diff --git a/mex/sources/estimation/KalmanFilter.cc b/mex/sources/estimation/KalmanFilter.cc
index af7389aa840becfe6816a782c3867cec4b6f86d1..fe2a2d29367883fa0551533d46853028af0dd827 100644
--- a/mex/sources/estimation/KalmanFilter.cc
+++ b/mex/sources/estimation/KalmanFilter.cc
@@ -80,15 +80,24 @@ KalmanFilter::compute(const MatrixConstView &dataView, VectorView &steadyState,
VectorView &vll, MatrixView &detrendedDataView,
size_t start, size_t period, double &penalty, int &info)
{
- if(period==0) // initialise all KF matrices
- initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T, Pstar, Pinf,
- penalty, dataView, detrendedDataView, info);
- else // initialise parameter dependent KF matrices only but not Ps
- initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T,
- penalty, dataView, detrendedDataView, info);
-
- double lik= filter(detrendedDataView, H, vll, start, info);
-
+ double lik=INFINITY;
+ try
+ {
+ if(period==0) // initialise all KF matrices
+ initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T, Pstar, Pinf,
+ penalty, dataView, detrendedDataView, info);
+ else // initialise parameter dependent KF matrices only but not Ps
+ initKalmanFilter.initialize(steadyState, deepParams, R, Q, RQRt, T,
+ penalty, dataView, detrendedDataView, info);
+
+ lik= filter(detrendedDataView, H, vll, start, info);
+ }
+ catch (const DecisionRules::BlanchardKahnException &bke)
+ {
+ info =22;
+ return penalty;
+ }
+
if (info != 0)
return penalty;
else
@@ -97,7 +106,7 @@ KalmanFilter::compute(const MatrixConstView &dataView, VectorView &steadyState,
};
/**
- * 30:*
+ * Multi-variate standard Kalman Filter
*/
double
KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, VectorView &vll, size_t start, int &info)
@@ -110,6 +119,7 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
if (nonstationary)
{
// K=PZ'
+ //blas::gemm("N", "T", 1.0, Pstar, Z, 0.0, K);
blas::symm("L", "U", 1.0, Pstar, Zt, 0.0, K);
//F=ZPZ' +H = ZK+H
@@ -141,6 +151,7 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
Pstar(i,j)*=0.5;
// K=PZ'
+ //blas::gemm("N", "T", 1.0, Pstar, Z, 0.0, K);
blas::symm("L", "U", 1.0, Pstar, Zt, 0.0, K);
//F=ZPZ' +H = ZK+H
@@ -167,7 +178,8 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
Fdet = 1;
for (size_t d = 1; d <= p; ++d)
Fdet *= FUTP(d + (d-1)*d/2 -1);
- Fdet *=Fdet;
+ Fdet *=Fdet;//*pow(-1.0,p);
+
logFdet=log(fabs(Fdet));
Ptmp = Pstar;
@@ -181,10 +193,6 @@ KalmanFilter::filter(const MatrixView &detrendedDataView, const Matrix &H, Vect
// 3) Pt+1= Ptmp*T' +RQR'
Pstar = RQRt;
blas::gemm("N", "T", 1.0, Ptmp, T, 1.0, Pstar);
- //enforce Pstar symmetry with P=(P+P')/2=0.5P+0.5P'
- //blas::gemm("N", "T", 0.5, Ptmp, T, 0.5, Pstar);
- //mat::transpose(Ptmp, Pstar);
- //mat::add(Pstar,Ptmp);
if (t>0)
nonstationary = mat::isDiff(KFinv, oldKFinv, riccati_tol);
diff --git a/mex/sources/estimation/LogLikelihoodSubSample.cc b/mex/sources/estimation/LogLikelihoodSubSample.cc
index f860cbe4f780eedcbf4740b393e3aa87e0408840..a2e230b67d1295fb9ef7f199b2f83a0f2a192c6f 100644
--- a/mex/sources/estimation/LogLikelihoodSubSample.cc
+++ b/mex/sources/estimation/LogLikelihoodSubSample.cc
@@ -36,7 +36,7 @@ LogLikelihoodSubSample::LogLikelihoodSubSample(const std::string &dynamicDllFile
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, int &INinfo) :
- estiParDesc(INestiParDesc),
+ startPenalty(-1e8),estiParDesc(INestiParDesc),
kalmanFilter(dynamicDllFile, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
varobs, riccati_tol, lyapunov_tol, INinfo), eigQ(n_exo), eigH(varobs.size()), info(INinfo)
{
@@ -46,6 +46,8 @@ double
LogLikelihoodSubSample::compute(VectorView &steadyState, const MatrixConstView &dataView, const Vector &estParams, Vector &deepParams,
Matrix &Q, Matrix &H, VectorView &vll, MatrixView &detrendedDataView, int &info, size_t start, size_t period)
{
+ penalty=startPenalty;
+ logLikelihood=startPenalty;
updateParams(estParams, deepParams, Q, H, period);
if (info == 0)
@@ -84,17 +86,11 @@ LogLikelihoodSubSample::updateParams(const Vector &estParams, Vector &deepParams
break;
case EstimatedParameter::measureErr_SD:
-#ifdef DEBUG
- mexPrintf("Setting of H var_endo\n");
-#endif
k = estiParDesc.estParams[i].ID1;
H(k, k) = estParams(i)*estParams(i);
break;
case EstimatedParameter::shock_Corr:
-#ifdef DEBUG
- mexPrintf("Setting of Q corrx\n");
-#endif
k1 = estiParDesc.estParams[i].ID1;
k2 = estiParDesc.estParams[i].ID2;
Q(k1, k2) = estParams(i)*sqrt(Q(k1, k1)*Q(k2, k2));
@@ -128,9 +124,6 @@ LogLikelihoodSubSample::updateParams(const Vector &estParams, Vector &deepParams
break;
case EstimatedParameter::measureErr_Corr:
-#ifdef DEBUG
- mexPrintf("Setting of H corrn\n");
-#endif
k1 = estiParDesc.estParams[i].ID1;
k2 = estiParDesc.estParams[i].ID2;
// H(k1,k2) = xparam1(i)*sqrt(H(k1,k1)*H(k2,k2));
