117 lines
5.1 KiB
Matlab
117 lines
5.1 KiB
Matlab
function [posterior_sampler_options, options_] = check_posterior_sampler_options(posterior_sampler_options, options_)
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% function posterior_sampler_options = check_posterior_sampler_options(posterior_sampler_options, options_)
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% initialization of posterior samplers
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%
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% INPUTS
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% posterior_sampler_options: posterior sampler options
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% options_: structure storing the options
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% OUTPUTS
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% posterior_sampler_options: checked posterior sampler options
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2015 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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posterior_sampler_options.posterior_sampling_method = options_.posterior_sampling_method;
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posterior_sampler_options.proposal_distribution = options_.proposal_distribution;
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bounds = posterior_sampler_options.bounds;
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invhess = posterior_sampler_options.invhess;
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% here are all samplers requiring a proposal distribution
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if ~strcmp(posterior_sampler_options.posterior_sampling_method,'slice')
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if ~options_.cova_compute
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error('I Cannot start the MCMC because the Hessian of the posterior kernel at the mode was not computed.')
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end
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if options_.load_mh_file && options_.use_mh_covariance_matrix,
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invhess = compute_mh_covariance_matrix;
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posterior_sampler_options.invhess = invhess;
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end
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posterior_sampler_options.parallel_bar_refresh_rate=50;
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posterior_sampler_options.serial_bar_refresh_rate=3;
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posterior_sampler_options.parallel_bar_title='MH';
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posterior_sampler_options.serial_bar_title='Metropolis-Hastings';
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posterior_sampler_options.save_tmp_file=1;
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end
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% check specific options for slice sampler
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if strcmp(options_.posterior_sampling_method,'slice')
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posterior_sampler_options.parallel_bar_refresh_rate=1;
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posterior_sampler_options.serial_bar_refresh_rate=1;
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posterior_sampler_options.parallel_bar_title='SLICE';
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posterior_sampler_options.serial_bar_title='SLICE';
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posterior_sampler_options.save_tmp_file=1;
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posterior_sampler_options = set_default_option(posterior_sampler_options,'rotated',0);
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posterior_sampler_options = set_default_option(posterior_sampler_options,'slice_initialize_with_mode',0);
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posterior_sampler_options = set_default_option(posterior_sampler_options,'use_slice_covariance_matrix',0);
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posterior_sampler_options = set_default_option(posterior_sampler_options,'WR',[]);
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if ~isfield(posterior_sampler_options,'mode'),
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posterior_sampler_options.mode = [];
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else % multimodal case
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posterior_sampler_options.rotated = 1;
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end
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posterior_sampler_options = set_default_option(posterior_sampler_options,'mode_files',[]);
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posterior_sampler_options = set_default_option(posterior_sampler_options,'W1',0.8*(bounds.ub-bounds.lb));
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if options_.load_mh_file,
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posterior_sampler_options.slice_initialize_with_mode = 0;
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end
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if posterior_sampler_options.rotated,
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if isempty(posterior_sampler_options.mode_files) && ~isfield(posterior_sampler_options,'mode'), % rotated unimodal
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if ~options_.cova_compute && ~(options_.load_mh_file && options_.use_mh_covariance_matrix)
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skipline()
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disp('I cannot start rotated slice sampler because')
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disp('there is no previous MCMC to load ')
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disp('or the Hessian at the mode is not computed.')
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error('Rotated slice cannot start')
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end
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if isempty(invhess)
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error('oops! This error should not occur, please contact developers.')
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end
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if options_.load_mh_file && posterior_sampler_options.use_slice_covariance_matrix,
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invhess = compute_mh_covariance_matrix;
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posterior_sampler_options.invhess = invhess;
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end
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[V1 D]=eig(invhess);
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posterior_sampler_options.V1=V1;
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posterior_sampler_options.WR=sqrt(diag(D))*3;
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end
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end
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if ~isempty(posterior_sampler_options.mode_files), % multimodal case
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modes = posterior_sampler_options.mode_files; % these can be also mean files from previous parallel slice chains
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for j=1:length( modes ),
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load(modes{j}, 'xparam1')
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mode(j).m=xparam1;
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end
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posterior_sampler_options.mode = mode;
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posterior_sampler_options.rotated = 1;
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posterior_sampler_options.WR=[];
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end
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options_.mh_posterior_mode_estimation = 0;
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end
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