186 lines
7.3 KiB
Matlab
186 lines
7.3 KiB
Matlab
function check_plot(fun,xparam,SE_vec,options_,M_,estim_params_,Bounds,bayestopt_,varargin)
|
|
%function check_plot(fun,xparam,SE_vec,options_,M_,estim_params_,Bounds,bayestopt_,varargin)
|
|
% Checks the estimated local minimum of the moment's distance objective
|
|
|
|
|
|
% Copyright (C) 2020-2021 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 <https://www.gnu.org/licenses/>.
|
|
|
|
TeX = options_.TeX;
|
|
if ~isempty(SE_vec)
|
|
[ s_min, k ] = min(SE_vec);
|
|
end
|
|
|
|
fval = feval(fun,xparam,varargin{:});
|
|
|
|
if ~isempty(SE_vec)
|
|
skipline()
|
|
disp('LOCAL MINIMUM CHECK')
|
|
skipline()
|
|
fprintf('Fval obtained by the minimization routine: %f', fval);
|
|
skipline()
|
|
if s_min<eps
|
|
fprintf('Most negative variance %f for parameter %d (%s = %f)', s_min, k , bayestopt_.name{k}, xparam(k))
|
|
end
|
|
end
|
|
|
|
[nbplt,nr,nc,lr,lc,nstar] = pltorg(length(xparam));
|
|
|
|
if ~exist([M_.dname filesep 'graphs'],'dir')
|
|
mkdir(M_.dname,'graphs');
|
|
end
|
|
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fidTeX = fopen([M_.dname, '/graphs/', M_.fname '_MoMCheckPlots.tex'],'w');
|
|
fprintf(fidTeX,'%% TeX eps-loader file generated by mom.check_plot.m (Dynare).\n');
|
|
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
|
|
ll = options_.mode_check.neighbourhood_size;
|
|
if isinf(ll)
|
|
options_.mode_check.symmetric_plots = false;
|
|
end
|
|
|
|
mcheck = struct('cross',struct(),'emin',struct());
|
|
|
|
for plt = 1:nbplt
|
|
if TeX
|
|
NAMES = [];
|
|
TeXNAMES = [];
|
|
end
|
|
hh = dyn_figure(options_.nodisplay,'Name','Minimum check plots');
|
|
for k=1:min(nstar,length(xparam)-(plt-1)*nstar)
|
|
subplot(nr,nc,k)
|
|
kk = (plt-1)*nstar+k;
|
|
[name,texname] = get_the_name(kk,TeX,M_,estim_params_,options_);
|
|
xx = xparam;
|
|
if xparam(kk)~=0 || ~isinf(Bounds.lb(kk)) || ~isinf(Bounds.lb(kk))
|
|
l1 = max(Bounds.lb(kk),(1-sign(xparam(kk))*ll)*xparam(kk)); m1 = 0; %lower bound
|
|
l2 = min(Bounds.ub(kk),(1+sign(xparam(kk))*ll)*xparam(kk)); %upper bound
|
|
else
|
|
%size info for 0 parameter is missing, use prior standard
|
|
%deviation
|
|
upper_bound=Bounds.lb(kk);
|
|
if isinf(upper_bound)
|
|
upper_bound=-1e-6*options_.huge_number;
|
|
end
|
|
lower_bound=Bounds.ub(kk);
|
|
if isinf(lower_bound)
|
|
lower_bound=-1e-6*options_.huge_number;
|
|
end
|
|
l1 = max(lower_bound,-bayestopt_.p2(kk)); m1 = 0; %lower bound
|
|
l2 = min(upper_bound,bayestopt_.p2(kk)); %upper bound
|
|
end
|
|
binding_lower_bound=0;
|
|
binding_upper_bound=0;
|
|
if isequal(xparam(kk),Bounds.lb(kk))
|
|
binding_lower_bound=1;
|
|
bound_value=Bounds.lb(kk);
|
|
elseif isequal(xparam(kk),Bounds.ub(kk))
|
|
binding_upper_bound=1;
|
|
bound_value=Bounds.ub(kk);
|
|
end
|
|
if options_.mode_check.symmetric_plots && ~binding_lower_bound && ~binding_upper_bound
|
|
if l2<(1+ll)*xparam(kk) %test whether upper bound is too small due to prior binding
|
|
l1 = xparam(kk) - (l2-xparam(kk)); %adjust lower bound to become closer
|
|
m1 = 1;
|
|
end
|
|
if ~m1 && (l1>(1-ll)*xparam(kk)) && (xparam(kk)+(xparam(kk)-l1)<Bounds.ub(kk)) % if lower bound was truncated and using difference from lower bound does not violate upper bound
