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Merge pull request #1188 from JohannesPfeifer/slice_marco 

Add slice and factorization of posterior samplers
issue#70
Stéphane Adjemian 2016-05-22 01:45:14 +02:00
parent 6ddb7d86a9 275cb6c2b0
commit 07aa54821b
4 changed files with 72 additions and 46 deletions
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78
DynareBison.yy
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@ -83,14 +83,14 @@ class ParsingDriver;
#define yylex driver.lexer->lex #define yylex driver.lexer->lex
} }
%token AIM_SOLVER ANALYTIC_DERIVATION ANALYTIC_DERIVATION_MODE AR AUTOCORR TARB_MODE_COMPUTE %token AIM_SOLVER ANALYTIC_DERIVATION ANALYTIC_DERIVATION_MODE AR AUTOCORR POSTERIOR_SAMPLING_METHOD
%token BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION USE_TARB TARB_NEW_BLOCK_PROBABILITY SILENT_OPTIMIZER %token BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION SILENT_OPTIMIZER
%token BVAR_DENSITY BVAR_FORECAST NODECOMPOSITION DR_DISPLAY_TOL HUGE_NUMBER %token BVAR_DENSITY BVAR_FORECAST NODECOMPOSITION DR_DISPLAY_TOL HUGE_NUMBER
%token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA TARB_OPTIM %token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA
%token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN %token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
%token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED PROPOSAL_DISTRIBUTION %token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED PROPOSAL_DISTRIBUTION
%token CALIB_SMOOTHER CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF CYCLE_REDUCTION LOGARITHMIC_REDUCTION %token CALIB_SMOOTHER CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF CYCLE_REDUCTION LOGARITHMIC_REDUCTION
%token CONSIDER_ALL_ENDOGENOUS CONSIDER_ONLY_OBSERVED STUDENT_DEGREES_OF_FREEDOM %token CONSIDER_ALL_ENDOGENOUS CONSIDER_ONLY_OBSERVED
%token DATAFILE FILE SERIES DOUBLING DR_CYCLE_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_MAXITER DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION DIFFERENTIATE_FORWARD_VARS %token DATAFILE FILE SERIES DOUBLING DR_CYCLE_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_MAXITER DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION DIFFERENTIATE_FORWARD_VARS
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT EXTENDED_PATH ENDOGENOUS_PRIOR %token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT EXTENDED_PATH ENDOGENOUS_PRIOR
%token FILENAME DIRNAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS LAST_OBS SET_TIME OSR_PARAMS_BOUNDS %token FILENAME DIRNAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS LAST_OBS SET_TIME OSR_PARAMS_BOUNDS
@ -152,7 +152,7 @@ class ParsingDriver;
%token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF %token GSIG2_LMDM Q_DIAG FLAT_PRIOR NCSK NSTD WEIBULL WEIBULL_PDF
%token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT %token INDXPARR INDXOVR INDXAP APBAND INDXIMF IMFBAND INDXFORE FOREBAND INDXGFOREHAT INDXGIMFHAT
%token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION %token INDXESTIMA INDXGDLS EQ_MS FILTER_COVARIANCE FILTER_DECOMPOSITION
%token EQ_CMS TLINDX TLNUMBER BANACT RESTRICTIONS %token EQ_CMS TLINDX TLNUMBER BANACT RESTRICTIONS POSTERIOR_SAMPLER_OPTIONS
%token OUTPUT_FILE_TAG DRAWS_NBR_BURN_IN_1 DRAWS_NBR_BURN_IN_2 HORIZON %token OUTPUT_FILE_TAG DRAWS_NBR_BURN_IN_1 DRAWS_NBR_BURN_IN_2 HORIZON
