From 7e221e5d311a5c2b6853a165b5c7979acb8ea5f2 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Sun, 5 Aug 2012 15:27:14 +0200
Subject: [PATCH] factoring setting of bayestop_.penalty = Inf in Metropolis
---
matlab/metropolis_hastings_initialization.m | 5 ++---
matlab/random_walk_metropolis_hastings.m | 6 ++++++
matlab/random_walk_metropolis_hastings_core.m | 3 ---
3 files changed, 8 insertions(+), 6 deletions(-)
diff --git a/matlab/metropolis_hastings_initialization.m b/matlab/metropolis_hastings_initialization.m
index b248ad2542..5b5f255626 100644
--- a/matlab/metropolis_hastings_initialization.m
+++ b/matlab/metropolis_hastings_initialization.m
@@ -59,8 +59,6 @@ if ~isempty(M_.bvar)
ModelName = [M_.fname '_bvar'];
end
-bayestopt_.penalty = Inf;
-
MhDirectoryName = CheckPath('metropolis',M_.dname);
nblck = options_.mh_nblck;
@@ -113,7 +111,8 @@ if ~options_.load_mh_file && ~options_.mh_recover
if all(candidate(:) > mh_bounds(:,1)) && all(candidate(:) < mh_bounds(:,2))
ix2(j,:) = candidate;
ilogpo2(j) = - feval(TargetFun,ix2(j,:)',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
- if ilogpo2(j) <= - bayestopt_.penalty+1e-6
+ if ~isfinite(ilogpo2(j)) % if returned log-density is
+ % Inf or Nan (penalized value)
validate = 0;
else
fprintf(fidlog,[' Blck ' int2str(j) ':\n']);
diff --git a/matlab/random_walk_metropolis_hastings.m b/matlab/random_walk_metropolis_hastings.m
index c5e982921c..6e5d782d44 100644
--- a/matlab/random_walk_metropolis_hastings.m
+++ b/matlab/random_walk_metropolis_hastings.m
@@ -56,6 +56,12 @@ 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/>.
+
+% In Metropolis, we set penalty to Inf to as to reject all parameter sets
+% triggering error in target density computation
+
+bayestopt_.penalty = Inf;
+
%%%%
%%%% Initialization of the random walk metropolis-hastings chains.
%%%%
diff --git a/matlab/random_walk_metropolis_hastings_core.m b/matlab/random_walk_metropolis_hastings_core.m
index 8bb4d44b1b..84f180c97d 100644
--- a/matlab/random_walk_metropolis_hastings_core.m
+++ b/matlab/random_walk_metropolis_hastings_core.m
@@ -103,9 +103,6 @@ if whoiam
bayestopt_.p3,bayestopt_.p4,1);
end
-% (re)Set the penalty
-bayestopt_.penalty = Inf;
-
MhDirectoryName = CheckPath('metropolis',M_.dname);
options_.lik_algo = 1;
--
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