diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 35b4bc612723eb17434cac5ed759ef8930149bf2..c9f432c5fe23c06783096af132fb4a6c344499bf 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -5557,6 +5557,48 @@ block decomposition of the model (see :opt:`block`).
density, and posterior statistics from an existing ``_results``
file instead of recomputing them.
+ .. option:: mh_initialize_from_previous_mcmc
+
+ This option allows to pick initial values for new MCMC from a previous one,
+ where the model specification, the number of estimated parameters,
+ (some) prior might have changed (so a situation where ``load_mh_file`` would not work).
+ If an additional parameter is estimated, it is automatically initialized from prior_draw.
+ Note that, if this option is used to skip the optimization step, you should use a sampling method which does not require
+ a proposal density, like slice. Otherwise, optimization should always be done beforehand or a mode file with
+ an appropriate posterior covariance matrix should be used.
+
+ .. option:: mh_initialize_from_previous_mcmc_directory = FILENAME
+
+ If ``mh_initialize_from_previous_mcmc`` is set, users must provide here
+ the path to the standard FNAME folder from where to load prior definitions and
+ last MCMC values to be used to initialize the new MCMC.
+
+ Example: if previous project directory is ``/my_previous_dir`` and FNAME is ``mymodel``,
+ users should set the option as
+
+ ``mh_initialize_from_previous_mcmc_directory = '/my_previous_dir/mymodel'``
+
+ Dynare will then look for the last record file into
+
+ ``/my_previous_dir/mymodel/metropolis/mymodel_mh_history_<LAST>.mat``
+
+ and for the prior definition file into
+
+ ``/my_previous_dir/mymodel/prior/definition.mat``
+
+ .. option:: mh_initialize_from_previous_mcmc_record = FILENAME
+
+ If ``mh_initialize_from_previous_mcmc`` is set, and whenever the standard file or directory tree
+ is not applicable to load initial values, users may directly provide here
+ the path to the record file from which to load
+ values to be used to initialize the new MCMC.
+
+ .. option:: mh_initialize_from_previous_mcmc_prior = FILENAME
+
+ If ``mh_initialize_from_previous_mcmc`` is set, and whenever the standard file or directory tree
+ is not applicable to load initial values, users may directly provide here
+ the path to the prior definition file, to get info in the priors used in previous MCMC.
+
.. option:: optim = (NAME, VALUE, ...)
A list of NAME and VALUE pairs. Can be used to set options for
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 96e098044ca2de34b4ad732f3b4c40c5239df23b..dca273c2f9362d27abf97b6decbd7e8966a03fee 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -396,6 +396,10 @@ options_.mh_tune_jscale.c1 = .02;
options_.mh_tune_jscale.c2 = .05;
options_.mh_tune_jscale.c3 = 4;
options_.mh_init_scale = 2*options_.mh_jscale;
+options_.mh_initialize_from_previous_mcmc.status = false;
+options_.mh_initialize_from_previous_mcmc.directory = '';
+options_.mh_initialize_from_previous_mcmc.record = '';
+options_.mh_initialize_from_previous_mcmc.prior = '';
options_.mh_mode = 1;
options_.mh_nblck = 2;
options_.mh_recover = false;
diff --git a/matlab/posterior_sampler_initialization.m b/matlab/posterior_sampler_initialization.m
index b950d3861d30faabb5077417b0e48d59d7f8ee67..89e32fddc60699973eccfd158fbfb3e47f6e48ee 100644
--- a/matlab/posterior_sampler_initialization.m
+++ b/matlab/posterior_sampler_initialization.m
@@ -115,13 +115,80 @@ if ~options_.load_mh_file && ~options_.mh_recover
if isempty(d)
prior_draw(bayestopt_,options_.prior_trunc);
end
+ if options_.mh_initialize_from_previous_mcmc.status
+ PreviousFolder0 = options_.mh_initialize_from_previous_mcmc.directory;
+ RecordFile0 = options_.mh_initialize_from_previous_mcmc.record;
+ PriorFile0 = options_.mh_initialize_from_previous_mcmc.prior;
+ if ~isempty(RecordFile0)
+ %% check for proper filesep char in user defined paths
+ RecordFile0=strrep(RecordFile0,'\',filesep);
+ if isempty(dir(RecordFile0))
+ disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_record option')
+ error('Estimation::mcmc: path to record file is not found')
+ else
+ record0=load(RecordFile0);
+ end
+ record0=record0.record;
+ MetropolisFolder0 = fileparts(RecordFile0);
+ PreviousFolder0=fileparts(MetropolisFolder0);
+ [~, ModelName0]=fileparts(PreviousFolder0);
+ else
+ %% check for proper filesep char in user defined paths
+ PreviousFolder0=strrep(PreviousFolder0,'\',filesep);
+ MetropolisFolder0 = [PreviousFolder0 filesep 'metropolis'];
+ [~, ModelName0]=fileparts(PreviousFolder0);
+ record0=load_last_mh_history_file(MetropolisFolder0, ModelName0);
+ end
+ if ~isnan(record0.MCMCConcludedSuccessfully) && ~record0.MCMCConcludedSuccessfully
+ error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
+ end
+% mh_files = dir([ MetropolisFolder0 filesep ModelName0 '_mh*.mat']);
+% if ~length(mh_files)
+% error('Estimation::mcmc: I cannot find any MH file to load here!')