%token SBVAR TREND_VAR DEFLATOR GROWTH_FACTOR MS_IRF MS_VARIANCE_DECOMPOSITION %token SBVAR TREND_VAR DEFLATOR GROWTH_FACTOR MS_IRF MS_VARIANCE_DECOMPOSITION
%token MS_ESTIMATION MS_SIMULATION MS_COMPUTE_MDD MS_COMPUTE_PROBABILITIES MS_FORECAST %token MS_ESTIMATION MS_SIMULATION MS_COMPUTE_MDD MS_COMPUTE_PROBABILITIES MS_FORECAST
@ -180,7 +180,7 @@ class ParsingDriver;
%type <string_val> filename symbol vec_of_vec_value vec_value_list date_expr %type <string_val> filename symbol vec_of_vec_value vec_value_list date_expr
%type <string_val> vec_value_1 vec_value signed_inf signed_number_w_inf %type <string_val> vec_value_1 vec_value signed_inf signed_number_w_inf
%type <string_val> range vec_value_w_inf vec_value_1_w_inf %type <string_val> range vec_value_w_inf vec_value_1_w_inf
%type <string_val> integer_range signed_integer_range %type <string_val> integer_range signed_integer_range sub_sampling_options list_sub_sampling_option
%type <string_pair_val> named_var %type <string_pair_val> named_var
%type <symbol_type_val> change_type_arg %type <symbol_type_val> change_type_arg
%type <vector_string_val> change_type_var_list subsamples_eq_opt prior_eq_opt options_eq_opt calibration_range %type <vector_string_val> change_type_var_list subsamples_eq_opt prior_eq_opt options_eq_opt calibration_range
@ -1776,14 +1776,11 @@ estimation_options : o_datafile
| o_distribution_approximation | o_distribution_approximation
| o_dirname | o_dirname
| o_huge_number | o_huge_number
| o_use_tarb
| o_tarb_mode_compute
| o_tarb_new_block_probability
| o_tarb_optim
| o_silent_optimizer | o_silent_optimizer
| o_proposal_distribution | o_proposal_distribution
| o_student_degrees_of_freedom
| o_no_posterior_kernel_density | o_no_posterior_kernel_density
| o_posterior_sampling_method
| o_posterior_sampler_options
; ;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -1796,15 +1793,48 @@ optim_options : list_optim_option
| optim_options COMMA list_optim_option; | optim_options COMMA list_optim_option;
; ;
list_tarb_optim_option : QUOTED_STRING COMMA QUOTED_STRING list_sub_sampling_option : QUOTED_STRING COMMA QUOTED_STRING
{ driver.tarb_optim_options_string($1, $3); } {
| QUOTED_STRING COMMA signed_number $1->insert(0, "''");
{ driver.tarb_optim_options_num($1, $3); } $1->append("'', ''");
; $1->append(*$3);
$1->append("''");
$$ = $1;
}
| QUOTED_STRING COMMA signed_number
{
$1->insert(0, "''");
$1->append("'',");
$1->append(*$3);
$$ = $1;
}
;
tarb_optim_options : list_tarb_optim_option sub_sampling_options : list_sub_sampling_option
| tarb_optim_options COMMA list_tarb_optim_option; { $$ = $1; }
; | sub_sampling_options COMMA list_sub_sampling_option
{
$1->append(",");
$1->append(*$3);
$$ = $1;
}
;
list_sampling_option : QUOTED_STRING COMMA QUOTED_STRING
{ driver.sampling_options_string($1, $3); }
| QUOTED_STRING COMMA signed_number
{ driver.sampling_options_num($1, $3); }
| QUOTED_STRING COMMA '(' sub_sampling_options ')'
{
$4->insert(0,"(");
$4->append(")");
driver.sampling_options_string($1, $4);
}
;
sampling_options : list_sampling_option
| sampling_options COMMA list_sampling_option;
;
varobs : VAROBS { driver.check_varobs(); } varobs_list ';'; varobs : VAROBS { driver.check_varobs(); } varobs_list ';';
@ -2702,6 +2732,8 @@ o_est_first_obs : FIRST_OBS EQUAL vec_int
| FIRST_OBS EQUAL vec_int_number | FIRST_OBS EQUAL vec_int_number
{ driver.option_vec_int("first_obs", $3); } { driver.option_vec_int("first_obs", $3); }
; ;
o_posterior_sampling_method : POSTERIOR_SAMPLING_METHOD EQUAL QUOTED_STRING
