74 lines
2.6 KiB
C++
74 lines
2.6 KiB
C++
/*
|
|
* Copyright (C) 2010 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 "RandomWalkMetropolisHastings.hh"
|
|
|
|
double
|
|
RandomWalkMetropolisHastings::compute(VectorView &mhLogPostDens, MatrixView &mhParams, Matrix &steadyState,
|
|
Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H,
|
|
const size_t presampleStart, int &info, const size_t startDraw, size_t nMHruns, const Matrix &Dscale,
|
|
LogPosteriorDensity &lpd, Prior &drawDistribution, EstimatedParametersDescription &epd)
|
|
{
|
|
bool overbound;
|
|
double newLogpost, logpost;
|
|
size_t count, accepted = 0;
|
|
parDraw = estParams;
|
|
logpost = - lpd.compute(steadyState, estParams, deepParams, data, Q, H, presampleStart, info);
|
|
for (size_t run = startDraw - 1; run < nMHruns; ++run)
|
|
{
|
|
overbound=false;
|
|
randMultiVar(drawDistribution, newParDraw, parDraw, Dscale, parDraw.getSize());
|
|
for (count=0;count<parDraw.getSize();++count)
|
|
{
|
|
overbound=(newParDraw(count) < epd.estParams[count].lower_bound || newParDraw(count) > epd.estParams[count].upper_bound );
|
|
if (overbound)
|
|
{
|
|
newLogpost = -INFINITY;
|
|
break;
|
|
}
|
|
}
|
|
if (!overbound)
|
|
{
|
|
try
|
|
{
|
|
newLogpost = - lpd.compute(steadyState, newParDraw, deepParams, data, Q, H, presampleStart, info);
|
|
}
|
|
catch(...)
|
|
{
|
|
newLogpost = -INFINITY;
|
|
}
|
|
}
|
|
if ((newLogpost > -INFINITY) && log(uniform.drand()) < newLogpost-logpost)
|
|
{
|
|
mat::get_row(mhParams, run) = newParDraw;
|
|
parDraw = newParDraw;
|
|
mhLogPostDens(run) = newLogpost;
|
|
logpost = newLogpost;
|
|
accepted++;
|
|
}
|
|
else
|
|
{
|
|
mat::get_row(mhParams, run) = parDraw;
|
|
mhLogPostDens(run) = logpost;
|
|
}
|
|
}
|
|
return (double) accepted/(nMHruns-startDraw+1);
|
|
}
|
|
|