Skip to content

GitLab

Commit 383df9c8 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Merge branch 'cosmetics' into 'master' 

Alternative samplers: header fixes and indentation

See merge request !13
parents 1451bf64 13fe8104
Hide whitespace changes
Inline Side-by-side
src/DSMH_sampler.m
View file @ 383df9c8
function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% function DSMH_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% Dynamic Striated Metropolis-Hastings algorithm.
%
% INPUTS
% o TargetFun [char] string specifying the name of the objective
% function (posterior kernel).
% o ProposalFun [char] string specifying the name of the proposal
% density
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
% o sampler_options structure
% .invhess [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 dataset_ data structure
% o dataset_info dataset info structure
......@@ -37,7 +33,7 @@ function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_
% Then the comments write here can be used for all the other pairs of
% parallel functions and also for management functions.
% Copyright (C) 2006-2017 Dynare Team
% Copyright (C) 2006-2021 Dynare Team
%
% This file is part of Dynare.
%
......@@ -56,7 +52,7 @@ function DSMH_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_
lambda = exp(bsxfun(@minus,options_.dsmh.H,1:1:options_.dsmh.H)/(options_.dsmh.H-1)*log(options_.dsmh.lambda1));
c = 0.055 ;
c = 0.055 ;
% Step 0: Initialization of the sampler
[ param, tlogpost_iminus1, loglik, npar, ~, bayestopt_] = ...
......@@ -65,24 +61,24 @@ c = 0.055 ;
ESS = zeros(options_.dsmh.H,1) ;
zhat = 1 ;
% The DSMH starts here
for i=2:options_.dsmh.H
% The DSMH starts here
for i=2:options_.dsmh.H
disp('');
disp('Tempered iteration');
disp(i) ;
% Step 1: sort the densities and compute IS weigths
disp('Tempered iteration');
disp(i) ;
% Step 1: sort the densities and compute IS weigths
[tlogpost_iminus1,loglik,param] = sort_matrices(tlogpost_iminus1,loglik,param) ;
[tlogpost_i,weights,zhat,ESS,mu,Omegachol] = compute_IS_weights_and_moments(param,tlogpost_iminus1,loglik,lambda,i,zhat,ESS) ;
% Step 2: tune c_i
c = tune_c(TargetFun,param,tlogpost_i,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
% Step 3: Metropolis step
[param,tlogpost_iminus1,loglik] = mutation_DSMH(TargetFun,param,tlogpost_i,tlogpost_iminus1,loglik,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
end
end
weights = exp(loglik*(lambda(end)-lambda(end-1)));
weights = weights/sum(weights);
indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.number_of_particles);
distrib_param = param(:,indx_resmpl);
distrib_param = param(:,indx_resmpl);
mean_xparam = mean(distrib_param,2);
%mat_var_cov = bsxfun(@minus,distrib_param,mean_xparam) ;
......@@ -123,134 +119,134 @@ kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourier Transform a
plt = 1 ;
%for plt = 1:nbplt,
if TeX
NAMES = [];
TeXNAMES = [];
end
hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
for k=1:npar %min(nstar,npar-(plt-1)*nstar)
subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
%kk = (plt-1)*nstar+k;
[name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.dsmh.number_of_particles,bandwidth,kernel_function);
[density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
options_.dsmh.number_of_particles,optimal_bandwidth,kernel_function);
plot(density(:,1),density(:,2));
hold on
if TeX
NAMES = [];
TeXNAMES = [];
end
hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
for k=1:npar %min(nstar,npar-(plt-1)*nstar)
subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
%kk = (plt-1)*nstar+k;
[name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.dsmh.number_of_particles,bandwidth,kernel_function);
[density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
options_.dsmh.number_of_particles,optimal_bandwidth,kernel_function);
plot(density(:,1),density(:,2));
hold on
if TeX
title(texname,'interpreter','latex')
else
title(name,'interpreter','none')
