From 7959102d43684a123fcadcff997c134327ee112a Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Sun, 5 Aug 2012 15:10:21 +0200
Subject: [PATCH] removed global and varargin in Metropolis routines
---
matlab/metropolis_hastings_initialization.m | 19 +++++++----
matlab/random_walk_metropolis_hastings.m | 34 +++++++++++--------
matlab/random_walk_metropolis_hastings_core.m | 11 +++---
3 files changed, 39 insertions(+), 25 deletions(-)
diff --git a/matlab/metropolis_hastings_initialization.m b/matlab/metropolis_hastings_initialization.m
index 2d6e7f07d1..b248ad2542 100644
--- a/matlab/metropolis_hastings_initialization.m
+++ b/matlab/metropolis_hastings_initialization.m
@@ -1,5 +1,7 @@
function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
- metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin)
+ metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
+%function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] =
+% metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, dataset_,options_,M_,estim_params_,bayestopt_,oo_)
% Metropolis-Hastings initialization.
%
% INPUTS
@@ -8,7 +10,12 @@ function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck,
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
% o vv [double] (p*p) matrix, posterior covariance matrix (at the mode).
% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
-% o varargin list of argument following mh_bounds
+% o dataset_ data structure
+% o options_ options structure
+% o M_ model structure
+% o estim_params_ estimated parameters structure
+% o bayestopt_ estimation options structure
+% o oo_ outputs structure
%
% OUTPUTS
% None
@@ -33,8 +40,6 @@ function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck,
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-global M_ options_ bayestopt_
-
ix2 = [];
ilogpo2 = [];
ModelName = [];
@@ -54,7 +59,7 @@ if ~isempty(M_.bvar)
ModelName = [M_.fname '_bvar'];
end
-bayestopt_.penalty = 1e8;
+bayestopt_.penalty = Inf;
MhDirectoryName = CheckPath('metropolis',M_.dname);
@@ -107,7 +112,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
candidate = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar);
if all(candidate(:) > mh_bounds(:,1)) && all(candidate(:) < mh_bounds(:,2))
ix2(j,:) = candidate;
- ilogpo2(j) = - feval(TargetFun,ix2(j,:)',varargin{:});
+ ilogpo2(j) = - feval(TargetFun,ix2(j,:)',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
if ilogpo2(j) <= - bayestopt_.penalty+1e-6
validate = 0;
else
@@ -142,7 +147,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
candidate = transpose(xparam1);
if all(candidate' > mh_bounds(:,1)) && all(candidate' < mh_bounds(:,2))
ix2 = candidate;
- ilogpo2 = - feval(TargetFun,ix2',varargin{:});
+ ilogpo2 = - feval(TargetFun,ix2',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
disp('MH: Initialization at the posterior mode.')
disp(' ')
fprintf(fidlog,[' Blck ' int2str(1) 'params:\n']);
diff --git a/matlab/random_walk_metropolis_hastings.m b/matlab/random_walk_metropolis_hastings.m
index 48c20fa947..c5e982921c 100644
--- a/matlab/random_walk_metropolis_hastings.m
+++ b/matlab/random_walk_metropolis_hastings.m
@@ -1,5 +1,5 @@
-function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin)
-%function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,varargin)
+function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
+%function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
% Random walk Metropolis-Hastings algorithm.
%
% INPUTS
@@ -8,7 +8,12 @@ function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
% o vv [double] (p*p) matrix, posterior covariance matrix (at the mode).
% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
-% o varargin list of argument following mh_bounds
+% o dataset_ data structure
+% o options_ options structure
+% o M_ model structure
+% o estim_params_ estimated parameters structure
+% o bayestopt_ estimation options structure
+% o oo_ outputs structure
%
% OUTPUTS
% o record [struct] structure describing the iterations
@@ -51,12 +56,11 @@ function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-global M_ options_ bayestopt_ estim_params_ oo_
%%%%
%%%% Initialization of the random walk metropolis-hastings chains.
%%%%
[ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
- metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, varargin{:});
+ metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
@@ -93,10 +97,16 @@ localVars = struct('TargetFun', TargetFun, ...
'nruns', nruns, ...
'NewFile', NewFile, ...
'MAX_nruns', MAX_nruns, ...
- 'd', d);
-localVars.InitSizeArray=InitSizeArray;
-localVars.record=record;
-localVars.varargin=varargin;
+ 'd', d, ...
+ 'InitSizeArray',InitSizeArray, ...
+ 'record', record, ...
+ 'dataset_', dataset_, ...
+ 'options_', options_, ...
+ 'M_',M_, ...
+ 'bayestopt_', bayestopt_, ...
+ 'estim_params_', estim_params_, ...
+ 'oo_', oo_,...
+ 'varargin',[]);
% The user don't want to use parallel computing, or want to compute a
@@ -110,11 +120,7 @@ if isnumeric(options_.parallel) || (nblck-fblck)==0,
% Parallel in Local or remote machine.
else
% Global variables for parallel routines.
- globalVars = struct('M_',M_, ...
- 'options_', options_, ...
- 'bayestopt_', bayestopt_, ...
- 'estim_params_', estim_params_, ...
- 'oo_', oo_);
+ globalVars = struct();
% which files have to be copied to run remotely
NamFileInput(1,:) = {'',[ModelName '_static.m']};
diff --git a/matlab/random_walk_metropolis_hastings_core.m b/matlab/random_walk_metropolis_hastings_core.m
index 1898d478ab..8bb4d44b1b 100644
--- a/matlab/random_walk_metropolis_hastings_core.m
+++ b/matlab/random_walk_metropolis_hastings_core.m
@@ -68,9 +68,6 @@ if nargin<4,
whoiam=0;
end
-
-global bayestopt_ estim_params_ options_ M_ oo_
-
% reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
@@ -90,6 +87,12 @@ MAX_nruns=myinputs.MAX_nruns;
d=myinputs.d;
InitSizeArray=myinputs.InitSizeArray;
record=myinputs.record;
+dataset_ = myinputs.dataset_;
+bayestopt_ = myinputs.bayestopt_;
+estim_params_ = myinputs.estim_params_;
+options_ = myinputs.options_;
+M_ = myinputs.M_;
+oo_ = myinputs.oo_;
varargin=myinputs.varargin;
% Necessary only for remote computing!
@@ -168,7 +171,7 @@ for b = fblck:nblck,
par = feval(ProposalFun, ix2(b,:), proposal_covariance_Cholesky_decomposition, n);
if all( par(:) > mh_bounds(:,1) ) && all( par(:) < mh_bounds(:,2) )
try
- logpost = - feval(TargetFun, par(:),varargin{:});
+ logpost = - feval(TargetFun, par(:),dataset_,options_,M_,estim_params_,bayestopt_,oo_);
catch
logpost = -inf;
end
--
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