From e22fea1715edc116cdd8db7dbf0c09498c09bc61 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Thu, 17 Oct 2024 16:06:53 +0200
Subject: [PATCH] Add an option for second resampling (default = none).
---
matlab/default_option_values.m | 1 +
matlab/estimation/check_posterior_sampler_options.m | 4 +++-
matlab/estimation/online/online_auxiliary_filter.m | 8 +-------
3 files changed, 5 insertions(+), 8 deletions(-)
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 6d6919166..928895146 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -515,6 +515,7 @@ options_.posterior_sampler_options.dsmh.tau = 10 ;
options_.posterior_sampler_options.online.particles= 5000 ;
options_.posterior_sampler_options.online.liu_west_delta = 0.99 ;
options_.posterior_sampler_options.online.liu_west_max_resampling_tries = 5000 ;
+options_.posterior_sampler_options.online.systematic_resampling = false;
options_.trace_plot_ma = 200;
options_.mh_autocorrelation_function_size = 30;
diff --git a/matlab/estimation/check_posterior_sampler_options.m b/matlab/estimation/check_posterior_sampler_options.m
index 12d570057..ccf43fed1 100644
--- a/matlab/estimation/check_posterior_sampler_options.m
+++ b/matlab/estimation/check_posterior_sampler_options.m
@@ -458,7 +458,9 @@ if init
case 'liu_west_delta'
posterior_sampler_options.liu_west_delta = options_list{i,2};
case 'liu_west_max_resampling_tries'
- posterior_sampler_options.liu_west_max_resampling_tries= options_list{i,2};
+ posterior_sampler_options.liu_west_max_resampling_tries = options_list{i,2};
+ case 'systematic_resampling'
+ posterior_sampler_options.systematic_resampling = options_list{i,2};
otherwise
warning(['online: Unknown option (' options_list{i,1} ')!'])
end
diff --git a/matlab/estimation/online/online_auxiliary_filter.m b/matlab/estimation/online/online_auxiliary_filter.m
index d1fce18e6..fbd693638 100644
--- a/matlab/estimation/online/online_auxiliary_filter.m
+++ b/matlab/estimation/online/online_auxiliary_filter.m
@@ -40,7 +40,6 @@ function online_auxiliary_filter(xparam1, dataset_, options_, M_, estim_params_,
% Set seed for randn().
options_ = set_dynare_seed_local_options(options_,'default');
pruning = options_.particle.pruning;
-second_resample = options_.particle.resampling.status.systematic;
variance_update = true;
online_opt = options_.posterior_sampler_options.current_options;
@@ -102,7 +101,6 @@ weights = ones(1,number_of_particles)/number_of_particles;
% Initialization of the likelihood.
const_lik = log(2*pi)*number_of_observed_variables;
mean_xparam = zeros(number_of_parameters,sample_size);
-%mode_xparam = zeros(number_of_parameters,sample_size);
median_xparam = zeros(number_of_parameters,sample_size);
std_xparam = zeros(number_of_parameters,sample_size);
lb95_xparam = zeros(number_of_parameters,sample_size);
@@ -315,9 +313,7 @@ for t=1:sample_size
variance_update = false;
end
% final resampling (not advised)
- if second_resample
-% [~, idmode] = max(weights);
-% mode_xparam(:,t) = xparam(:,idmode);
+ if online_opt.systematic_resampling
indx = kitagawa(weights);
StateVectors = StateVectors(:,indx) ;
if pruning
@@ -340,8 +336,6 @@ for t=1:sample_size
save(sprintf('%s%sparameters_particles_final.mat', SimulationFolder, filesep()), 'param');
end
else
-% [~, idmode] = max(weights);
-% mode_xparam(:,t) = xparam(:,idmode);
mean_xparam(:,t) = xparam*(weights');
mat_var_cov = bsxfun(@minus, xparam,mean_xparam(:,t));
mat_var_cov = mat_var_cov*(bsxfun(@times, mat_var_cov, weights)');
--
GitLab