+% end
+ disp('Estimation::mcmc: Initializing from past Metropolis-Hastings simulations...')
+ disp(['Estimation::mcmc: Past MH path ' MetropolisFolder0 ])
+ disp(['Estimation::mcmc: Past model name ' ModelName0 ])
+ fprintf(fidlog,' Loading initial values from previous MH\n');
+ fprintf(fidlog,' Past MH path: %s\n', MetropolisFolder0 );
+ fprintf(fidlog,' Past model name: %s\n', ModelName0);
+ fprintf(fidlog,' \n');
+ past_number_of_blocks = record0.Nblck;
+ if past_number_of_blocks ~= NumberOfBlocks
+ disp('Estimation::mcmc: The specified number of blocks doesn''t match with the previous number of blocks!')
+ disp(['Estimation::mcmc: You declared ' int2str(NumberOfBlocks) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.'])
+ disp(['Estimation::mcmc: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ])
+ NumberOfBlocks = past_number_of_blocks;
+ options_.mh_nblck = NumberOfBlocks;
+ end
+ if ~isempty(PriorFile0)
+ if isempty(dir(PriorFile0))
+ disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_prior option')
+ error('Estimation::mcmc: path to prior file is not found')
+ else
+ bayestopt0 = load(PriorFile0);
+ end
+ else
+ bayestopt0 = load([PreviousFolder0 filesep 'prior' filesep 'definition.mat']);
+ end
+ [common_parameters,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
+ new_estimated_parameters = ~ismember(bayestopt_.name,bayestopt0.bayestopt_.name);
+ ix2 = zeros(NumberOfBlocks,npar);
+ ilogpo2 = zeros(NumberOfBlocks,1);
+ ilogpo2(:,1) = record0.LastLogPost;
+ ix2(:,IA) = record0.LastParameters(:,IB);
+ else
+ new_estimated_parameters = true(1,npar);
+ end
% Find initial values for the NumberOfBlocks chains...
- if NumberOfBlocks > 1% Case 1: multiple chains
+ if NumberOfBlocks > 1 || options_.mh_initialize_from_previous_mcmc.status% Case 1: multiple chains
set_dynare_seed('default');
fprintf(fidlog,[' Initial values of the parameters:\n']);
disp('Estimation::mcmc: Searching for initial values...')
- ix2 = zeros(NumberOfBlocks,npar);
- ilogpo2 = zeros(NumberOfBlocks,1);
+ if ~options_.mh_initialize_from_previous_mcmc.status
+ ix2 = zeros(NumberOfBlocks,npar);
+ ilogpo2 = zeros(NumberOfBlocks,1);
+ end
for j=1:NumberOfBlocks
validate = 0;
init_iter = 0;
@@ -133,7 +200,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
candidate = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar);
end
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
- ix2(j,:) = candidate;
+ ix2(j,new_estimated_parameters) = candidate(new_estimated_parameters);
ilogpo2(j) = - feval(TargetFun,ix2(j,:)',dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if ~isfinite(ilogpo2(j)) % if returned log-density is
% Inf or Nan (penalized value)
@@ -212,11 +279,16 @@ if ~options_.load_mh_file && ~options_.mh_recover
record.MAX_nruns=MAX_nruns;
record.AcceptanceRatio = zeros(1,NumberOfBlocks);
record.FunctionEvalPerIteration = NaN(1,NumberOfBlocks);
- for j=1:NumberOfBlocks
- % we set a different seed for the random generator for each block then we record the corresponding random generator state (vector)
- set_dynare_seed(options_.DynareRandomStreams.seed+j);
- % record.Seeds keeps a vector of the random generator state and not the scalar seed despite its name
- [record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state();
+ if options_.mh_initialize_from_previous_mcmc.status
+ record.InitialSeeds = record0.LastSeeds;
+ else
+
+ for j=1:NumberOfBlocks
+ % we set a different seed for the random generator for each block then we record the corresponding random generator state (vector)
+ set_dynare_seed(options_.DynareRandomStreams.seed+j);
