165 lines
6.8 KiB
Matlab
165 lines
6.8 KiB
Matlab
function random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin)
|
|
%function random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin)
|
|
% Random walk Metropolis-Hastings algorithm.
|
|
%
|
|
% INPUTS
|
|
% o TargetFun [char] string specifying the name of the objective
|
|
% function (posterior kernel).
|
|
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
|
|
% o vv [double] (p*p) matrix, posterior covariance matrix (at the mode).
|
|
% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
|
|
% o varargin list of argument following mh_bounds
|
|
%
|
|
% OUTPUTS
|
|
% None
|
|
%
|
|
% ALGORITHM
|
|
% Metropolis-Hastings.
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% None.
|
|
|
|
% Copyright (C) 2006-2008 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/>.
|
|
|
|
global M_ options_ bayestopt_
|
|
%%%%
|
|
%%%% Initialization of the random walk metropolis-hastings chains.
|
|
%%%%
|
|
[ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
|
|
metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin{:});
|
|
options_.lik_algo = 1;
|
|
OpenOldFile = ones(nblck,1);
|
|
if strcmpi(ProposalFun,'rand_multivariate_normal')
|
|
n = npar;
|
|
elseif strcmpi(ProposalFun,'rand_multivariate_student')
|
|
n = options_.student_degrees_of_freedom;
|
|
end
|
|
load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
|
|
%%%%
|
|
%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
|
|
%%%%
|
|
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
|
|
jscale = diag(bayestopt_.jscale);
|
|
for b = fblck:nblck
|
|
if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
|
|
load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
|
|
'_blck' int2str(b) '.mat'])
|
|
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
|
|
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
|
|
OpenOldFile(b) = 0;
|
|
else
|
|
x2 = zeros(InitSizeArray(b),npar);
|
|
logpo2 = zeros(InitSizeArray(b),1);
|
|
end
|
|
if exist('OCTAVE_VERSION')
|
|
diary off;
|
|
else
|
|
hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(nblck) ')...']);
|
|
set(hh,'Name','Metropolis-Hastings');
|
|
end
|
|
isux = 0;
|
|
jsux = 0;
|
|
irun = fline(b);
|
|
j = 1;
|
|
while j <= nruns(b)
|
|
par = feval(ProposalFun, ix2(b,:), d * jscale, n);
|
|
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
|
|
logpost = - feval(TargetFun, par(:), varargin{:});
|
|
else
|
|
logpost = -inf;
|
|
end
|
|
if (logpost > -inf) & (log(rand) < logpost-ilogpo2(b))
|
|
x2(irun,:) = par;
|
|
ix2(b,:) = par;
|
|
logpo2(irun) = logpost;
|
|
ilogpo2(b) = logpost;
|
|
isux = isux + 1;
|
|
jsux = jsux + 1;
|
|
else
|
|
x2(irun,:) = ix2(b,:);
|
|
logpo2(irun) = ilogpo2(b);
|
|
end
|
|
prtfrc = j/nruns(b);
|
|
if exist('OCTAVE_VERSION')
|
|
if mod(j, 10) == 0
|
|
printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
|
|
end
|
|
else
|
|
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
|
|
end
|
|
|
|
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
|
|
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
|
|
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
|
|
fprintf(fidlog,['\n']);
|
|
fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
|
|
fprintf(fidlog,' \n');
|
|
fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
|
|
fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
|
|
fprintf(fidlog,[' Posterior mean........:\n']);
|
|
for i=1:length(x2(1,:))
|
|
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
|
|
end
|
|
fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
|
|
fprintf(fidlog,[' Minimum value.........:\n']);;
|
|
for i=1:length(x2(1,:))
|
|
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
|
|
end
|
|
fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
|
|
fprintf(fidlog,[' Maximum value.........:\n']);
|
|
for i=1:length(x2(1,:))
|
|
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
|
|
end
|
|
fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
|
|
fprintf(fidlog,' \n');
|
|
fclose(fidlog);
|
|
jsux = 0;
|
|
if j == nruns(b) % I record the last draw...
|
|
record.LastParameters(b,:) = x2(end,:);
|
|
record.LastLogLiK(b) = logpo2(end);
|
|
end
|
|
% size of next file in chain b
|
|
InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
|
|
% initialization of next file if necessary
|
|
if InitSizeArray(b)
|
|
x2 = zeros(InitSizeArray(b),npar);
|
|
logpo2 = zeros(InitSizeArray(b),1);
|
|
NewFile(b) = NewFile(b) + 1;
|
|
irun = 0;
|
|
end
|
|
end
|
|
j=j+1;
|
|
irun = irun + 1;
|
|
end% End of the simulations for one mh-block.
|
|
record.AcceptationRates(b) = isux/j;
|
|
if exist('OCTAVE_VERSION')
|
|
printf('\n');
|
|
diary on;
|
|
else
|
|
close(hh);
|
|
end
|
|
end% End of the loop over the mh-blocks.
|
|
record.Seeds.Normal = randn('state');
|
|
record.Seeds.Unifor = rand('state');
|
|
save([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
|
|
disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
|
|
disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])
|
|
disp(['MH: Total number of iterations : ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])
|
|
disp('MH: average acceptation rate per chain : ')
|
|
disp(record.AcceptationRates);
|
|
disp(' ') |