diff --git a/mex/sources/estimation/LogLikelihoodSubSample.hh b/mex/sources/estimation/LogLikelihoodSubSample.hh
index ec339b2ca8e9266b6427d74019d22885d884000f..eeeca471667767491b5ee63b69664ac841d91206 100644
--- a/mex/sources/estimation/LogLikelihoodSubSample.hh
+++ b/mex/sources/estimation/LogLikelihoodSubSample.hh
@@ -43,13 +43,14 @@ public:
virtual ~LogLikelihoodSubSample();
private:
- double penalty;
+ double startPenalty, penalty;
double logLikelihood;
EstimatedParametersDescription &estiParDesc;
KalmanFilter kalmanFilter;
VDVEigDecomposition eigQ;
VDVEigDecomposition eigH;
int &info;
+
// methods
void updateParams(const Vector &estParams, Vector &deepParams,
Matrix &Q, Matrix &H, size_t period);
diff --git a/mex/sources/estimation/RandomWalkMetropolisHastings.cc b/mex/sources/estimation/RandomWalkMetropolisHastings.cc
index d22f5f4c56872d510ecd46a3e44ea7b0815a6f84..87fdb88118c13370499f76125f9405f122f493ec 100644
--- a/mex/sources/estimation/RandomWalkMetropolisHastings.cc
+++ b/mex/sources/estimation/RandomWalkMetropolisHastings.cc
@@ -19,17 +19,27 @@
#include "RandomWalkMetropolisHastings.hh"
+#include <iostream>
+#include <fstream>
+
double
RandomWalkMetropolisHastings::compute(VectorView &mhLogPostDens, MatrixView &mhParams, Matrix &steadyState,
Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H,
const size_t presampleStart, int &info, const size_t startDraw, size_t nMHruns, const Matrix &Dscale,
LogPosteriorDensity &lpd, Prior &drawDistribution, EstimatedParametersDescription &epd)
{
+ //streambuf *likbuf, *drawbuf *backup;
+ std::ofstream urandfilestr, drawfilestr;
+ urandfilestr.open ("urand.csv");
+ drawfilestr.open ("paramdraws.csv");
+
bool overbound;
- double newLogpost, logpost;
+ double newLogpost, logpost, urand;
size_t count, accepted = 0;
parDraw = estParams;
+
logpost = - lpd.compute(steadyState, estParams, deepParams, data, Q, H, presampleStart, info);
+
for (size_t run = startDraw - 1; run < nMHruns; ++run)
{
overbound=false;
@@ -49,25 +59,36 @@ RandomWalkMetropolisHastings::compute(VectorView &mhLogPostDens, MatrixView &mhP
{
newLogpost = - lpd.compute(steadyState, newParDraw, deepParams, data, Q, H, presampleStart, info);
}
- catch(...)
+ catch(const std::exception &e)
+ {
+ throw; // for now handle the system and other errors higher-up
+ }
+ catch (...)
{
newLogpost = -INFINITY;
}
}
- if ((newLogpost > -INFINITY) && log(uniform.drand()) < newLogpost-logpost)
+ urand=uniform.drand();
+ if ((newLogpost > -INFINITY) && log(urand) < newLogpost-logpost)
{
- mat::get_row(mhParams, run) = newParDraw;
parDraw = newParDraw;
- mhLogPostDens(run) = newLogpost;
logpost = newLogpost;
accepted++;
}
- else
- {
- mat::get_row(mhParams, run) = parDraw;
- mhLogPostDens(run) = logpost;
- }
+ mat::get_row(mhParams, run) = parDraw;
+ mhLogPostDens(run) = logpost;
+
+ //urandfilestr.write(urand);
+ urandfilestr << urand << "\n"; //","
+ for (size_t c=0;c<newParDraw.getSize()-1;++c)
+ drawfilestr << newParDraw(c) << ",";
+// drawfilestr.write(newParDraw(i));
+ drawfilestr << newParDraw(newParDraw.getSize()-1) << "\n";
}
+
+ urandfilestr.close();
+ drawfilestr.close();
+
return (double) accepted/(nMHruns-startDraw+1);
}
diff --git a/mex/sources/estimation/logMHMCMCposterior.cc b/mex/sources/estimation/logMHMCMCposterior.cc
index 6fd8020470bbade68ecf2bc70a3162a80d50c504..6a5ea05ac22a8e2f4f3a2f6de7855135525bb287 100644
--- a/mex/sources/estimation/logMHMCMCposterior.cc
+++ b/mex/sources/estimation/logMHMCMCposterior.cc
@@ -28,8 +28,10 @@
#include "RandomWalkMetropolisHastings.hh"
#include "mex.h"
-#ifdef MATLAB_MEX_FILE
+#if defined MATLAB_MEX_FILE
# include "mat.h"
+#else // OCTAVE_MEX_FILE e.t.c.
+#include "matio.h"
#endif
#if defined(_WIN32) || defined(__CYGWIN32__) || defined(WINDOWS)
@@ -100,53 +102,84 @@ fillEstParamsInfo(const mxArray *estim_params_info, EstimatedParameter::pType ty
}
}
-size_t
+int
sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
Matrix &steadyState, Vector &estParams, Vector &deepParams, const MatrixConstView &data, Matrix &Q, Matrix &H,
- const size_t presampleStart, int &info, const VectorConstView &nruns, const size_t fblock, const size_t nBlocks,
+ size_t presampleStart, int &info, const VectorConstView &nruns, size_t fblock, size_t nBlocks,
const Matrix &Jscale, Prior &drawDistribution, EstimatedParametersDescription &epd,
const std::string &resultsFileStem, size_t console_mode, size_t load_mh_file)
{
enum {iMin, iMax};
+ int iret=0; // return value
std::vector<size_t> OpenOldFile(nBlocks, 0);
size_t jloop = 0, irun, j; // counters
double dsum, dmax, dmin, sux = 0, jsux = 0;
std::string mhFName;
std::stringstream ssFName;
-#ifdef MATLAB_MEX_FILE
+#if defined MATLAB_MEX_FILE
MATFile *drawmat; // MCMC draws output file pointer
int matfStatus;
+#else // OCTAVE_MEX_FILE e.t.c.