end
hold off
axis tight
drawnow
end
dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
fprintf(fidTeX,'\\caption{Parameter densities based on the Dynamic Striated Metropolis-Hastings algorithm.}');
fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
title(texname,'interpreter','latex')
else
title(name,'interpreter','none')
end
hold off
axis tight
drawnow
end
dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
fprintf(fidTeX,'\\caption{Parameter densities based on the Dynamic Striated Metropolis-Hastings algorithm.}');
fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
%end
function [tlogpost_iminus1,loglik,param] = sort_matrices(tlogpost_iminus1,loglik,param)
[~,indx_ord] = sortrows(tlogpost_iminus1);
tlogpost_iminus1 = tlogpost_iminus1(indx_ord);
param = param(:,indx_ord);
loglik = loglik(indx_ord);
[~,indx_ord] = sortrows(tlogpost_iminus1);
tlogpost_iminus1 = tlogpost_iminus1(indx_ord);
param = param(:,indx_ord);
loglik = loglik(indx_ord);
function [tlogpost_i,weights,zhat,ESS,mu,Omegachol] = compute_IS_weights_and_moments(param,tlogpost_iminus1,loglik,lambda,i,zhat,ESS)
if i==1
tlogpost_i = tlogpost_iminus1 + loglik*lambda(i);
else
tlogpost_i = tlogpost_iminus1 + loglik*(lambda(i)-lambda(i-1));
end
weights = exp(tlogpost_i-tlogpost_iminus1);
zhat = (mean(weights))*zhat ;
weights = weights/sum(weights);
ESS(i) = 1/sum(weights.^2);
% estimates of mean and variance
mu = param*weights;
z = bsxfun(@minus,param,mu);
Omega = z*diag(weights)*z';
Omegachol = chol(Omega)';
function [tlogpost_i,weights,zhat,ESS,mu,Omegachol] = compute_IS_weights_and_moments(param,tlogpost_iminus1,loglik,lambda,i,zhat,ESS)
if i==1
tlogpost_i = tlogpost_iminus1 + loglik*lambda(i);
else
tlogpost_i = tlogpost_iminus1 + loglik*(lambda(i)-lambda(i-1));
end
weights = exp(tlogpost_i-tlogpost_iminus1);
zhat = (mean(weights))*zhat ;
weights = weights/sum(weights);
ESS(i) = 1/sum(weights.^2);
% estimates of mean and variance
mu = param*weights;
z = bsxfun(@minus,param,mu);
Omega = z*diag(weights)*z';
Omegachol = chol(Omega)';
function c = tune_c(TargetFun,param,tlogpost_i,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
disp('tuning c_i...');
disp('Initial value =');
disp(c) ;
npar = size(param,1);
lower_prob = (.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))^5;
upper_prob = (.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))^(1/5);
stop=0 ;
while stop==0
acpt = 0.0;
indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G);
param0 = param(:,indx_resmpl);
tlogpost0 = tlogpost_i(indx_resmpl);
for j=1:options_.dsmh.G
for l=1:options_.dsmh.K
validate = 0;
while validate == 0
candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
if all(candidate >= mh_bounds.lb) && all(candidate <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
if rand(1,1)<exp(tlogpostx-tlogpost0(j)) % accept
acpt = acpt + 1/(options_.dsmh.G*options_.dsmh.K);
param0(:,j)= candidate;
tlogpost0(j) = tlogpostx;
end
end
end
end
end
end
disp('Acceptation rate =') ;
disp(acpt) ;
if options_.dsmh.alpha0<=acpt && acpt<=options_.dsmh.alpha1
disp('done!');
stop=1;
else
if acpt<lower_prob
c = c/5;
elseif lower_prob<=acpt && acpt<=upper_prob
c = c*log(.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))/log(acpt);
else
c = 5*c;
disp('tuning c_i...');
disp('Initial value =');
disp(c) ;
npar = size(param,1);
lower_prob = (.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))^5;
upper_prob = (.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))^(1/5);
stop=0 ;
while stop==0
acpt = 0.0;
indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G);
param0 = param(:,indx_resmpl);
tlogpost0 = tlogpost_i(indx_resmpl);
for j=1:options_.dsmh.G
for l=1:options_.dsmh.K
validate = 0;
while validate == 0
candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
if all(candidate >= mh_bounds.lb) && all(candidate <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
if rand(1,1)<exp(tlogpostx-tlogpost0(j)) % accept
acpt = acpt + 1/(options_.dsmh.G*options_.dsmh.K);
