93 lines
3.7 KiB
Matlab
93 lines
3.7 KiB
Matlab
function [par, logpost, accepted, neval] = posterior_sampler_iteration(TargetFun,last_draw, last_posterior, sampler_options,varargin)
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% function [par, logpost, accepted, neval] = posterior_sampler_iteration(TargetFun,last_draw, last_posterior, sampler_options,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
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% 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_sampling_method = sampler_options.posterior_sampling_method;
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mh_bounds = sampler_options.bounds;
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switch posterior_sampling_method
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case 'slice'
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[par, logpost, neval] = slice_sampler(TargetFun,last_draw, [mh_bounds.lb mh_bounds.ub], sampler_options,varargin{:});
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accepted = 1;
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case 'random_walk_metropolis_hastings'
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neval = 1;
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ProposalFun = sampler_options.proposal_distribution;
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proposal_covariance_Cholesky_decomposition = sampler_options.proposal_covariance_Cholesky_decomposition;
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n = sampler_options.n;
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par = feval(ProposalFun, last_draw, proposal_covariance_Cholesky_decomposition, n);
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if all( par(:) > mh_bounds.lb ) && all( par(:) < mh_bounds.ub )
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try
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logpost = - feval(TargetFun, par(:),varargin{:});
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catch
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logpost = -inf;
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end
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else
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logpost = -inf;
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end
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r = logpost-last_posterior;
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if (logpost > -inf) && (log(rand) < r)
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accepted = 1;
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else
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accepted = 0;
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par = last_draw;
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logpost = last_posterior;
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end
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case 'independent_metropolis_hastings'
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neval = 1;
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ProposalFun = sampler_options.proposal_distribution;
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ProposalDensity = sampler_options.ProposalDensity;
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proposal_covariance_Cholesky_decomposition = sampler_options.proposal_covariance_Cholesky_decomposition;
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n = sampler_options.n;
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xparam1 = sampler_options.xparam1;
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par = feval(ProposalFun, sampler_options.xparam1, proposal_covariance_Cholesky_decomposition, n);
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if all( par(:) > mh_bounds.lb ) && all( par(:) < mh_bounds.ub )
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try
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logpost = - feval(TargetFun, par(:),varargin{:});
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catch
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logpost = -inf;
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end
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else
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logpost = -inf;
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end
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r = logpost - last_posterior + ...
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log(feval(ProposalDensity, last_draw, xparam1, proposal_covariance_Cholesky_decomposition, n)) - ...
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log(feval(ProposalDensity, par, xparam1, proposal_covariance_Cholesky_decomposition, n));
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if (logpost > -inf) && (log(rand) < r)
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accepted = 1;
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else
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accepted = 0;
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par = last_draw;
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logpost = last_posterior;
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end
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end |