+ int dims[2];
+ mat_t *drawmat;
+ matvar_t *matvar;
+ int matfStatus;
#endif
FILE *fidlog; // log file
size_t npar = estParams.getSize();
Matrix MinMax(npar, 2);
- const mxArray *myinputs = mexGetVariablePtr("caller", "myinputs");
- const mxArray *InitSizeArrayPtr = mxGetField(myinputs, 0, "InitSizeArray");
+
+ const mxArray *InitSizeArrayPtr = mexGetVariablePtr("caller", "InitSizeArray");
+ if (InitSizeArrayPtr==NULL || InitSizeArrayPtr==0 || (long)InitSizeArrayPtr==-1)
+ {
+ mexPrintf("Metropolis-Hastings myinputs field InitSizeArrayPtr Initialisation failed!\n");
+ return(-1);
+ }
const VectorConstView InitSizeArrayVw(mxGetPr(InitSizeArrayPtr), nBlocks, 1);
Vector InitSizeArray(InitSizeArrayVw.getSize());
InitSizeArray = InitSizeArrayVw;
- const mxArray *flinePtr = mxGetField(myinputs, 0, "fline");
+ //const mxArray *flinePtr = mxGetField(myinputs, 0, "fline");
+ const mxArray *flinePtr = mexGetVariable("caller", "fline");
+ if (flinePtr==NULL || flinePtr==0 || (long)flinePtr==-1)
+ {
+ mexPrintf("Metropolis-Hastings myinputs field fline Initialisation failed!\n");
+ return(-1);
+ }
VectorView fline(mxGetPr(flinePtr), nBlocks, 1);
- mxArray *NewFileArrayPtr = mxGetField(myinputs, 0, "NewFile");
+ mxArray *NewFileArrayPtr = mexGetVariable("caller", "NewFile");
+ if (NewFileArrayPtr==NULL || NewFileArrayPtr==0 || (long)NewFileArrayPtr==-1)
+ {
+ mexPrintf("Metropolis-Hastings myinputs fields NewFileArrayPtr Initialisation failed!\n");
+ return(-1);
+ }
VectorView NewFileVw(mxGetPr(NewFileArrayPtr), nBlocks, 1);
- Vector NewFile(NewFileVw.getSize());
- NewFile = NewFileVw;
+ //Vector NewFile(NewFileVw.getSize());
+ //NewFile = NewFileVw;
- const mxArray *MAX_nrunsPtr = mxGetField(myinputs, 0, "MAX_nruns");
+ const mxArray *MAX_nrunsPtr = mexGetVariablePtr("caller", "MAX_nruns");
const size_t MAX_nruns = (size_t) mxGetScalar(MAX_nrunsPtr);
- //ix2=myinputs.ix2;
- const mxArray *blockStartParamsPtr = mxGetField(myinputs, 0, "ix2");
+ const mxArray *blockStartParamsPtr = mexGetVariable("caller", "ix2");
MatrixView blockStartParamsMxVw(mxGetPr(blockStartParamsPtr), nBlocks, npar, nBlocks);
Vector startParams(npar);
- //ilogpo2=myinputs.ilogpo2;
- mxArray *mxFirstLogLikPtr = mxGetField(myinputs, 0, "ilogpo2");
+ const mxArray *mxFirstLogLikPtr = mexGetVariable("caller", "ilogpo2");
VectorView FirstLogLiK(mxGetPr(mxFirstLogLikPtr), nBlocks, 1);
- const mxArray *record = mxGetField(myinputs, 0, "record");
+ const mxArray *record = mexGetVariable("caller", "record");
+ //const mxArray *record = mxGetField(myinputs, 0, "record");
+ if (record==NULL || record==0 || (long)record==-1)
+ {
+ mexPrintf("Metropolis-Hastings record Initialisation failed!\n");
+ return(-1);
+ }
mxArray *AcceptationRatesPtr = mxGetField(record, 0, "AcceptationRates");
+ if (AcceptationRatesPtr==NULL || AcceptationRatesPtr==0 || (long)AcceptationRatesPtr==-1)
+ {
+ mexPrintf("Metropolis-Hastings record AcceptationRatesPtr Initialisation failed!\n");
+ return(-1);
+ }
VectorView AcceptationRates(mxGetPr(AcceptationRatesPtr), nBlocks, 1);
mxArray *mxLastParametersPtr = mxGetField(record, 0, "LastParameters");
@@ -160,6 +193,7 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mxArray *mxMhParamDrawsPtr = 0;
size_t currInitSizeArray = 0;
+#if defined MATLAB_MEX_FILE
// Waitbar
mxArray *waitBarRhs[3], *waitBarLhs[1];
waitBarRhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
@@ -178,21 +212,22 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mxDestroyArray(waitBarRhs[1]);
waitBarRhs[1] = waitBarLhs[0];
}
+#endif
for (size_t b = fblock; b <= nBlocks; ++b)
{
jloop = jloop+1;
-#ifdef MATLAB_MEX_FILE
+#if defined MATLAB_MEX_FILE
if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
{
// load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
ssFName.clear();
ssFName.str("");
- ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFile(b-1) << "_blck" << b << ".mat";
+ ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = matOpen(mhFName.c_str(), "r");
- mexPrintf("MH: Open mhFName.c_str %s \n", mhFName.c_str());
+ mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
if (drawmat == 0)
{
fline(b) = 1;
@@ -208,16 +243,109 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
OpenOldFile[b] = 1;
}
} // end if
+ if (console_mode==0)
+ {
+ ssbarTitle.clear();
+ ssbarTitle.str("");
+ ssbarTitle << "Please wait... Metropolis-Hastings " << b << "/" << nBlocks << " ...";
+ barTitle = ssbarTitle.str();
+ waitBarRhs[2] = mxCreateString(barTitle.c_str());
+ //strcpy( *mxGetPr(waitBarRhs[1]), mhFName.c_str());
+ *mxGetPr(waitBarRhs[0]) = (double) 0.0;
+ mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
+ mxDestroyArray(waitBarRhs[2]);
+ }
+#else //if defined OCTAVE_MEX_FILE
