From 1e4a7c2c717cf3818feb5ce79e11bb88db63f90c Mon Sep 17 00:00:00 2001
From: stepan <stepan@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Thu, 24 Sep 2009 12:48:28 +0000
Subject: [PATCH] * Cosmetic changes. * Bug fix (with octave-3.2.2) in
McMCDiagnostics.m
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2973 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/McMCDiagnostics.m | 458 +++++++++++++++++-----------------
matlab/McMCDiagnostics_core.m | 105 ++++----
2 files changed, 280 insertions(+), 283 deletions(-)
diff --git a/matlab/McMCDiagnostics.m b/matlab/McMCDiagnostics.m
index df798878cf..02c504efe2 100644
--- a/matlab/McMCDiagnostics.m
+++ b/matlab/McMCDiagnostics.m
@@ -37,7 +37,7 @@ TeX = options_.TeX;
nblck = options_.mh_nblck;
% Brooks and Gelman tests need more than one block
if nblck == 1
- return;
+ return;
end
npar = estim_params_.nvx;
npar = npar + estim_params_.nvn;
@@ -48,13 +48,16 @@ MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
load([MhDirectoryName '/' M_.fname '_mh_history.mat'])
-mcfiles = [];
-for blck = 1:nblck
- mcfiles = cat(3,mcfiles,dir([MhDirectoryName ,filesep, M_.fname '_mh*_blck' int2str(blck) '.mat']));
+NumberOfMcFilesPerBlock = size(dir([MhDirectoryName ,filesep, M_.fname '_mh*_blck1.mat']),1);
+for blck = 2:nblck
+ tmp = size(dir([MhDirectoryName ,filesep, M_.fname '_mh*_blck' int2str(blck) '.mat']),1);
+ if tmp~=NumberOfMcFilesPerBlock
+ disp(['McMCDiagnostics:: The number of mh files in chain ' int2str(blck) ' is ' int2str(tmp) ' while'])
+ disp([' the number of mh files in chain 1 is ' int2str(mcfiles) '!'])
+ error('The number of mh files has to be constant across chains!')
+ end
end
-NumberOfMcFilesPerBlock = size(mcfiles,1);
-
PastDraws = sum(record.MhDraws,1);
LastFileNumber = PastDraws(2);
LastLineNumber = record.MhDraws(end,3);
@@ -75,13 +78,12 @@ if NumberOfDraws < Origin
end
if TeX
- fidTeX = fopen([DirectoryName '/' M_.fname '_UnivariateDiagnostics.TeX'],'w');
- fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
- fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
- fprintf(fidTeX,' \n');
+ fidTeX = fopen([DirectoryName '/' M_.fname '_UnivariateDiagnostics.TeX'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
end
-
disp('MCMC Diagnostics: Univariate convergence diagnostic, Brooks and Gelman (1998):')
localVars.MhDirectoryName = MhDirectoryName;
@@ -98,16 +100,12 @@ if isnumeric(options_.parallel),% | isunix, % for the moment exclude unix platfo
fout = McMCDiagnostics_core(localVars,1,npar,0);
UDIAG = fout.UDIAG;
clear fout
-
else
-
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, 1, npar,{},'McMCDiagnostics_core', localVars);
-
UDIAG = fout(1).UDIAG;
for j=2:totCPU,
UDIAG = cat(3,UDIAG ,fout(j).UDIAG);
end
-
end
% for j=1:npar
@@ -162,175 +160,175 @@ clear pmet temp moyenne CSUP CINF csup cinf n linea iter tmp;
pages = floor(npar/3);
k = 0;
for i = 1:pages
- if options_.nograph
- h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)','Visible','off');
- else
- h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)');
- end
- boxplot = 1;
- if TeX
- NAMES = [];
- TEXNAMES = [];
- end
- for j = 1:3 % Loop over parameters
- k = k+1;
- [nam,namtex] = get_the_name(k,TeX);
- for crit = 1:3% Loop over criteria
- if crit == 1
- plt1 = UDIAG(:,1,k);
- plt2 = UDIAG(:,2,k);
- namnam = [nam , ' (Interval)'];