{ driver.option_str("posterior_sampler_options.posterior_sampling_method", $3); } ;
o_first_obs : FIRST_OBS EQUAL INT_NUMBER { driver.option_num("first_obs", $3); }; o_first_obs : FIRST_OBS EQUAL INT_NUMBER { driver.option_num("first_obs", $3); };
o_data_first_obs : FIRST_OBS EQUAL date_expr { driver.option_date("firstobs", $3); } ; o_data_first_obs : FIRST_OBS EQUAL date_expr { driver.option_date("firstobs", $3); } ;
o_data_last_obs : LAST_OBS EQUAL date_expr { driver.option_date("lastobs", $3); } ; o_data_last_obs : LAST_OBS EQUAL date_expr { driver.option_date("lastobs", $3); } ;
@ -2758,12 +2790,11 @@ o_posterior_max_subsample_draws : POSTERIOR_MAX_SUBSAMPLE_DRAWS EQUAL INT_NUMBER
o_mh_drop : MH_DROP EQUAL non_negative_number { driver.option_num("mh_drop", $3); }; o_mh_drop : MH_DROP EQUAL non_negative_number { driver.option_num("mh_drop", $3); };
o_mh_jscale : MH_JSCALE EQUAL non_negative_number { driver.option_num("mh_jscale", $3); }; o_mh_jscale : MH_JSCALE EQUAL non_negative_number { driver.option_num("mh_jscale", $3); };
o_optim : OPTIM EQUAL '(' optim_options ')'; o_optim : OPTIM EQUAL '(' optim_options ')';
o_tarb_optim : TARB_OPTIM EQUAL '(' tarb_optim_options ')'; o_posterior_sampler_options : POSTERIOR_SAMPLER_OPTIONS EQUAL '(' sampling_options ')' ;
o_proposal_distribution : PROPOSAL_DISTRIBUTION EQUAL symbol { driver.option_str("proposal_distribution", $3); }; o_proposal_distribution : PROPOSAL_DISTRIBUTION EQUAL symbol { driver.option_str("posterior_sampler_options.posterior_sampling_method.proposal_distribution", $3); };
o_no_posterior_kernel_density : NO_POSTERIOR_KERNEL_DENSITY o_no_posterior_kernel_density : NO_POSTERIOR_KERNEL_DENSITY
{ driver.option_num("moments_posterior_density.indicator", "0"); } { driver.option_num("moments_posterior_density.indicator", "0"); }
; ;
o_student_degrees_of_freedom : STUDENT_DEGREES_OF_FREEDOM EQUAL INT_NUMBER { driver.option_num("student_degrees_of_freedom", $3); };
o_mh_init_scale : MH_INIT_SCALE EQUAL non_negative_number { driver.option_num("mh_init_scale", $3); }; o_mh_init_scale : MH_INIT_SCALE EQUAL non_negative_number { driver.option_num("mh_init_scale", $3); };
o_mode_file : MODE_FILE EQUAL filename { driver.option_str("mode_file", $3); }; o_mode_file : MODE_FILE EQUAL filename { driver.option_str("mode_file", $3); };
o_mode_compute : MODE_COMPUTE EQUAL INT_NUMBER { driver.option_num("mode_compute", $3); }; o_mode_compute : MODE_COMPUTE EQUAL INT_NUMBER { driver.option_num("mode_compute", $3); };
@ -3022,9 +3053,6 @@ o_equations : EQUATIONS EQUAL vec_int
| EQUATIONS EQUAL vec_int_number | EQUATIONS EQUAL vec_int_number
{ driver.option_vec_int("ms.equations",$3); } { driver.option_vec_int("ms.equations",$3); }
; ;
o_use_tarb : USE_TARB { driver.option_num("TaRB.use_TaRB", "1"); };
o_tarb_mode_compute : TARB_MODE_COMPUTE EQUAL INT_NUMBER { driver.option_num("TaRB.mode_compute", $3); };
o_tarb_new_block_probability : TARB_NEW_BLOCK_PROBABILITY EQUAL non_negative_number {driver.option_num("TaRB.new_block_probability",$3); };
o_silent_optimizer : SILENT_OPTIMIZER { driver.option_num("silent_optimizer", "1"); }; o_silent_optimizer : SILENT_OPTIMIZER { driver.option_num("silent_optimizer", "1"); };
o_instruments : INSTRUMENTS EQUAL '(' symbol_list ')' {driver.option_symbol_list("instruments"); }; o_instruments : INSTRUMENTS EQUAL '(' symbol_list ')' {driver.option_symbol_list("instruments"); };