+ if ((load_mh_file != 0) && (fline(b) > 1) && OpenOldFile[b])
+ {
+ // load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'])
+ if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
+ {
+ // new or different size result arrays/matrices
+ currInitSizeArray = (size_t) InitSizeArray(b-1);
+ if (mxMhLogPostDensPtr)
+ mxDestroyArray(mxMhLogPostDensPtr); // log post density array
+ mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
+ if( mxMhLogPostDensPtr == NULL)
+ {
+ mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
+ return(-1);
+ }
+ if (mxMhParamDrawsPtr)
+ mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
+ mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
+ if( mxMhParamDrawsPtr == NULL)
+ {
+ mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
+ return(-1);
+ }
+ }
+
+ ssFName.clear();
+ ssFName.str("");
+ ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
+ mhFName = ssFName.str();
+ drawmat = Mat_Open(mhFName.c_str(), MAT_ACC_RDONLY);
+ if (drawmat == NULL)
+ {
+ fline(b) = 1;
+ mexPrintf("Error in MH: Can not open old draws Mat file for reading: %s \n \
+ Starting a new file instead! \n", mhFName.c_str());
+ }
+ else
+ {
+ int start[2]={0,0},edge[2]={2,2},stride[2]={1,1}, err=0;
+ mexPrintf("MHMCMC: Using interim partial draws file %s \n", mhFName.c_str());
+// matvar = Mat_VarReadInfo(drawmat, "x2");
+ matvar = Mat_VarReadInfo(drawmat, (char *)"x2");
+ if (matvar == NULL)
+ {
+ fline(b) = 1;
+ mexPrintf("Error in MH: Can not read old draws Mat file for reading: %s \n \
+ Starting a new file instead! \n", mhFName.c_str());
+ }
+ else
+ {
+ // GetVariable(drawmat, "x2");
+ dims[0] = matvar->dims[0]-1;
+ dims[1] = matvar->dims[1]-1;
+ err=Mat_VarReadData(drawmat,matvar,mxGetPr(mxMhParamDrawsPtr),start,stride,matvar->dims);
+ if (err)
+ {
+ fline(b) = 1;
+ mexPrintf("Error in MH: Can not retreive old draws from Mat file: %s \n \
+ Starting a new file instead! \n", mhFName.c_str());
+ }
+ Mat_VarFree(matvar);
+ }
+ //mxMhLogPostDensPtr = Mat_GetVariable(drawmat, "logpo2");
+ matvar = Mat_VarReadInfo(drawmat, (char*)"logpo2");
+ if (matvar == NULL)
+ {
+ fline(b) = 1;
+ mexPrintf("Error in MH: Can not read old logPos Mat file for reading: %s \n \
+ Starting a new file instead! \n", mhFName.c_str());
+ }
+ else
+ {
+ // GetVariable(drawmat, "x2");
+ dims[0] = matvar->dims[0]-1;
+ dims[1] = matvar->dims[1]-1;
+ err=Mat_VarReadData(drawmat,matvar,mxGetPr(mxMhLogPostDensPtr),start,stride,matvar->dims);
+ if (err)
+ {
+ fline(b) = 1;
+ mexPrintf("Error in MH: Can not retreive old logPos from Mat file: %s \n \
+ Starting a new file instead! \n", mhFName.c_str());
+ }
+ Mat_VarFree(matvar);
+ }
+ Mat_Close(drawmat);
+ OpenOldFile[b] = 1;
+ }
+ } // end if
+
#endif
- ssbarTitle.clear();
- ssbarTitle.str("");
- ssbarTitle << "Please wait... Metropolis-Hastings " << b << "/" << nBlocks << " ...";
- barTitle = ssbarTitle.str();
- waitBarRhs[2] = mxCreateString(barTitle.c_str());
- //strcpy( *mxGetPr(waitBarRhs[1]), mhFName.c_str());
- *mxGetPr(waitBarRhs[0]) = (double) 0.0;
- mexCallMATLAB(0, NULL, 3, waitBarRhs, "waitbar");
- mxDestroyArray(waitBarRhs[2]);
VectorView LastParametersRow = mat::get_row(LastParameters, b-1);
@@ -229,26 +357,92 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
{
if ((currInitSizeArray != (size_t) InitSizeArray(b-1)) && OpenOldFile[b] != 1)
{
- mexPrintf(" Init 2 Arrays\n");
// new or different size result arrays/matrices
currInitSizeArray = (size_t) InitSizeArray(b-1);
if (mxMhLogPostDensPtr)
mxDestroyArray(mxMhLogPostDensPtr); // log post density array
mxMhLogPostDensPtr = mxCreateDoubleMatrix(currInitSizeArray, 1, mxREAL);
+ if( mxMhLogPostDensPtr == NULL)
+ {
+ mexPrintf("Metropolis-Hastings mxMhLogPostDensPtr Initialisation failed!\n");
+ return(-1);
+ }
if (mxMhParamDrawsPtr)
mxDestroyArray(mxMhParamDrawsPtr); // accepted MCMC MH draws
mxMhParamDrawsPtr = mxCreateDoubleMatrix(currInitSizeArray, npar, mxREAL);
+ if( mxMhParamDrawsPtr == NULL)
+ {
+ mexPrintf("Metropolis-Hastings mxMhParamDrawsPtr Initialisation failed!\n");
+ return(-1);
+ }
}
startParams = LastParametersRow;
VectorView mhLogPostDens(mxGetPr(mxMhLogPostDensPtr), currInitSizeArray, (size_t) 1);
MatrixView mhParamDraws(mxGetPr(mxMhParamDrawsPtr), currInitSizeArray, npar, currInitSizeArray);
- jsux = rwmh.compute(mhLogPostDens, mhParamDraws, steadyState, startParams, deepParams, data, Q, H,
+ try
+ {
+ jsux = rwmh.compute(mhLogPostDens, mhParamDraws, steadyState, startParams, deepParams, data, Q, H,
presampleStart, info, irun, currInitSizeArray, Jscale, lpd, drawDistribution, epd);
- irun = currInitSizeArray;
- sux += jsux*currInitSizeArray;
- j += currInitSizeArray; //j=j+1;
+ irun = currInitSizeArray;
+ sux += jsux*currInitSizeArray;