|
|
l2 = xparam(kk) + (xparam(kk)-l1); %set upper bound to same distance as lower bound
|
|
end
|
|
end
|
|
z1 = l1:((xparam(kk)-l1)/(options_.mode_check.number_of_points/2)):xparam(kk);
|
|
z2 = xparam(kk):((l2-xparam(kk))/(options_.mode_check.number_of_points/2)):l2;
|
|
z = union(z1,z2);
|
|
if options_.mom.penalized_estimator
|
|
y = zeros(length(z),2);
|
|
dy=(xx-bayestopt_.p1)'/diag(bayestopt_.p2.^2)*(xx-bayestopt_.p1);
|
|
else
|
|
y = zeros(length(z),1);
|
|
end
|
|
for i=1:length(z)
|
|
xx(kk) = z(i);
|
|
[fval, info, exit_flag] = feval(fun,xx,varargin{:});
|
|
if exit_flag
|
|
y(i,1) = fval;
|
|
else
|
|
y(i,1) = NaN;
|
|
if options_.debug
|
|
fprintf('mom.check_plot:: could not solve model for parameter %s at value %4.3f, error code: %u\n',name,z(i),info(1))
|
|
end
|
|
end
|
|
if options_.mom.penalized_estimator
|
|
prior=(xx-bayestopt_.p1)'/diag(bayestopt_.p2.^2)*(xx-bayestopt_.p1);
|
|
y(i,2) = (y(i,1)+prior-dy);
|
|
end
|
|
end
|
|
mcheck.cross = setfield(mcheck.cross, name, [transpose(z), y]);
|
|
mcheck.emin = setfield(mcheck.emin, name, xparam(kk));
|
|
fighandle=plot(z,y);
|
|
hold on
|
|
yl=get(gca,'ylim');
|
|
plot( [xparam(kk) xparam(kk)], yl, 'c', 'LineWidth', 1)
|
|
NaN_index = find(isnan(y(:,1)));
|
|
zNaN = z(NaN_index);
|
|
yNaN = yl(1)*ones(size(NaN_index));
|
|
plot(zNaN,yNaN,'o','MarkerEdgeColor','r','MarkerFaceColor','r','MarkerSize',6);
|
|
if TeX
|
|
title(texname,'interpreter','latex')
|
|
else
|
|
title(name,'interpreter','none')
|
|
end
|
|
|
|
axis tight
|
|
if binding_lower_bound || binding_upper_bound
|
|
xl=get(gca,'xlim');
|
|
plot( [bound_value bound_value], yl, 'r--', 'LineWidth', 1)
|
|
xlim([xl(1)-0.5*binding_lower_bound*(xl(2)-xl(1)) xl(2)+0.5*binding_upper_bound*(xl(2)-xl(1))])
|
|
end
|
|
hold off
|
|
drawnow
|
|
end
|
|
if options_.mom.penalized_estimator
|
|
if isoctave
|
|
axes('outerposition',[0.3 0.93 0.42 0.07],'box','on'),
|
|
else
|
|
axes('position',[0.3 0.01 0.42 0.05],'box','on'),
|
|
end
|
|
line_color=get(fighandle,'color');
|
|
plot([0.48 0.68],[0.5 0.5],'color',line_color{2})
|
|
hold on, plot([0.04 0.24],[0.5 0.5],'color',line_color{1})
|
|
set(gca,'xlim',[0 1],'ylim',[0 1],'xtick',[],'ytick',[])
|
|
text(0.25,0.5,'log-post')
|
|
text(0.69,0.5,'log-lik kernel')
|
|
end
|
|
dyn_saveas(hh,[M_.dname, '/graphs/', M_.fname '_MoMCheckPlots' int2str(plt) ],options_.nodisplay,options_.graph_format);
|
|
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
% TeX eps loader file
|
|
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
|
fprintf(fidTeX,'\\centering \n');
|
|
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_MoMCheckPlots%s}\n',options_.figures.textwidth*min(k/nc,1),[M_.dname, '/graphs/',M_.fname],int2str(plt));
|
|
fprintf(fidTeX,'\\caption{Method of Moments check plots.}');
|
|
fprintf(fidTeX,'\\label{Fig:MoMCheckPlots:%s}\n',int2str(plt));
|
|
fprintf(fidTeX,'\\end{figure}\n');
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
end
|
|
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fclose(fidTeX);
|
|
end
|
|
|
|
save([M_.dname filesep 'graphs' filesep M_.fname '_MoMCheckPlots_data.mat'],'mcheck');
|