70 lines
2.4 KiB
Matlab
70 lines
2.4 KiB
Matlab
function [xparams, logpost]=metropolis_draw(init)
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% function [xparams, logpost]=metropolis_draw(init)
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% Builds draws from metropolis
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%
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% INPUTS:
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% init: scalar equal to 1 (first call) or 0
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%
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% OUTPUTS:
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% xparams: vector of estimated parameters
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% logpost: log of posterior density
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2003-2011 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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global options_ estim_params_ M_
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persistent mh_nblck NumberOfDraws fname FirstLine FirstMhFile MAX_nruns
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if init
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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npar = nvx+nvn+ncx+ncn+np;
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MhDirectoryName = CheckPath('metropolis',M_.dname);
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fname = [ MhDirectoryName '/' M_.fname];
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load([ fname '_mh_history']);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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LastMhFile = TotalNumberOfMhFiles;
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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mh_nblck = options_.mh_nblck;
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return
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end
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ChainNumber = ceil(rand*mh_nblck);
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DrawNumber = ceil(rand*NumberOfDraws);
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if DrawNumber <= MAX_nruns-FirstLine+1
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MhFilNumber = FirstMhFile;
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MhLine = FirstLine+DrawNumber-1;
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else
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DrawNumber = DrawNumber-(MAX_nruns-FirstLine+1);
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MhFilNumber = FirstMhFile+ceil(DrawNumber/MAX_nruns);
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MhLine = DrawNumber-(MhFilNumber-FirstMhFile-1)*MAX_nruns;
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end
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load( [ fname '_mh' int2str(MhFilNumber) '_blck' int2str(ChainNumber) '.mat' ],'x2','logpo2');
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xparams = x2(MhLine,:);
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logpost= logpo2(MhLine); |