+ j += currInitSizeArray; //j=j+1;
+ }
+ catch (const TSException &tse)
+ {
+ iret=-100;
+ mexPrintf(" TSException Exception in RandomWalkMH dynamic_dll: %s \n", (tse.getMessage()).c_str());
+ goto cleanup;
+ }
+ catch (const DecisionRules::BlanchardKahnException &bke)
+ {
+ iret=-90;
+ mexPrintf(" Too many Blanchard-Kahn Exceptions in RandomWalkMH : n_fwrd_vars %d n_explosive_eigenvals %d \n", bke.n_fwrd_vars, bke.n_explosive_eigenvals);
+ goto cleanup;
+ }
+ catch (const GeneralizedSchurDecomposition::GSDException &gsde)
+ {
+ iret=-80;
+ mexPrintf(" GeneralizedSchurDecomposition Exception in RandomWalkMH: info %d, n %d \n", gsde.info, gsde.n);
+ goto cleanup;
+ }
+ catch (const LUSolver::LUException &lue)
+ {
+ iret=-70;
+ mexPrintf(" LU Exception in RandomWalkMH : info %d \n", lue.info);
+ goto cleanup;
+ }
+ catch (const VDVEigDecomposition::VDVEigException &vdve)
+ {
+ iret=-60;
+ mexPrintf(" VDV Eig Exception in RandomWalkMH : %s , info: %d\n", vdve.message.c_str(), vdve.info);
+ goto cleanup;
+ }
+ catch (const DiscLyapFast::DLPException &dlpe)
+ {
+ iret=-50;
+ mexPrintf(" Lyapunov solver Exception in RandomWalkMH : %s , info: %d\n", dlpe.message.c_str(), dlpe.info);
+ goto cleanup;
+ }
+ catch (const std::runtime_error &re)
+ {
+ iret=-3;
+ mexPrintf(" Runtime Error Exception in RandomWalkMH: %s \n", re.what());
+ goto cleanup;
+ }
+ catch (const std::exception &e)
+ {
+ iret=-2;
+ mexPrintf(" Standard System Exception in RandomWalkMH: %s \n", e.what());
+ goto cleanup;
+ }
+ catch (...)
+ {
+ iret=-1000;
+ mexPrintf(" Unknown unhandled Exception in RandomWalkMH! %s \n");
+ goto cleanup;
+ }
- // if exist('OCTAVE_VERSION') ||
+#if defined MATLAB_MEX_FILE
if (console_mode)
mexPrintf(" MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
else
@@ -265,12 +459,11 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
}
-#ifdef MATLAB_MEX_FILE
// % Now I save the simulations
// save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
ssFName.clear();
ssFName.str("");
- ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFile(b-1) << "_blck" << b << ".mat";
+ ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
mhFName = ssFName.str();
drawmat = matOpen(mhFName.c_str(), "w");
if (drawmat == 0)
@@ -291,6 +484,43 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
exit(1);
}
matClose(drawmat);
+#else
+
+ printf(" MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r", b, nBlocks, 100 * j/nruns(b-1), 100 * sux / j);
+ // % Now I save the simulations
+ // save draw 2 mat file ([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
+ ssFName.clear();
+ ssFName.str("");
+ ssFName << resultsFileStem << DIRECTORY_SEPARATOR << "metropolis" << DIRECTORY_SEPARATOR << resultsFileStem << "_mh" << (size_t) NewFileVw(b-1) << "_blck" << b << ".mat";
+ mhFName = ssFName.str();
+
+ drawmat = Mat_Open(mhFName.c_str(), MAT_ACC_RDWR);
+ if (drawmat == 0)
+ {
+ mexPrintf("Error in MH: Can not open draws Mat file for writing: %s \n", mhFName.c_str());
+ exit(1);
+ }
+ dims[0]= currInitSizeArray;
+ dims[1]= npar;
+ matvar = Mat_VarCreate("x2",MAT_C_DOUBLE,MAT_T_DOUBLE,2,dims,mxGetPr(mxMhParamDrawsPtr),0);
+ matfStatus=Mat_VarWrite( drawmat, matvar, 0);
+ Mat_VarFree(matvar);
+ if (matfStatus)
+ {
+ mexPrintf("Error in MH: Can not use draws Mat file for writing: %s \n", mhFName.c_str());
+ exit(1);
+ }
+ //matfStatus = matPutVariable(drawmat, "logpo2", mxMhLogPostDensPtr);
+ dims[1]= 1;
+ matvar = Mat_VarCreate("logpo2",MAT_C_DOUBLE,MAT_T_DOUBLE,2,dims,mxGetPr(mxMhLogPostDensPtr),0);
+ matfStatus=Mat_VarWrite( drawmat, matvar, 0);
+ Mat_VarFree(matvar);
+ if (matfStatus)
+ {
+ mexPrintf("Error in MH: Can not usee draws Mat file for writing: %s \n", mhFName.c_str());
+ exit(1);
+ }
+ Mat_Close(drawmat);
#endif
// save log to fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
@@ -299,7 +529,7 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
mhFName = ssFName.str();
fidlog = fopen(mhFName.c_str(), "a");
fprintf(fidlog, "\n");
- fprintf(fidlog, "%% Mh%dBlck%d ( %s %s )\n", (int) NewFile(b-1), b, __DATE__, __TIME__);
+ fprintf(fidlog, "%% Mh%dBlck%d ( %s %s )\n", (int) NewFileVw(b-1), b, __DATE__, __TIME__);
fprintf(fidlog, " \n");
fprintf(fidlog, " Number of simulations.: %d \n", currInitSizeArray); // (length(logpo2)) ');
fprintf(fidlog, " Acceptation rate......: %f \n", jsux);
@@ -326,45 +556,43 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
jsux = 0;
LastParametersRow = mat::get_row(mhParamDraws, currInitSizeArray-1); //x2(end,:);
LastLogLiK(b-1) = mhLogPostDens(currInitSizeArray-1); //logpo2(end);
- InitSizeArray(b-1) = std::min((size_t) nruns(b-1)-j, MAX_nruns);
+ InitSizeArray(b-1) = std::min( (size_t) nruns(b-1)-j, MAX_nruns);