- elseif crit == 2
- plt1 = UDIAG(:,3,k);
- plt2 = UDIAG(:,4,k);
- namnam = [nam , ' (m2)'];
- elseif crit == 3
- plt1 = UDIAG(:,5,k);
- plt2 = UDIAG(:,6,k);
- namnam = [nam , ' (m3)'];
- end
- if TeX
- NAMES = strvcat(NAMES,deblank(namnam));
- TEXNAMES = strvcat(TEXNAMES,deblank(namtex));
- end
- subplot(3,3,boxplot);
- plot(xx,plt1,'-b'); % Pooled
- hold on;
- plot(xx,plt2,'-r'); % Within (mean)
- hold off;
- xlim([xx(1) xx(NumberOfLines)])
- title(namnam,'Interpreter','none')
- boxplot = boxplot + 1;
- end
- end
- eval(['print -depsc2 ' DirectoryName '/' M_.fname '_udiag' int2str(i) '.eps']);
- if ~exist('OCTAVE_VERSION')
- eval(['print -dpdf ' DirectoryName '/' M_.fname '_udiag' int2str(i)]);
- end
- if options_.nograph, set(h,'visible','on'), end
- if ~exist('OCTAVE_VERSION')
- saveas(h,[DirectoryName '/' M_.fname '_udiag' int2str(i) '.fig']);
- end
- if options_.nograph, close(h), end
- if TeX
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- for jj = 1:size(NAMES,1)
- fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
+ if options_.nograph
+ h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)','Visible','off');
+ else
+ h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman,1998)');
end
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_udiag%s}\n',M_.fname,int2str(i));
- fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
- fprintf(fidTeX,'The first, second and third columns are respectively the criteria based on\n');
- fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
- fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(i));
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- end
+ boxplot = 1;
+ if TeX
+ NAMES = [];
+ TEXNAMES = [];
+ end
+ for j = 1:3 % Loop over parameters
+ k = k+1;
+ [nam,namtex] = get_the_name(k,TeX);
+ for crit = 1:3% Loop over criteria
+ if crit == 1
+ plt1 = UDIAG(:,1,k);
+ plt2 = UDIAG(:,2,k);
+ namnam = [nam , ' (Interval)'];
+ elseif crit == 2
+ plt1 = UDIAG(:,3,k);
+ plt2 = UDIAG(:,4,k);
+ namnam = [nam , ' (m2)'];
+ elseif crit == 3
+ plt1 = UDIAG(:,5,k);
+ plt2 = UDIAG(:,6,k);
+ namnam = [nam , ' (m3)'];
+ end
+ if TeX
+ NAMES = strvcat(NAMES,deblank(namnam));
+ TEXNAMES = strvcat(TEXNAMES,deblank(namtex));
+ end
+ subplot(3,3,boxplot);
+ plot(xx,plt1,'-b'); % Pooled
+ hold on;
+ plot(xx,plt2,'-r'); % Within (mean)
+ hold off;
+ xlim([xx(1) xx(NumberOfLines)])
+ title(namnam,'Interpreter','none')
+ boxplot = boxplot + 1;
+ end
+ end
+ eval(['print -depsc2 ' DirectoryName '/' M_.fname '_udiag' int2str(i) '.eps']);
+ if ~exist('OCTAVE_VERSION')
+ eval(['print -dpdf ' DirectoryName '/' M_.fname '_udiag' int2str(i)]);
+ end
+ if options_.nograph, set(h,'visible','on'), end
+ if ~exist('OCTAVE_VERSION')
+ saveas(h,[DirectoryName '/' M_.fname '_udiag' int2str(i) '.fig']);
+ end
+ if options_.nograph, close(h), end
+ if TeX
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ for jj = 1:size(NAMES,1)
+ fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
+ end
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_udiag%s}\n',M_.fname,int2str(i));
+ fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
+ fprintf(fidTeX,'The first, second and third columns are respectively the criteria based on\n');
+ fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
+ fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(i));