7
DynareFlex.ll
View File

@ -391,7 +391,6 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>distribution_approximation {return token::DISTRIBUTION_APPROXIMATION;} <DYNARE_STATEMENT>distribution_approximation {return token::DISTRIBUTION_APPROXIMATION;}
<DYNARE_STATEMENT>proposal_distribution {return token::PROPOSAL_DISTRIBUTION;} <DYNARE_STATEMENT>proposal_distribution {return token::PROPOSAL_DISTRIBUTION;}
<DYNARE_STATEMENT>no_posterior_kernel_density {return token::NO_POSTERIOR_KERNEL_DENSITY;} <DYNARE_STATEMENT>no_posterior_kernel_density {return token::NO_POSTERIOR_KERNEL_DENSITY;}
<DYNARE_STATEMENT>student_degrees_of_freedom {return token::STUDENT_DEGREES_OF_FREEDOM;}
<DYNARE_STATEMENT>alpha { <DYNARE_STATEMENT>alpha {
yylval->string_val = new string(yytext); yylval->string_val = new string(yytext);
@ -590,10 +589,8 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>outvars {return token::OUTVARS;} <DYNARE_STATEMENT>outvars {return token::OUTVARS;}
<DYNARE_STATEMENT>huge_number {return token::HUGE_NUMBER;} <DYNARE_STATEMENT>huge_number {return token::HUGE_NUMBER;}
<DYNARE_STATEMENT>dr_display_tol {return token::DR_DISPLAY_TOL;} <DYNARE_STATEMENT>dr_display_tol {return token::DR_DISPLAY_TOL;}
<DYNARE_STATEMENT>use_tarb {return token::USE_TARB;} <DYNARE_STATEMENT>posterior_sampling_method {return token::POSTERIOR_SAMPLING_METHOD;}
<DYNARE_STATEMENT>tarb_mode_compute {return token::TARB_MODE_COMPUTE;} <DYNARE_STATEMENT>posterior_sampler_options {return token::POSTERIOR_SAMPLER_OPTIONS;}
<DYNARE_STATEMENT>tarb_new_block_probability {return token::TARB_NEW_BLOCK_PROBABILITY;}
<DYNARE_STATEMENT>tarb_optim {return token::TARB_OPTIM;}
<DYNARE_STATEMENT>silent_optimizer {return token::SILENT_OPTIMIZER;} <DYNARE_STATEMENT>silent_optimizer {return token::SILENT_OPTIMIZER;}
<DYNARE_STATEMENT>lmmcp {return token::LMMCP;} <DYNARE_STATEMENT>lmmcp {return token::LMMCP;}
<DYNARE_STATEMENT>occbin {return token::OCCBIN;} <DYNARE_STATEMENT>occbin {return token::OCCBIN;}

23
ParsingDriver.cc
View File

@ -1666,29 +1666,30 @@ ParsingDriver::optim_options_num(string *name, string *value)
} }
void void
ParsingDriver::tarb_optim_options_helper(const string &name) ParsingDriver::sampling_options_helper(const string &name)
{ {
if (options_list.string_options.find("TaRB.optim_opt") == options_list.string_options.end()) if (options_list.string_options.find("posterior_sampler_options.sampling_opt") ==
options_list.string_options["TaRB.optim_opt"] = ""; options_list.string_options.end())
options_list.string_options["posterior_sampler_options.sampling_opt"] = "";
else else
options_list.string_options["TaRB.optim_opt"] += ","; options_list.string_options["posterior_sampler_options.sampling_opt"] += ",";
options_list.string_options["TaRB.optim_opt"] += "''" + name + "'',"; options_list.string_options["posterior_sampler_options.sampling_opt"] += "''" + name + "'',";
} }
void void
ParsingDriver::tarb_optim_options_string(string *name, string *value) ParsingDriver::sampling_options_string(string *name, string *value)
{ {
tarb_optim_options_helper(*name); sampling_options_helper(*name);
options_list.string_options["TaRB.optim_opt"] += "''" + *value + "''"; options_list.string_options["posterior_sampler_options.sampling_opt"] += "''" + *value + "''";
delete name; delete name;
delete value; delete value;
} }
void void
ParsingDriver::tarb_optim_options_num(string *name, string *value) ParsingDriver::sampling_options_num(string *name, string *value)
{ {
tarb_optim_options_helper(*name); sampling_options_helper(*name);
options_list.string_options["TaRB.optim_opt"] += *value; options_list.string_options["posterior_sampler_options.sampling_opt"] += *value;
delete name; delete name;
delete value; delete value;
} }

10
ParsingDriver.hh
View File

@ -98,7 +98,7 @@ private:
//! Creates option "optim_opt" in OptionsList if it doesn't exist, else add a comma, and adds the option name //! Creates option "optim_opt" in OptionsList if it doesn't exist, else add a comma, and adds the option name
void optim_options_helper(const string &name); void optim_options_helper(const string &name);
void tarb_optim_options_helper(const string &name); void sampling_options_helper(const string &name);
//! Stores temporary symbol table //! Stores temporary symbol table
SymbolList symbol_list; SymbolList symbol_list;
@ -459,10 +459,10 @@ public:
void optim_options_string(string *name, string *value); void optim_options_string(string *name, string *value);
//! Adds an optimization option (numeric value) //! Adds an optimization option (numeric value)
void optim_options_num(string *name, string *value); void optim_options_num(string *name, string *value);
//! Adds a TaRB optimization option (string value) //! Adds an sampling option (string value)
void tarb_optim_options_string(string *name, string *value); void sampling_options_string(string *name, string *value);
//! Adds a TaRB optimization option (numeric value) //! Adds an sampling option (numeric value)
void tarb_optim_options_num(string *name, string *value); void sampling_options_num(string *name, string *value);
//! Check that no observed variable has yet be defined //! Check that no observed variable has yet be defined
void check_varobs(); void check_varobs();
//! Add a new observed variable //! Add a new observed variable