// initialization of next file if necessary
if (InitSizeArray(b-1))
{
- NewFile(b-1) = NewFile(b-1) + 1;
- irun = 0;
+ NewFileVw(b-1)++;// = NewFile(b-1) + 1;
+ irun = 1;
} // end
- irun++;
+ //irun++;
} // end while % End of the simulations for one mh-block.
//record.
AcceptationRates(b-1) = sux/j;
OpenOldFile[b] = 0;
} // end % End of the loop over the mh-blocks.
- mexPrintf(" put Var record.AcceptationRates \n");
- if (mexPutVariable("caller", "record.AcceptationRates", AcceptationRatesPtr))
- mexPrintf("MH Warning: due to error record.AcceptationRates is NOT set !! \n");
- //else mexPrintf(" record.AcceptationRates is now set !! \n");
- if (mexPutVariable("caller", "record.LastParameters", mxLastParametersPtr))
- mexPrintf("MH Warning: due to error record.MhParamDraw is NOT set !! \n");
+ if (mexPutVariable("caller", "record_AcceptationRates", AcceptationRatesPtr))
+ mexPrintf("MH Warning: due to error record_AcceptationRates is NOT set !! \n");
- if (mexPutVariable("caller", "record.LastLogLiK", mxLastLogLikPtr))
- mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
+ if (mexPutVariable("caller", "record_LastParameters", mxLastParametersPtr))
+ mexPrintf("MH Warning: due to error record_MhParamDraw is NOT set !! \n");
- if (mexPutVariable("caller", "record.LastLogLiK2", mxLastLogLikPtr))
- mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
- if (mexPutVariable("caller", "LastLogLiK3", mxLastLogLikPtr))
- mexPrintf("MH Warning: due to error record.LastLogLiK is NOT set !! \n");
+ if (mexPutVariable("caller", "record_LastLogLiK", mxLastLogLikPtr))
+ mexPrintf("MH Warning: due to error record_LastLogLiK is NOT set !! \n");
- NewFileVw = NewFile;
+ //NewFileVw = NewFile;
if (mexPutVariable("caller", "NewFile", NewFileArrayPtr))
mexPrintf("MH Warning: due to error NewFile is NOT set !! \n");
// Cleanup
+mexPrintf("MH Cleanup !! \n");
+
+cleanup:
if (mxMhLogPostDensPtr)
mxDestroyArray(mxMhLogPostDensPtr); // delete log post density array
if (mxMhParamDrawsPtr)
mxDestroyArray(mxMhParamDrawsPtr); // delete accepted MCMC MH draws
+#ifdef MATLAB_MEX_FILE
// Waitbar
if (console_mode==0)
{
@@ -372,17 +600,20 @@ sampleMHMC(LogPosteriorDensity &lpd, RandomWalkMetropolisHastings &rwmh,
// now left commented out and the waitbar neeeds to be closed manually
// alternativelly, call with options_.console_mode=1;
//mexCallMATLAB(0, NULL, 1, waitBarLhs, "close");
- mxDestroyArray(waitBarLhs[0]);
+ //mxDestroyArray(waitBarLhs[0]);
mxDestroyArray(waitBarRhs[1]);
mxDestroyArray(waitBarRhs[0]);
}
+#endif
- // return last line run in the last MH block sub-array
- return irun;
+ // return error code or last line run in the last MH block sub-array
+ if (iret==0)
+ iret=(int)irun;
+ return iret;
}
-size_t
+int
logMCMCposterior(const VectorConstView &estParams, const MatrixConstView &data, const std::string &mexext,
const size_t fblock, const size_t nBlocks, const VectorConstView &nMHruns, const MatrixConstView &D)
{
@@ -494,7 +725,7 @@ logMCMCposterior(const VectorConstView &estParams, const MatrixConstView &data,
blas::gemm("N", "N", 1.0, D, Jscale, 0.0, Dscale);
//sample MHMCMC draws and get get last line run in the last MH block sub-array
- size_t lastMHblockArrayLine = sampleMHMC(lpd, rwmh, steadyState, estParams2, deepParams, data, Q, H, presample, info,
+ int lastMHblockArrayLine = sampleMHMC(lpd, rwmh, steadyState, estParams2, deepParams, data, Q, H, presample, info,
nMHruns, fblock, nBlocks, Dscale, drawGaussDist01, epd, resultsFileStem, console_mode, load_mh_file);
// Cleanups
@@ -541,7 +772,7 @@ mexFunction(int nlhs, mxArray *plhs[],
MatrixConstView D(mxGetPr(prhs[6]), mxGetM(prhs[6]), mxGetN(prhs[6]), mxGetM(prhs[6]));
//calculate MHMCMC draws and get get last line run in the last MH block sub-array
- size_t lastMHblockArrayLine = logMCMCposterior(estParams, data, mexext, fblock, nBlocks, nMHruns, D);
+ int lastMHblockArrayLine = logMCMCposterior(estParams, data, mexext, fblock, nBlocks, nMHruns, D);
*mxGetPr(plhs[0]) = (double) lastMHblockArrayLine;
}
diff --git a/mex/sources/estimation/tests/random_walk_metropolis_hastings_core.m b/mex/sources/estimation/tests/random_walk_metropolis_hastings_core.m
new file mode 100644
index 0000000000000000000000000000000000000000..a899f56eab9d62d8c74b01c4e563b575f18dc96b
--- /dev/null
+++ b/mex/sources/estimation/tests/random_walk_metropolis_hastings_core.m
@@ -0,0 +1,308 @@
+function myoutput = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab)
+% PARALLEL CONTEXT
+% This function contain the most computationally intensive portion of code in
+% random_walk_metropolis_hastings (the 'for xxx = fblck:nblck' loop). The branches in 'for'
+% cycle and are completely independent than suitable to be executed in parallel way.
