Implement interface for posterior sampling methods (#1177) · Issues · Dynare / dynare

Implement interface for posterior sampling methods

Related to #1174 and #1065 (closed)

I would propose to use this occasion to further clean up the options_-structure and create a field options_.posterior_sampler_options that stores as subfields the various options.

The preprocessor should have an option posterior_sampling_method that accepts a quoted string that can be slice, random_walk_metropolis_hastings, independent_metropolis_hastings or tailored_random_block_metropolis_hastings

It should map into options_.posterior_sampler_options.posterior_sampling_method with default random_walk_metropolis_hastings, which replaces the current options_.posterior_sampling_method In addition:

We need a subfields options_.posterior_sampler_options.tarb, options_.posterior_sampler_options.rwmh,options_.posterior_sampler_options.slice, and options_.posterior_sampler_options.imh that store the default options for the respective sampler as we already do for different mode_computes.
We need the preprocessor to accept name/value pairs like in the already existing optim-option in the form of posterior_sampler_options = (NAME, VALUE,...). It should map into a string options_.posterior_sampler_options.sampling_opt, which can then be read out using read_key_value_string as we already do in dynare_minimize_objective.
The already existing but undocumented options options_.proposal_distribution and options_.student_degrees_of_freedom should now become sampler-specific subfields of the fields introduced in 1.

Related to #1174 and #1065

I would propose to use this occasion to further clean up the `options_`-structure and create a field `options_.posterior_sampler_options` that stores as subfields the various options.

The preprocessor should have an option `posterior_sampling_method` that accepts a quoted string that can be `slice`, `random_walk_metropolis_hastings`, `independent_metropolis_hastings` or `tailored_random_block_metropolis_hastings`

It should map into `options_.posterior_sampler_options.posterior_sampling_method` with default 
`random_walk_metropolis_hastings`, which replaces the current `options_.posterior_sampling_method`
In addition:
1. We need a subfields `options_.posterior_sampler_options.tarb`, `options_.posterior_sampler_options.rwmh`,`options_.posterior_sampler_options.slice`, 
   and `options_.posterior_sampler_options.imh` that store the default options for the respective sampler as we already do for different mode_computes.
2. We need the preprocessor to accept name/value pairs like in the already existing `optim`-option in the form of `posterior_sampler_options = (NAME, VALUE,...)`. 
   It should map into a string `options_.posterior_sampler_options.sampling_opt`, which can then be read out using `read_key_value_string` as we already do in `dynare_minimize_objective`.
3. The already existing but undocumented options `options_.proposal_distribution` and `options_.student_degrees_of_freedom` should now become sampler-specific subfields of the fields introduced in  1.