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ end
end
reste = npar-k;
if reste
- if reste == 1
- nr = 3;
- nc = 1;
- elseif reste == 2;
- nr = 2;
- nc = 3;
- end
- if TeX
- NAMES = [];
- TEXNAMES = [];
- end
- if options_.nograph
- h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)','Visible','off');
- else
- h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)');
- end
- boxplot = 1;
- for j = 1:reste
- k = k+1;
- [nam,namtex] = get_the_name(k,TeX);
- for crit = 1:3
- if crit == 1
- plt1 = UDIAG(:,1,k);
- plt2 = UDIAG(:,2,k);
- namnam = [nam , ' (Interval)'];
- elseif crit == 2
- plt1 = UDIAG(:,3,k);
- plt2 = UDIAG(:,4,k);
- namnam = [nam , ' (m2)'];
- elseif crit == 3
- plt1 = UDIAG(:,5,k);
- plt2 = UDIAG(:,6,k);
- namnam = [nam , ' (m3)'];
- end
- if TeX
- NAMES = strvcat(NAMES,deblank(namnam));
- TEXNAMES = strvcat(TEXNAMES,deblank(namtex));
- end
- subplot(nr,nc,boxplot);
- plot(xx,plt1,'-b'); % Pooled
- hold on;
- plot(xx,plt2,'-r'); % Within (mean)
- hold off;
- xlim([xx(1) xx(NumberOfLines)]);
- title(namnam,'Interpreter','none');
- boxplot = boxplot + 1;
+ if reste == 1
+ nr = 3;
+ nc = 1;
+ elseif reste == 2;
+ nr = 2;
+ nc = 3;
end
- end
- eval(['print -depsc2 ' DirectoryName '/' M_.fname '_udiag' int2str(pages+1) '.eps']);
- if ~exist('OCTAVE_VERSION')
- eval(['print -dpdf ' DirectoryName '/' M_.fname '_udiag' int2str(pages+1)]);
- end
- if options_.nograph, set(h,'visible','on'), end
- if ~exist('OCTAVE_VERSION')
- saveas(h,[DirectoryName '/' M_.fname '_udiag' int2str(pages+1) '.fig']);
- end
- if options_.nograph, close(h), end
- if TeX
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- for jj = 1:size(NAMES,1);
- fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
- end
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_udiag%s}\n',M_.fname,int2str(pages+1));
- if reste == 2
- fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
- fprintf(fidTeX,'The first, second and third columns are respectively the criteria based on\n');
- fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
- elseif reste == 1
- fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
- fprintf(fidTeX,'The first, second and third rows are respectively the criteria based on\n');
- fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
+ if TeX
+ NAMES = [];
+ TEXNAMES = [];
+ end
+ if options_.nograph
+ h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)','Visible','off');
+ else
+ h = figure('Name','MCMC univariate diagnostic (Brooks and Gelman, 1998)');
+ end
+ boxplot = 1;
+ for j = 1:reste
+ k = k+1;
+ [nam,namtex] = get_the_name(k,TeX);
+ for crit = 1:3
+ if crit == 1
+ plt1 = UDIAG(:,1,k);
+ plt2 = UDIAG(:,2,k);
+ namnam = [nam , ' (Interval)'];
+ elseif crit == 2
+ plt1 = UDIAG(:,3,k);
+ plt2 = UDIAG(:,4,k);
+ namnam = [nam , ' (m2)'];
+ elseif crit == 3
+ plt1 = UDIAG(:,5,k);
+ plt2 = UDIAG(:,6,k);
+ namnam = [nam , ' (m3)'];
+ end
+ if TeX
+ NAMES = strvcat(NAMES,deblank(namnam));
+ TEXNAMES = strvcat(TEXNAMES,deblank(namtex));
+ end
+ subplot(nr,nc,boxplot);
+ plot(xx,plt1,'-b'); % Pooled
+ hold on;
+ plot(xx,plt2,'-r'); % Within (mean)
+ hold off;
+ xlim([xx(1) xx(NumberOfLines)]);
+ title(namnam,'Interpreter','none');
+ boxplot = boxplot + 1;
+ end
+ end
+ eval(['print -depsc2 ' DirectoryName '/' M_.fname '_udiag' int2str(pages+1) '.eps']);
+ if ~exist('OCTAVE_VERSION')