+%
+% INPUTS
+% o myimput [struc] The mandatory variables for local/remote
+% parallel computing obtained from random_walk_metropolis_hastings.m
+% function.
+% o fblck and nblck [integer] The Metropolis-Hastings chains.
+% o whoiam [integer] In concurrent programming a modality to refer to the differents thread running in parallel is needed.
+% The integer whoaim is the integer that
+% allows us to distinguish between them. Then it is the index number of this CPU among all CPUs in the
+% cluster.
+% o ThisMatlab [integer] Allows us to distinguish between the
+% 'main' matlab, the slave matlab worker, local matlab, remote matlab,
+% ... Then it is the index number of this slave machine in the cluster.
+% OUTPUTS
+% o myoutput [struc]
+% If executed without parallel is the original output of 'for b =
+% fblck:nblck' otherwise a portion of it computed on a specific core or
+% remote machine. In this case:
+% record;
+% irun;
+% NewFile;
+% OutputFileName
+%
+% ALGORITHM
+% Portion of Metropolis-Hastings.
+%
+% SPECIAL REQUIREMENTS.
+% None.
+
+% PARALLEL CONTEXT
+% The most computationally intensive part of this function may be executed
+% in parallel. The code sutable to be executed in parallel on multi core or cluster machine,
+% is removed from this function and placed in random_walk_metropolis_hastings_core.m funtion.
+% Then the DYNARE parallel package contain a set of pairs matlab functios that can be executed in
+% parallel and called name_function.m and name_function_core.m.
+% In addition in the parallel package we have second set of functions used
+% to manage the parallel computation.
+%
+% This function was the first function to be parallelized, later other
+% functions have been parallelized using the same methodology.
+% Then the comments write here can be used for all the other pairs of
+% parallel functions and also for management funtions.
+
+
+% Copyright (C) 2006-2008,2010 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/>.
+
+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:
+
+TargetFun=myinputs.TargetFun;
+ProposalFun=myinputs.ProposalFun;
+xparam1=myinputs.xparam1;
+vv=myinputs.vv;
+mh_bounds=myinputs.mh_bounds;
+ix2=myinputs.ix2;
+ilogpo2=myinputs.ilogpo2;
+ModelName=myinputs.ModelName;
+fline=myinputs.fline;
+npar=myinputs.npar;
+nruns=myinputs.nruns;
+NewFile=myinputs.NewFile;
+MAX_nruns=myinputs.MAX_nruns;
+d=myinputs.d;
+InitSizeArray=myinputs.InitSizeArray;
+record=myinputs.record;
+varargin=myinputs.varargin;
+
+% Necessary only for remote computing!
+if whoiam
+ Parallel=myinputs.Parallel;
+ MasterName=myinputs.MasterName;
+ DyMo=myinputs.DyMo;
+ % initialize persistent variables in priordens()
+ priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, ...