+ % record.Seeds keeps a vector of the random generator state and not the scalar seed despite its name
+ [record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state();
+ end
end
record.InitialParameters = ix2;
record.InitialLogPost = ilogpo2;
diff --git a/tests/Makefile.am b/tests/Makefile.am
index ae040c751c14d5e53cbb64727d9a97a64ac4d14f..0b1cbd2f54e9a9cc16c24e6e801c83c80b5774bf 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -44,6 +44,7 @@ MODFILES = \
estimation/fs2000_calibrated_covariance.mod \
estimation/fs2000_model_comparison.mod \
estimation/fs2000_fast.mod \
+ estimation/fs2000_init_from_previous.mod \
estimation/ls2003_endog_prior_restrict_estimation.mod \
estimation/independent_mh/fs2000_independent_mh.mod \
estimation/MH_recover/fs2000_recover.mod \
@@ -647,6 +648,8 @@ AIM/ls2003_2L2L_AIM.o.trs: AIM/ls2003_2L2L.o.trs
estimation/fs2000_model_comparison.m.trs: estimation/fs2000.m.trs estimation/fs2000_initialize_from_calib.m.trs estimation/fs2000_calibrated_covariance.m.trs
estimation/fs2000_model_comparison.o.trs: estimation/fs2000.o.trs estimation/fs2000_initialize_from_calib.o.trs estimation/fs2000_calibrated_covariance.o.trs
+estimation/fs2000_init_from_previous.m.trs: estimation/fs2000.m.trs
+estimation/fs2000_init_from_previous.o.trs: estimation/fs2000.o.trs
optimizers/fs2000_102.m.trs: estimation/fs2000.m.trs
optimizers/fs2000_102.o.trs: estimation/fs2000.o.trs
diff --git a/tests/estimation/fs2000_init_from_previous.mod b/tests/estimation/fs2000_init_from_previous.mod
new file mode 100644
index 0000000000000000000000000000000000000000..f53948cddf83dbf868c5b6c6dd58f93bfc7d2852
--- /dev/null
+++ b/tests/estimation/fs2000_init_from_previous.mod
@@ -0,0 +1,92 @@
+// Test the mh_initialize_from_previous_mcmc option of the estimation command
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m e_b;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*exp(e_b)*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*exp(e_b)*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+steady_state_model;
+ dA = exp(gam);
+ gst = 1/dA;
+ m = mst;
+ khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
+ xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
+ nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
+ n = xist/(nust+xist);
+ P = xist + nust;
+ k = khst*n;
+
+ l = psi*mst*n/( (1-psi)*(1-n) );
+ c = mst/P;
+ d = l - mst + 1;
+ y = k^alp*n^(1-alp)*gst^alp;
+ R = mst/bet;
+ W = l/n;
+ ist = y-c;
+ q = 1 - d;
+
+ e = 1;
+
+ gp_obs = m/dA;
+ gy_obs = dA;
+end;
+
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+estimated_params;
+alp, beta_pdf, 0.356, 0.02;
+bet, beta_pdf, 0.993, 0.002;
+gam, normal_pdf, 0.0085, 0.003;
+mst, normal_pdf, 1.0002, 0.007;
+rho, beta_pdf, 0.129, 0.223;
+psi, beta_pdf, 0.65, 0.05;
+del, beta_pdf, 0.01, 0.005;
+stderr e_a, inv_gamma_pdf, 0.035449, inf;
+stderr e_b, inv_gamma_pdf, 0.01, inf;
+stderr e_m, inv_gamma_pdf, 0.008862, inf;
+end;
+
+varobs gp_obs gy_obs;
+
+% Test mh_initialize_from_previous_mcmc option
+estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=50, mh_nblocks=1, posterior_sampling_method='slice',
+ mh_initialize_from_previous_mcmc, mh_initialize_from_previous_mcmc_directory='./fs2000');
+
+% Provide record file and prior file
+estimation(order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=50, mh_nblocks=1, posterior_sampling_method='slice',
+ mh_initialize_from_previous_mcmc, mh_initialize_from_previous_mcmc_directory='',
+ mh_initialize_from_previous_mcmc_record = './fs2000/metropolis/fs2000_mh_history_0.mat',
+ mh_initialize_from_previous_mcmc_prior = './fs2000/prior/definition.mat');