param0(:,j)= candidate;
tlogpost0(j) = tlogpostx;
end
end
end
end
disp('Trying with c= ') ;
disp(c)
end
end
end
end
disp('Acceptation rate =') ;
disp(acpt) ;
if options_.dsmh.alpha0<=acpt && acpt<=options_.dsmh.alpha1
disp('done!');
stop=1;
else
if acpt<lower_prob
c = c/5;
elseif lower_prob<=acpt && acpt<=upper_prob
c = c*log(.5*(options_.dsmh.alpha0+options_.dsmh.alpha1))/log(acpt);
else
c = 5*c;
end
disp('Trying with c= ') ;
disp(c)
end
end
function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,param,tlogpost_i,tlogpost_iminus1,loglik,lambda,i,c,Omegachol,weights,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
indx_levels = (1:1:options_.dsmh.M-1)*options_.dsmh.N*options_.dsmh.G/options_.dsmh.M;
npar = size(param,1) ;
p = 1/(10*options_.dsmh.tau);
disp('Metropolis step...');
% build the dynamic grid of levels
levels = [0.0;tlogpost_iminus1(indx_levels)];
% initialize the outputs
out_param = param;
out_tlogpost_iminus1 = tlogpost_i;
out_loglik = loglik;
% resample and initialize the starting groups
indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G);
param0 = param(:,indx_resmpl);
tlogpost_iminus10 = tlogpost_iminus1(indx_resmpl);
tlogpost_i0 = tlogpost_i(indx_resmpl);
loglik0 = loglik(indx_resmpl);
% Start the Metropolis
for l=1:options_.dsmh.N*options_.dsmh.tau
for j=1:options_.dsmh.G
indx_levels = (1:1:options_.dsmh.M-1)*options_.dsmh.N*options_.dsmh.G/options_.dsmh.M;
npar = size(param,1) ;
p = 1/(10*options_.dsmh.tau);
disp('Metropolis step...');
% build the dynamic grid of levels
levels = [0.0;tlogpost_iminus1(indx_levels)];
% initialize the outputs
out_param = param;
out_tlogpost_iminus1 = tlogpost_i;
out_loglik = loglik;
% resample and initialize the starting groups
indx_resmpl = smc_resampling(weights,rand(1,1),options_.dsmh.G);
param0 = param(:,indx_resmpl);
tlogpost_iminus10 = tlogpost_iminus1(indx_resmpl);
tlogpost_i0 = tlogpost_i(indx_resmpl);
loglik0 = loglik(indx_resmpl);
% Start the Metropolis
for l=1:options_.dsmh.N*options_.dsmh.tau
for j=1:options_.dsmh.G
u1 = rand(1,1);
u2 = rand(1,1);
if u1<p
......@@ -264,9 +260,9 @@ function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,p
indx = floor( (k-1)*options_.dsmh.N*options_.dsmh.G/options_.dsmh.M+1 + u2*(options_.dsmh.N*options_.dsmh.G/options_.dsmh.M-1) );
if i==1
alp = (loglik(indx)-loglik0(j))*lambda(i);
else
else
alp = (loglik(indx)-loglik0(j))*(lambda(i)-lambda(i-1));
end
end
if u2<exp(alp)
param0(:,j) = param(:,indx);
tlogpost_i0(j) = tlogpost_i(indx);
......@@ -274,33 +270,32 @@ function [out_param,out_tlogpost_iminus1,out_loglik] = mutation_DSMH(TargetFun,p
tlogpost_iminus10(j) = tlogpost_iminus1(indx);
end
else
validate= 0;
while validate==0
candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
validate= 0;
while validate==0
candidate = param0(:,j) + sqrt(c)*Omegachol*randn(npar,1);
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,lambda(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
if u2<exp(tlogpostx-tlogpost_i0(j)) % accept
param0(:,j) = candidate;
tlogpost_i0(j) = tlogpostx;
param0(:,j) = candidate;
tlogpost_i0(j) = tlogpostx;
loglik0(j) = loglikx;
if i==1
tlogpost_iminus10(j) = tlogpostx-loglikx*lambda(i);
else
tlogpost_iminus10(j) = tlogpostx-loglikx*(lambda(i)-lambda(i-1));
end
if i==1
tlogpost_iminus10(j) = tlogpostx-loglikx*lambda(i);
else
tlogpost_iminus10(j) = tlogpostx-loglikx*(lambda(i)-lambda(i-1));
end
end
end
end
end
end
end
end
end
end
if mod(l,options_.dsmh.tau)==0
end
if mod(l,options_.dsmh.tau)==0
rang = (l/options_.dsmh.tau-1)*options_.dsmh.G+1:l*options_.dsmh.G/options_.dsmh.tau;
out_param(:,rang) = param0;
out_tlogpost_iminus1(rang) = tlogpost_i0;
out_loglik(rang) = loglik0;
end
end
end
\ No newline at end of file
src/Herbst_Schorfheide_sampler.m
View file @ 383df9c8
function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% function Herbst_Schorfheide_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
% SMC sampler from JAE 2014 .