+ eval(['print -dpdf ' DirectoryName '/' M_.fname '_udiag' int2str(pages+1)]);
+ end
+ if options_.nograph, set(h,'visible','on'), end
+ if ~exist('OCTAVE_VERSION')
+ saveas(h,[DirectoryName '/' M_.fname '_udiag' int2str(pages+1) '.fig']);
+ end
+ if options_.nograph, close(h), end
+ if TeX
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ for jj = 1:size(NAMES,1);
+ fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
+ end
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_udiag%s}\n',M_.fname,int2str(pages+1));
+ if reste == 2
+ fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
+ fprintf(fidTeX,'The first, second and third columns are respectively the criteria based on\n');
+ fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
+ elseif reste == 1
+ fprintf(fidTeX,'\\caption{Univariate convergence diagnostics for the Metropolis-Hastings.\n');
+ fprintf(fidTeX,'The first, second and third rows are respectively the criteria based on\n');
+ fprintf(fidTeX,'the eighty percent interval, the second and third moments.}');
+ end
+ fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(pages+1));
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ fprintf(fidTeX,'% End Of TeX file.');
+ fclose(fidTeX);
end
- fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(pages+1));
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- fprintf(fidTeX,'% End Of TeX file.');
- fclose(fidTeX);
- end
end % if reste > 0
clear UDIAG;
%%
%% Multivariate diagnostic.
%%
if TeX
- fidTeX = fopen([DirectoryName '/' M_.fname '_MultivariateDiagnostics.TeX'],'w');
- fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
- fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
- fprintf(fidTeX,' \n');
- NAMES = [];
+ fidTeX = fopen([DirectoryName '/' M_.fname '_MultivariateDiagnostics.TeX'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+ NAMES = [];
end
tmp = zeros(NumberOfDraws*nblck,3);
MDIAG = zeros(NumberOfLines,6);
for b = 1:nblck
- startline = 0;
- for n = 1:NumberOfMcFilesPerBlock
- %load([MhDirectoryName '/' mcfiles(n,1,b).name],'logpo2');
- load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) '.mat'],'logpo2');
- nlogpo2 = size(logpo2,1);
- tmp((b-1)*NumberOfDraws+startline+(1:nlogpo2),1) = logpo2;
- startline = startline+nlogpo2;
- end
+ startline = 0;
+ for n = 1:NumberOfMcFilesPerBlock
+ %load([MhDirectoryName '/' mcfiles(n,1,b).name],'logpo2');
+ load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) '.mat'],'logpo2');
+ nlogpo2 = size(logpo2,1);
+ tmp((b-1)*NumberOfDraws+startline+(1:nlogpo2),1) = logpo2;
+ startline = startline+nlogpo2;
+ end
% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'logpo2');
% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'logpo2');
% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+ MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = logpo2;
@@ -341,82 +339,82 @@ tmp(:,3) = kron(ones(nblck,1),time');
tmp = sortrows(tmp,1);
ligne = 0;
for iter = Origin:StepSize:NumberOfDraws
- ligne = ligne+1;
- linea = ceil(0.5*iter);
- n = iter-linea+1;
- cinf = round(n*ALPHA/2);
- csup = round(n*(1-ALPHA/2));
- CINF = round(nblck*n*ALPHA/2);
- CSUP = round(nblck*n*(1-ALPHA/2));
- temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
- MDIAG(ligne,1) = temp(CSUP,1)-temp(CINF,1);
- moyenne = mean(temp(:,1));%% Pooled mean.