+ bayestopt_.p3,bayestopt_.p4,1);
+end
+
+% (re)Set the penalty
+bayestopt_.penalty = Inf;
+
+MhDirectoryName = CheckPath('metropolis');
+
+options_.lik_algo = 1;
+OpenOldFile = ones(nblck,1);
+if strcmpi(ProposalFun,'rand_multivariate_normal')
+ n = npar;
+elseif strcmpi(ProposalFun,'rand_multivariate_student')
+ n = options_.student_degrees_of_freedom;
+end
+% load([MhDirectoryName '/' ModelName '_mh_history.mat'],'record');
+%%%%
+%%%% NOW i run the (nblck-fblck+1) metropolis-hastings chains
+%%%%
+jscale = diag(bayestopt_.jscale);
+
+jloop=0;
+if options_.use_dll==1
+
+%%%TEST%%%
+oldoptions_console_mode=options_.console_mode;
+%options_.console_mode=1;
+
+ if exist('OCTAVE_VERSION')
+ oldoptions_console_mode=options_.console_mode;
+ options_.console_mode=1;
+ end
+ for b = fblck:nblck,
+ record.Seeds(b).Normal = randn('state');
+ record.Seeds(b).Unifor = rand('state');
+ end
+ % calculate draws and get last line run in the last MH block sub-array
+ irun = logMHMCMCposterior( xparam1, varargin{2}, mexext, fblck, nblck, nruns, d)
+ if irun<0
+ error('Error in logMHMCMCposterior');
+ end
+ for b = fblck:nblck,
+ record.Seeds(b).Normal = randn('state');
+ record.Seeds(b).Unifor = rand('state');
+ OutputFileName(b,:) = {[MhDirectoryName,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']};
+ end
+
+ if exist('OCTAVE_VERSION')
+ options_.console_mode=oldoptions_console_mode;
+ options_.console_mode=1;
+ end
+ record.AcceptationRates=record_AcceptationRates;
+ record.LastLogLiK=record_LastLogLiK;
+ record.LastParameters=record_LastParameters;
+ options_.console_mode=oldoptions_console_mode;
+else
+ for b = fblck:nblck,
+ jloop=jloop+1;
+ randn('state',record.Seeds(b).Normal);
+ rand('state',record.Seeds(b).Unifor);
+ if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
+ load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
+ '_blck' int2str(b) '.mat'])
+ x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
+ logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
+ OpenOldFile(b) = 0;
+ else
+ x2 = zeros(InitSizeArray(b),npar);
+ logpo2 = zeros(InitSizeArray(b),1);
+ end
+ if exist('OCTAVE_VERSION') || options_.console_mode
+ diary off
+ disp(' ')
+ elseif whoiam
+ % keyboard;
+ waitbarString = ['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...'];
+ % waitbarTitle=['Metropolis-Hastings ',options_.parallel(ThisMatlab).PcName];
+ if options_.parallel(ThisMatlab).Local,
+ waitbarTitle=['Local '];
+ else
+ waitbarTitle=[options_.parallel(ThisMatlab).PcName];
+ end
+ fMessageStatus(0,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab), MasterName, DyMo);
+ else,
+ hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
+ set(hh,'Name','Metropolis-Hastings');
+
+ end
+ isux = 0;
+ jsux = 0;
+ irun = fline(b);
+ j = 1;
+ load urand_1_1.csv
+ load paramdraws_1_1.csv
+ while j <= nruns(b)
+ par = feval(ProposalFun, ix2(b,:), d * jscale, n);
+ par=paramdraws_1_1(j,:);
+ if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
+ try
+ logpost = - feval(TargetFun, par(:),varargin{:});
+ catch
+ logpost = -inf;
+ end
+ else
+ logpost = -inf;
+ end
+ lurand=log(urand_1_1(j));
+% if (logpost > -inf) && (log(rand) < logpost-ilogpo2(b))
+ if (logpost > -inf) && (lurand < logpost-ilogpo2(b))
+ x2(irun,:) = par;
+ ix2(b,:) = par;
+ logpo2(irun) = logpost;
+ ilogpo2(b) = logpost;
+ isux = isux + 1;
+ jsux = jsux + 1;
+ else
+ x2(irun,:) = ix2(b,:);
+ logpo2(irun) = ilogpo2(b);
+ end
+ prtfrc = j/nruns(b);
+ if exist('OCTAVE_VERSION') || options_.console_mode
+ if mod(j, 10) == 0
+ if exist('OCTAVE_VERSION')
+ printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ else
+ fprintf(' MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acceptance rate: %3.f \b%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ end
+ end
+ if mod(j,50)==0 & whoiam
+ % keyboard;
+ waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) '), ' sprintf('accept. %3.f%%%%', 100 * isux/j)];
+ fMessageStatus(prtfrc,whoiam,waitbarString, '', options_.parallel(ThisMatlab), MasterName, DyMo)
+ end
+ else
+ if mod(j, 3)==0 & ~whoiam
+ waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
+ elseif mod(j,50)==0 & whoiam,
+ % keyboard;
+ waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)];
+ fMessageStatus(prtfrc,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab), MasterName, DyMo)
+ end
+ end
+
+ if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
+ save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
+ fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
+ fprintf(fidlog,['\n']);
+ fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
+ fprintf(fidlog,' \n');
+ fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
+ fprintf(fidlog,[' Acceptation rate......: ' num2str(jsux/length(logpo2)) '\n']);
+ fprintf(fidlog,[' Posterior mean........:\n']);
+ for i=1:length(x2(1,:))
+ fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
+ end
+ fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
+ fprintf(fidlog,[' Minimum value.........:\n']);;
+ for i=1:length(x2(1,:))
+ fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
+ end
+ fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
+ fprintf(fidlog,[' Maximum value.........:\n']);
+ for i=1:length(x2(1,:))
+ fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
+ end
+ fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
+ fprintf(fidlog,' \n');
+ fclose(fidlog);
+ jsux = 0;
+ if j == nruns(b) % I record the last draw...
+ record.LastParameters(b,:) = x2(end,:);
+ record.LastLogLiK(b) = logpo2(end);
+ end
+ % size of next file in chain b
+ InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
+ % initialization of next file if necessary
+ if InitSizeArray(b)
+ x2 = zeros(InitSizeArray(b),npar);
+ logpo2 = zeros(InitSizeArray(b),1);
+ NewFile(b) = NewFile(b) + 1;
+ irun = 0;
+ end
+ end
+ j=j+1;
+ irun = irun + 1;
+ end% End of the simulations for one mh-block.
+ record.AcceptationRates(b) = isux/j;
+ if exist('OCTAVE_VERSION') || options_.console_mode
+ if exist('OCTAVE_VERSION')
+ printf('\n');
+ else
+ fprintf('\n');
+ end
+ diary on;
+ elseif ~whoiam
+ close(hh);
+ end
+ record.Seeds(b).Normal = randn('state');
+ record.Seeds(b).Unifor = rand('state');
+ OutputFileName(jloop,:) = {[MhDirectoryName,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']};
+ end% End of the loop over the mh-blocks.
+end % if use_dll
+
+myoutput.record = record;
+myoutput.irun = irun;
+myoutput.NewFile = NewFile;
+myoutput.OutputFileName = OutputFileName;