138 lines
4.8 KiB
Matlab
138 lines
4.8 KiB
Matlab
function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
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% PARALLEL CONTEXT
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% Core functionality for MCMC Diagnostics, which can be parallelized.
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% See also the comment in random_walk_metropolis_hastings_core.m funtion.
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% INPUTS
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% See See the comment in random_walk_metropolis_hastings_core.m funtion.
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% OUTPUTS
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% o myoutput [struc]
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% Contained UDIAG.
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%
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% ALGORITHM
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% Portion of McMCDiagnostics.m function.
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%
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% SPECIAL REQUIREMENTS.
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% None.
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% Copyright (C) 2006-2011 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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if nargin<4,
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whoiam=0;
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end
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% Reshape 'myinputs' for local computation.
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% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
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MhDirectoryName=myinputs.MhDirectoryName;
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nblck=myinputs.nblck;
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NumberOfMcFilesPerBlock=myinputs.NumberOfMcFilesPerBlock;
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Origin=myinputs.Origin;
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StepSize=myinputs.StepSize;
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mh_drop=myinputs.mh_drop;
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NumberOfDraws=myinputs.NumberOfDraws;
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NumberOfLines=myinputs.NumberOfLines;
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time=myinputs.time;
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M_=myinputs.M_;
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if whoiam
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Parallel=myinputs.Parallel;
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end
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if ~exist('MhDirectoryName'),
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MhDirectoryName = CheckPath('metropolis');
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end
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ALPHA = 0.2; % increase too much with the number of simulations.
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tmp = zeros(NumberOfDraws*nblck,3);
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UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
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if whoiam
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waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
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if Parallel(ThisMatlab).Local,
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waitbarTitle=['Local '];
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else
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waitbarTitle=[Parallel(ThisMatlab).ComputerName];
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end
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fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
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end
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for j=fpar:npar,
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if exist('OCTAVE_VERSION'),
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if (whoiam==0),
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printf(' Parameter %d... ',j);
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end
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else
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fprintf(' Parameter %d... ',j);
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end
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for b = 1:nblck
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startline = 0;
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for n = 1:NumberOfMcFilesPerBlock
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%load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
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load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
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'.mat'],'x2');
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nx2 = size(x2,1);
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tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
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% clear x2;
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startline = startline + nx2;
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end
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% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
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% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
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% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
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% $$$ clear x2;
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% $$$ startline = startline + LastLineNumber;
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end
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tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
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tmp(:,3) = kron(ones(nblck,1),time');
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tmp = sortrows(tmp,1);
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ligne = 0;
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for iter = Origin:StepSize:NumberOfDraws
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ligne = ligne+1;
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linea = ceil(mh_drop*iter);
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n = iter-linea+1;
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cinf = round(n*ALPHA/2);
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csup = round(n*(1-ALPHA/2));
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CINF = round(nblck*n*ALPHA/2);
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CSUP = round(nblck*n*(1-ALPHA/2));
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temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
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UDIAG(ligne,1,j-fpar+1) = temp(CSUP,1)-temp(CINF,1);
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moyenne = mean(temp(:,1));%% Pooled mean.
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UDIAG(ligne,3,j-fpar+1) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
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UDIAG(ligne,5,j-fpar+1) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
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for i=1:nblck
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pmet = temp(find(temp(:,2)==i));
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UDIAG(ligne,2,j-fpar+1) = UDIAG(ligne,2,j-fpar+1) + pmet(csup,1)-pmet(cinf,1);
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moyenne = mean(pmet,1); %% Within mean.
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UDIAG(ligne,4,j-fpar+1) = UDIAG(ligne,4,j-fpar+1) + sum((pmet(:,1)-moyenne).^2)/(n-1);
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UDIAG(ligne,6,j-fpar+1) = UDIAG(ligne,6,j-fpar+1) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
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end
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end
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if exist('OCTAVE_VERSION'),
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if (whoiam==0),
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printf('Done! \n');
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end
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else
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fprintf('Done! \n');
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end
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if whoiam,
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waitbarString = [ 'Parameter ' int2str(j) '/' int2str(npar) ' done.'];
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fMessageStatus((j-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab))
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end
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end
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myoutput.UDIAG = UDIAG; |