%
% INPUTS
% o TargetFun [char] string specifying the name of the objective
% function (posterior kernel).
% o ProposalFun [char] string specifying the name of the proposal
% density
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
% o sampler_options structure
% .invhess [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 dataset_ data structure
% o dataset_info dataset info structure
......@@ -37,7 +33,7 @@ function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset
% Then the comments write here can be used for all the other pairs of
% parallel functions and also for management functions.
% Copyright (C) 2006-2017 Dynare Team
% Copyright (C) 2006-2021 Dynare Team
%
% This file is part of Dynare.
%
......@@ -56,7 +52,7 @@ function Herbst_Schorfheide_sampler(TargetFun,xparam1,mh_bounds,dataset_,dataset
% Create the tempering schedule
phi = bsxfun(@power,(bsxfun(@minus,1:1:options_.HSsmc.nphi,1)/(options_.HSsmc.nphi-1)),options_.HSsmc.lambda) ;
phi = bsxfun(@power,(bsxfun(@minus,1:1:options_.HSsmc.nphi,1)/(options_.HSsmc.nphi-1)),options_.HSsmc.lambda) ;
% tuning for MH algorithms matrices
zhat = 0 ; % normalization constant
csim = zeros(options_.HSsmc.nphi,1) ; % scale parameter
......@@ -66,7 +62,7 @@ acptsim = zeros(options_.HSsmc.nphi,1) ; % average acceptance rate
[ param, tlogpost_i, loglik, npar, ~, bayestopt_] = ...
SMC_samplers_initialization(TargetFun, xparam1, mh_bounds, dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_,options_.HSsmc.nparticles);
weights = ones(options_.HSsmc.nparticles,1)/options_.HSsmc.nparticles ;
% The Herbst and Schorfheide sampler starts here
% The Herbst and Schorfheide sampler starts here
for i=2:options_.HSsmc.nphi
% (a) Correction
% incremental weights
......@@ -80,26 +76,26 @@ for i=2:options_.HSsmc.nphi
% (b) Selection
ESSsim(i) = 1/sum(weights.^2) ;
if (ESSsim(i) < options_.HSsmc.nparticles/2)
indx_resmpl = smc_resampling(weights,rand(1,1),options_.HSsmc.nparticles) ;
param = param(:,indx_resmpl) ;
loglik = loglik(indx_resmpl) ;
tlogpost_i = tlogpost_i(indx_resmpl) ;
weights = ones(options_.HSsmc.nparticles,1)/options_.HSsmc.nparticles ;
indx_resmpl = smc_resampling(weights,rand(1,1),options_.HSsmc.nparticles) ;
param = param(:,indx_resmpl) ;
loglik = loglik(indx_resmpl) ;
tlogpost_i = tlogpost_i(indx_resmpl) ;
weights = ones(options_.HSsmc.nparticles,1)/options_.HSsmc.nparticles ;
end
% (c) Mutation
options_.HSsmc.c = options_.HSsmc.c*modified_logit(0.95,0.1,16.0,options_.HSsmc.acpt-options_.HSsmc.trgt) ;
% Calculate estimates of mean and variance
mu = param*weights ;
z = bsxfun(@minus,param,mu) ;
z = bsxfun(@minus,param,mu) ;
R = z*(bsxfun(@times,z',weights)) ;
Rchol = chol(R)' ;
% Mutation
% Mutation
if options_.HSsmc.option_mutation==1
[param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
[param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
elseif options_.HSsmc.option_mutation==2
inv_R = inv(options_.HSsmc.c^2*R) ;
Rdiagchol = sqrt(diag(R)) ;
[param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_Mixture(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,options_.HSsmc.c*Rdiagchol,inv_R,mu,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
inv_R = inv(options_.HSsmc.c^2*R) ;
Rdiagchol = sqrt(diag(R)) ;
[param,tlogpost_i,loglik,options_.HSsmc.acpt] = mutation_Mixture(TargetFun,param,tlogpost_i,loglik,phi,i,options_.HSsmc.c*Rchol,options_.HSsmc.c*Rdiagchol,inv_R,mu,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_) ;
end
acptsim(i) = options_.HSsmc.acpt ;
csim(i) = options_.HSsmc.c ;
......@@ -110,7 +106,7 @@ for i=2:options_.HSsmc.nphi
fprintf(' %accept. = %5.4f \n', acptsim(i));
end
indx_resmpl = smc_resampling(weights,rand(1,1),options_.HSsmc.nparticles);
distrib_param = param(:,indx_resmpl);
distrib_param = param(:,indx_resmpl);
fprintf(' Log_lik = %5.4f \n', zhat);
mean_xparam = mean(distrib_param,2);
......@@ -151,99 +147,99 @@ bandwidth = 0; % Rule of thumb optimal bandwidth parameter.
kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourier Transform approximation.
plt = 1 ;
%for plt = 1:nbplt,
if TeX
NAMES = [];
TeXNAMES = [];
end
hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
for k=1:npar %min(nstar,npar-(plt-1)*nstar)
subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
%kk = (plt-1)*nstar+k;
[name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.HSsmc.nparticles,bandwidth,kernel_function);
[density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
options_.HSsmc.nparticles,optimal_bandwidth,kernel_function);
plot(density(:,1),density(:,2));
hold on
if TeX
NAMES = [];
TeXNAMES = [];
end
hh = dyn_figure(options_.nodisplay,'Name','Parameters Densities');
for k=1:npar %min(nstar,npar-(plt-1)*nstar)
subplot(ceil(sqrt(npar)),floor(sqrt(npar)),k)
%kk = (plt-1)*nstar+k;
[name,texname] = get_the_name(k,TeX,M_,estim_params_,options_);
optimal_bandwidth = mh_optimal_bandwidth(distrib_param(k,:)',options_.HSsmc.nparticles,bandwidth,kernel_function);
[density(:,1),density(:,2)] = kernel_density_estimate(distrib_param(k,:)',number_of_grid_points,...
options_.HSsmc.nparticles,optimal_bandwidth,kernel_function);
plot(density(:,1),density(:,2));
hold on
if TeX
title(texname,'interpreter','latex')
else
title(name,'interpreter','none')
end
hold off
axis tight
drawnow
end
dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
fprintf(fidTeX,'\\caption{Parameter densities based on the Herbst/Schorfheide sampler.}');
fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
title(texname,'interpreter','latex')
else
title(name,'interpreter','none')
end
hold off
axis tight
drawnow
end
dyn_saveas(hh,[ M_.fname '_param_density' int2str(plt) ],options_.nodisplay,options_.graph_format);
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%_param_density%s}\n',min(k/floor(sqrt(npar)),1),M_.fname,int2str(plt));
fprintf(fidTeX,'\\caption{Parameter densities based on the Herbst/Schorfheide sampler.}');
fprintf(fidTeX,'\\label{Fig:ParametersDensities:%s}\n',int2str(plt));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
%end
function [param,tlogpost_i,loglik,acpt] = mutation_RW(TargetFun,param,tlogpost_i,loglik,phi,i,cRchol,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_)
acpt = 0.0 ;
tlogpost_i = tlogpost_i + (phi(i)-phi(i-1))*loglik ;
for j=1:options_.HSsmc.nparticles
validate= 0;
while validate==0
candidate = param(:,j) + cRchol*randn(size(param,1),1) ;
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
if rand(1,1)<exp(tlogpostx-tlogpost_i(j)) % accept
acpt = acpt + 1 ;
param(:,j) = candidate;
loglik(j) = loglikx;
tlogpost_i(j) = tlogpostx;
end
acpt = 0.0 ;
tlogpost_i = tlogpost_i + (phi(i)-phi(i-1))*loglik ;
for j=1:options_.HSsmc.nparticles
validate= 0;
while validate==0
candidate = param(:,j) + cRchol*randn(size(param,1),1) ;
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
[tlogpostx,loglikx] = tempered_likelihood(TargetFun,candidate,phi(i),dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
if isfinite(loglikx) % if returned log-density is not Inf or Nan (penalized value)
validate = 1;
if rand(1,1)<exp(tlogpostx-tlogpost_i(j)) % accept
acpt = acpt + 1 ;
param(:,j) = candidate;
loglik(j) = loglikx;
tlogpost_i(j) = tlogpostx;
end
end
end
end