- MDIAG(ligne,3) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
- MDIAG(ligne,5) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
- for i=1:nblck
- pmet = temp(find(temp(:,2)==i));
- MDIAG(ligne,2) = MDIAG(ligne,2) + pmet(csup,1)-pmet(cinf,1);
- moyenne = mean(pmet,1); %% Within mean.
- MDIAG(ligne,4) = MDIAG(ligne,4) + sum((pmet(:,1)-moyenne).^2)/(n-1);
- MDIAG(ligne,6) = MDIAG(ligne,6) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
- end
+ ligne = ligne+1;
+ linea = ceil(0.5*iter);
+ n = iter-linea+1;
+ cinf = round(n*ALPHA/2);
+ csup = round(n*(1-ALPHA/2));
+ CINF = round(nblck*n*ALPHA/2);
+ CSUP = round(nblck*n*(1-ALPHA/2));
+ temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
+ MDIAG(ligne,1) = temp(CSUP,1)-temp(CINF,1);
+ moyenne = mean(temp(:,1));%% Pooled mean.
+ MDIAG(ligne,3) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
+ MDIAG(ligne,5) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
+ for i=1:nblck
+ pmet = temp(find(temp(:,2)==i));
+ MDIAG(ligne,2) = MDIAG(ligne,2) + pmet(csup,1)-pmet(cinf,1);
+ moyenne = mean(pmet,1); %% Within mean.
+ MDIAG(ligne,4) = MDIAG(ligne,4) + sum((pmet(:,1)-moyenne).^2)/(n-1);
+ MDIAG(ligne,6) = MDIAG(ligne,6) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
+ end
end
MDIAG(:,[2 4 6],:) = MDIAG(:,[2 4 6],:)/nblck;
if options_.nograph
- h = figure('Name','Multivatiate diagnostic','Visible','off');
+ h = figure('Name','Multivatiate diagnostic','Visible','off');
else
- h = figure('Name','Multivatiate diagnostic');
+ h = figure('Name','Multivatiate diagnostic');
end
boxplot = 1;
for crit = 1:3
- if crit == 1
- plt1 = MDIAG(:,1);
- plt2 = MDIAG(:,2);
- namnam = 'Interval';
- elseif crit == 2
- plt1 = MDIAG(:,3);
- plt2 = MDIAG(:,4);
- namnam = 'm2';
- elseif crit == 3
- plt1 = MDIAG(:,5);
- plt2 = MDIAG(:,6);
- namnam = 'm3';
- end
- if TeX
- NAMES = strvcat(NAMES,namnam);
- end
- subplot(3,1,boxplot);
- plot(xx,plt1,'-b'); % Pooled
- hold on
- plot(xx,plt2,'-r'); % Within (mean)
- hold off
- xlim([xx(1) xx(NumberOfLines)])
- title(namnam,'Interpreter','none');
- boxplot = boxplot + 1;
+ if crit == 1
+ plt1 = MDIAG(:,1);
+ plt2 = MDIAG(:,2);
+ namnam = 'Interval';
+ elseif crit == 2
+ plt1 = MDIAG(:,3);
+ plt2 = MDIAG(:,4);
+ namnam = 'm2';
+ elseif crit == 3
+ plt1 = MDIAG(:,5);
+ plt2 = MDIAG(:,6);
+ namnam = 'm3';
+ end
+ if TeX
+ NAMES = strvcat(NAMES,namnam);
+ end
+ subplot(3,1,boxplot);
+ plot(xx,plt1,'-b'); % Pooled
+ hold on
+ plot(xx,plt2,'-r'); % Within (mean)
+ hold off
