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41 results

SymbolTable.cc

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  • Forked from Dynare / dynare
    Source project has a limited visibility.
    CutSample.m 3.21 KiB
    function CutSample(M_, options_, estim_params_)
    % function CutSample(M_, options_, estim_params_)
    % Takes a subset from metropolis draws by storing the required information
    % like the first MH-file to be loaded and the first line in that file to be
    % loaded into the record structure saved on harddisk into the
    % _mh_history-file
    %
    % INPUTS
    %   M_               [structure]    Dynare model structure
    %   options_         [structure]    Dynare options structure
    %   estim_params_    [structure]    Parameter structure
    %
    % OUTPUTS
    %    none
    %
    % SPECIAL REQUIREMENTS
    %    none
    
    % Copyright (C) 2005-2017 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/>.
    
    npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
    
    % Get the path to the metropolis files.
    MetropolisFolder = CheckPath('metropolis',M_.dname);
    
    % Get the (base) name of the mod file.
    ModelName = M_.fname;
    
    % Load the last mh-history file.
    load_last_mh_history_file(MetropolisFolder, M_.fname);
    
    % Get the list of files where the mcmc draw are saved.
    mh_files = dir([ MetropolisFolder ,filesep, M_.fname '_mh*.mat' ]);
    
    if ~length(mh_files)
        error('Estimation::mcmc: I can''t find MH file to load here!')
    end
    
    TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
    TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
    MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
    FirstDraw = max(1,floor(options_.mh_drop*TotalNumberOfMhDraws)+1);
    FirstMhFile = ceil(FirstDraw/MAX_nruns);
    FirstLine = FirstDraw-(FirstMhFile-1)*MAX_nruns;
    record.KeepedDraws.FirstMhFile = FirstMhFile;
    record.KeepedDraws.FirstLine = FirstLine;
    if (TotalNumberOfMhFiles-1)-(FirstMhFile+1)+1 > 0
        record.KeepedDraws.Distribution = [ MAX_nruns-FirstLine+1 ; ...
                            ones((TotalNumberOfMhFiles-1)-(FirstMhFile+1)+1,1)*MAX_nruns ; ...
                            record.MhDraws(end,3) ];
    elseif TotalNumberOfMhFiles == 1
        record.KeepedDraws.Distribution = [];
    elseif TotalNumberOfMhFiles == 2 && FirstMhFile > 1
        record.KeepedDraws.Distribution = [MAX_nruns-FirstLine+1 ; record.MhDraws(end,3)];
    end
    
    % Save updated mh-history file.
    update_last_mh_history_file(MetropolisFolder, ModelName, record);
    
    fprintf('Estimation::mcmc: Total number of MH draws per chain: %d.\n',TotalNumberOfMhDraws);
    fprintf('Estimation::mcmc: Total number of generated MH files: %d.\n',TotalNumberOfMhFiles);
    fprintf('Estimation::mcmc: I''ll use mh-files %d to %d.\n',FirstMhFile,TotalNumberOfMhFiles);
    fprintf('Estimation::mcmc: In MH-file number %d I''ll start at line %d.\n',FirstMhFile,FirstLine);
    fprintf('Estimation::mcmc: Finally I keep %d draws per chain.\n',TotalNumberOfMhDraws-FirstDraw+1);
    skipline()