (LogMHMCMCposteriorMexErrMsgTxtException e)
|
|
{
|
|
DYN_MEX_FUNC_ERR_MSG_TXT(e.getErrMsg());
|
|
}
|
|
plhs[0] = mxCreateDoubleScalar(0);
|
|
}
|