+ xlim([xx(1) xx(NumberOfLines)])
+ title(namnam,'Interpreter','none');
+ boxplot = boxplot + 1;
end
eval(['print -depsc2 ' DirectoryName '/' M_.fname '_mdiag.eps']);
if ~exist('OCTAVE_VERSION')
- eval(['print -dpdf ' DirectoryName '/' M_.fname '_mdiag']);
+ eval(['print -dpdf ' DirectoryName '/' M_.fname '_mdiag']);
end
if options_.nograph, set(h,'visible','on'), end
if ~exist('OCTAVE_VERSION')
- saveas(h,[DirectoryName '/' M_.fname '_mdiag.fig']);
+ saveas(h,[DirectoryName '/' M_.fname '_mdiag.fig']);
end
if options_.nograph, close(h), end
if TeX
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- for jj = 1:3
- fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),' ');
- end
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_mdiag}\n',M_.fname);
- fprintf(fidTeX,'\\caption{Multivariate convergence diagnostics for the Metropolis-Hastings.\n');
- fprintf(fidTeX,'The first, second and third rows are respectively the criteria based on\n');
- fprintf(fidTeX,'the eighty percent interval, the second and third moments. The different \n');
- fprintf(fidTeX,'parameters are aggregated using the posterior kernel.}');
- fprintf(fidTeX,'\\label{Fig:MultivariateDiagnostics}\n');
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- fprintf(fidTeX,'% End Of TeX file.');
- fclose(fidTeX);
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ for jj = 1:3
+ fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),' ');
+ end
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_mdiag}\n',M_.fname);
+ fprintf(fidTeX,'\\caption{Multivariate convergence diagnostics for the Metropolis-Hastings.\n');
+ fprintf(fidTeX,'The first, second and third rows are respectively the criteria based on\n');
+ fprintf(fidTeX,'the eighty percent interval, the second and third moments. The different \n');
+ fprintf(fidTeX,'parameters are aggregated using the posterior kernel.}');
+ fprintf(fidTeX,'\\label{Fig:MultivariateDiagnostics}\n');
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ fprintf(fidTeX,'% End Of TeX file.');
+ fclose(fidTeX);
end
\ No newline at end of file
diff --git a/matlab/McMCDiagnostics_core.m b/matlab/McMCDiagnostics_core.m
index 1dba7e6431..0f1c7f01bd 100644
--- a/matlab/McMCDiagnostics_core.m
+++ b/matlab/McMCDiagnostics_core.m
@@ -6,7 +6,7 @@ end
struct2local(myinputs);
if ~exist('MhDirectoryName'),
- MhDirectoryName = CheckPath('metropolis');
+ MhDirectoryName = CheckPath('metropolis');
end
ALPHA = 0.2; % increase too much with the number of simulations.
