From d2900b14b1974627a3a7e720abf4dd86364779d0 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 29 Jun 2018 15:05:15 +0200
Subject: [PATCH] TaRB: fix bug where incorrect last posterior was returned if
last draw was rejected
(cherry picked from commit 433a68169d3a1576992bdf523c3265d17679f23f)
---
matlab/posterior_sampler_iteration.m | 60 ++++++++++++++++++----------
1 file changed, 38 insertions(+), 22 deletions(-)
diff --git a/matlab/posterior_sampler_iteration.m b/matlab/posterior_sampler_iteration.m
index 5b54e785e..a6366c1c2 100644
--- a/matlab/posterior_sampler_iteration.m
+++ b/matlab/posterior_sampler_iteration.m
@@ -4,16 +4,29 @@ function [par, logpost, accepted, neval] = posterior_sampler_iteration(TargetFu
% posterior samplers
%
% INPUTS
-% posterior_sampler_options: posterior sampler options
-% options_: structure storing the options
-
+% TargetFun: string storing the objective function (e.g. 'dsge_likelihood.m')
+% last_draw: parameter vector in last iteration
+% last_posterior: value of the posterior in last iteration
+% sampler_options: posterior sampler options
+% dataset_: the dataset after required transformation
+% dataset_info: Various informations about the dataset (descriptive statistics and missing observations).
+% options_: structure storing the options
+% M_: structure storing the model information
+% estim_params_: structure storing information about estimated parameters
+% bayestopt_: structure storing information about priors
+% mh_bounds: structure containing prior bounds
+% oo_: structure storing the results
+%
% OUTPUTS
-% posterior_sampler_options: checked posterior sampler options
+% par: last accepted parameter vector
+% logpost: value of the posterior after current iteration
+% accepted: share of proposed draws that were accepted
+% neval: number of evaluations (>1 only for slice)
%
% SPECIAL REQUIREMENTS
% none
-% Copyright (C) 2015-16 Dynare Team
+% Copyright (C) 2015-18 Dynare Team
%
% This file is part of Dynare.
%
@@ -121,28 +134,31 @@ switch posterior_sampling_method
else
logpost = -inf;
end
- %get ratio of proposal densities, required because proposal depends
- %on current mode via Hessian and is thus not symmetric anymore
- if strcmpi(sampler_options.proposal_distribution,'rand_multivariate_normal')
- proposal_density_proposed_move_forward=multivariate_normal_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
- proposal_density_proposed_move_backward=multivariate_normal_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
- elseif strcmpi(sampler_options.proposal_distribution,'rand_multivariate_student')
- proposal_density_proposed_move_forward=multivariate_student_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
- proposal_density_proposed_move_backward=multivariate_student_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
- end
- accprob=logpost-last_posterior+ log(proposal_density_proposed_move_backward)-log(proposal_density_proposed_move_forward); %Formula (6), Chib/Ramamurthy
-
- if (logpost > -inf) && (log(rand) < accprob)
- current_draw(indices(blocks==block_iter,1))=proposed_par;
- last_posterior=logpost;
- accepted_draws_counter =accepted_draws_counter +1;
- else %no updating
- %do nothing, keep old value
+
+ if (logpost > -inf)
+ %get ratio of proposal densities, required because proposal depends
+ %on current mode via Hessian and is thus not symmetric anymore
+ if strcmpi(sampler_options.proposal_distribution,'rand_multivariate_normal')
+ proposal_density_proposed_move_forward=multivariate_normal_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
+ proposal_density_proposed_move_backward=multivariate_normal_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
+ elseif strcmpi(sampler_options.proposal_distribution,'rand_multivariate_student')
+ proposal_density_proposed_move_forward=multivariate_student_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
+ proposal_density_proposed_move_backward=multivariate_student_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
+ end
+ accprob=logpost-last_posterior+ log(proposal_density_proposed_move_backward)-log(proposal_density_proposed_move_forward); %Formula (6), Chib/Ramamurthy
+ if (log(rand) < accprob)
+ current_draw(indices(blocks==block_iter,1))=proposed_par;
+ last_posterior=logpost;
+ accepted_draws_counter =accepted_draws_counter +1;
+ else %no updating
+ %do nothing, keep old value
+ end
end
end
accepted=accepted_draws_counter/blocked_draws_counter;
par = current_draw;
neval=1;
+ logpost = last_posterior; %make sure not a temporary draw is returned;
case 'independent_metropolis_hastings'
neval = 1;
ProposalFun = sampler_options.proposal_distribution;
--
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