Skip to content

new option mh_initialize_from_previous_mcmc

Marco Ratto requested to merge rattoma/dynare:mh_initialize_from_previous_mcmc into master

new option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one.

If an additional parameter is estimated, it is initialized using prior_draw. it has to be set using new estimation options:

  • mh_initialize_from_previous_mcmc to set the option
  • mh_initialize_from_previous_mcmc_directory: to provide the path to the metropolis folder from which to load parameter values that initialize the new MCMC
  • mh_initialize_from_previous_mcmc_model_name: to provide the name of the model used in the previous estimation (name could be different). Preprocessor should then set the following fields:
options_.mh_initialize_from_previous_mcmc=struct();
options_.mh_initialize_from_previous_mcmc.status=true;
options_.mh_initialize_from_previous_mcmc.directory='~/base_dir/fs2000_slice/metropolis';
options_.mh_initialize_from_previous_mcmc.model_name='fs2000_slice';

WIP since it requires provisions in preprocessor

Edited by Marco Ratto

Merge request reports