@@ -14,68 +14,67 @@ tmp = zeros(NumberOfDraws*nblck,3);
UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
% keyboard;
- if whoiam
-% keyboard;
- waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
-% waitbarTitle=['McMCDiagnostics ',Parallel(ThisMatlab).PcName];
- if Parallel(ThisMatlab).Local,
+if whoiam
+ % keyboard;
+ waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
+ % waitbarTitle=['McMCDiagnostics ',Parallel(ThisMatlab).PcName];
+ if Parallel(ThisMatlab).Local,
waitbarTitle=['Local '];
- else
+ else
waitbarTitle=[Parallel(ThisMatlab).PcName];
- end
- fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo);
-
- end
+ end
+ fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo);
+end
for j=fpar:npar,
fprintf(' Parameter %d... ',j);
- for b = 1:nblck
- startline = 0;
- for n = 1:NumberOfMcFilesPerBlock
- %load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
- load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
- '.mat'],'x2');
- nx2 = size(x2,1);
- tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
-% clear x2;
- startline = startline + nx2;
- end
+ for b = 1:nblck
+ startline = 0;
+ for n = 1:NumberOfMcFilesPerBlock
+ %load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
+ load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
+ '.mat'],'x2');
+ nx2 = size(x2,1);
+ tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
+ % clear x2;
+ startline = startline + nx2;
+ end
% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
% $$$ clear x2;
% $$$ startline = startline + LastLineNumber;
- end
- tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
- tmp(:,3) = kron(ones(nblck,1),time');
- tmp = sortrows(tmp,1);
- ligne = 0;
- for iter = Origin:StepSize:NumberOfDraws
- ligne = ligne+1;
- linea = ceil(0.5*iter);
- n = iter-linea+1;
- cinf = round(n*ALPHA/2);
- csup = round(n*(1-ALPHA/2));
- CINF = round(nblck*n*ALPHA/2);
- CSUP = round(nblck*n*(1-ALPHA/2));
- temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
- UDIAG(ligne,1,j-fpar+1) = temp(CSUP,1)-temp(CINF,1);
- moyenne = mean(temp(:,1));%% Pooled mean.
- UDIAG(ligne,3,j-fpar+1) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
- UDIAG(ligne,5,j-fpar+1) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
- for i=1:nblck
- pmet = temp(find(temp(:,2)==i));
- UDIAG(ligne,2,j-fpar+1) = UDIAG(ligne,2,j-fpar+1) + pmet(csup,1)-pmet(cinf,1);
- moyenne = mean(pmet,1); %% Within mean.
- UDIAG(ligne,4,j-fpar+1) = UDIAG(ligne,4,j-fpar+1) + sum((pmet(:,1)-moyenne).^2)/(n-1);
- UDIAG(ligne,6,j-fpar+1) = UDIAG(ligne,6,j-fpar+1) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
end
- end
- fprintf('Done! \n');
- if whoiam,
-% keyboard;
- waitbarString = [ 'Parameter ' int2str(j) '/' int2str(npar) ' done.'];
- fMessageStatus((j-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo)
- end
+ tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
+ tmp(:,3) = kron(ones(nblck,1),time');
+ tmp = sortrows(tmp,1);
+ ligne = 0;
+ for iter = Origin:StepSize:NumberOfDraws
+ ligne = ligne+1;
+ linea = ceil(0.5*iter);
+ n = iter-linea+1;
+ cinf = round(n*ALPHA/2);
+ csup = round(n*(1-ALPHA/2));
+ CINF = round(nblck*n*ALPHA/2);
+ CSUP = round(nblck*n*(1-ALPHA/2));
+ temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
+ UDIAG(ligne,1,j-fpar+1) = temp(CSUP,1)-temp(CINF,1);
+ moyenne = mean(temp(:,1));%% Pooled mean.
+ UDIAG(ligne,3,j-fpar+1) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
+ UDIAG(ligne,5,j-fpar+1) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
+ for i=1:nblck
+ pmet = temp(find(temp(:,2)==i));
+ UDIAG(ligne,2,j-fpar+1) = UDIAG(ligne,2,j-fpar+1) + pmet(csup,1)-pmet(cinf,1);
+ moyenne = mean(pmet,1); %% Within mean.
+ UDIAG(ligne,4,j-fpar+1) = UDIAG(ligne,4,j-fpar+1) + sum((pmet(:,1)-moyenne).^2)/(n-1);
+ UDIAG(ligne,6,j-fpar+1) = UDIAG(ligne,6,j-fpar+1) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
+ end
+ end
+ fprintf('Done! \n');
+ if whoiam,
+ % keyboard;
+ waitbarString = [ 'Parameter ' int2str(j) '/' int2str(npar) ' done.'];
+ fMessageStatus((j-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab), MasterName, DyMo)
+ end
end
myoutput.UDIAG = UDIAG;
\ No newline at end of file
--
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