Added routines for Dynamic Striated Metropolis Hastings.

src/DSMH_initialization.m

+function [ ix2, temperedlogpost, loglik, ModelName, MetropolisFolder, npar, NumberOfParticles, bayestopt_] = ...
+    DSMH_initialization(TargetFun, xparam1, mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+% function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npar, NumberOfParticles, bayestopt_] = ...
+%     DSMH_initialization(TargetFun, xparam1, mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
+% Dynamic Striated Metropolis-Hastings initialization.
+%
+% INPUTS
+%   o TargetFun  [char]     string specifying the name of the objective
+%                           function (tempered posterior kernel and likelihood).
+%   o xparam1    [double]   (p*1) vector of parameters to be estimated (initial values).
+%   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
+%   o options_              options structure
+%   o M_                    model structure
+%   o estim_params_         estimated parameters structure
+%   o bayestopt_            estimation options structure
+%   o oo_                   outputs structure
+%
+% OUTPUTS
+%   o ix2                   [double]    (NumberOfParticles*npar) vector of starting points for different chains
+%   o ilogpo2               [double]    (NumberOfParticles*1) vector of initial posterior values for different chains
+%   o iloglik2              [double]    (NumberOfParticles*1) vector of initial likelihood values for different chains
+%   o ModelName             [string]    name of the mod-file
+%   o MetropolisFolder      [string]    path to the Metropolis subfolder
+%   o npar                  [scalar]    number of parameters estimated
+%   o NumberOfParticles     [scalar]    Number of particles requested for the parameters distributions
+%   o bayestopt_            [structure] estimation options structure
+%
+% SPECIAL REQUIREMENTS
+%   None.
+
+% Copyright (C) 2006-2017 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+%Initialize outputs
+ix2 = [];
+ilogpo2 = [];
+iloglik2 = [];
+ModelName = [];
+MetropolisFolder = [];
+npar = [];
+NumberOfParticles = [];
+
+ModelName = M_.fname;
+if ~isempty(M_.bvar)
+    ModelName = [ModelName '_bvar'];
+end
+
+MetropolisFolder = CheckPath('dsmh',M_.dname);
+BaseName = [MetropolisFolder filesep ModelName];
+
+NumberOfParticles = options_.dsmh.number_of_particles; %Number of particles for the parameters
+npar  = length(xparam1);
+
+% Here we start a new DS Metropolis-Hastings, previous draws are discarded.
+disp('Estimation::dsmh: Initialization...')
+% Delete old dsmh files if any...
+files = dir([BaseName '_dsmh*_blck*.mat']);
+%if length(files)
+%    delete([BaseName '_dsmh*_blck*.mat']);
+%    disp('Estimation::smc: Old dsmh-files successfully erased!')
+%end
+% Delete old log file.
+file = dir([ MetropolisFolder '/dsmh.log']);
+%if length(file)
+%    delete([ MetropolisFolder '/dsmh.log']);
+%    disp('Estimation::dsmh: Old dsmh.log file successfully erased!')
+%    disp('Estimation::dsmh: Creation of a new dsmh.log file.')
+%end
+fidlog = fopen([MetropolisFolder '/dsmh.log'],'w');
+fprintf(fidlog,'%% DSMH log file (Dynare).\n');
+fprintf(fidlog,['%% ' datestr(now,0) '.\n']);
+fprintf(fidlog,' \n\n');
+fprintf(fidlog,'%% Session 1.\n');
+fprintf(fidlog,' \n');
+prior_draw(bayestopt_,options_.prior_trunc);
+% Find initial values for the NumberOfParticles chains...
+set_dynare_seed('default');
+fprintf(fidlog,['  Initial values of the parameters:\n']);
+disp('Estimation::dsmh: Searching for initial values...');
+ix2 = zeros(npar,NumberOfParticles);
+temperedlogpost = zeros(NumberOfParticles,1);
+loglik = zeros(NumberOfParticles,1);
+%stderr = sqrt(bsxfun(@power,mh_bounds.ub-mh_bounds.lb,2)/12)/10;
+for j=1:NumberOfParticles
+    validate = 0;
+    while validate == 0
+    	candidate = prior_draw()';
+%        candidate = xparam1(:) + 0.001*randn(npar,1);%bsxfun(@times,stderr,randn(npar,1)) ;
+        if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
+            ix2(:,j) = candidate ;
+            [temperedlogpost(j),loglik(j)] = tempered_likelihood(TargetFun,candidate,0.0,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
+            if isfinite(loglik(j)) % if returned log-density is Inf or Nan (penalized value)
+                validate = 1;
+            end
+        end
+    end
+end
+fprintf(fidlog,' \n');
+disp('Estimation::dsmh: Initial values found!')
+skipline()
+
+

src/tempered_likelihood.m

+    function [tlogpostkern,loglik] = tempered_likelihood(TargetFun,xparam1,lambda,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_)
+       logpostkern = -feval(TargetFun,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
+       logprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
+       loglik = logpostkern-logprior ;
+       tlogpostkern = lambda*loglik + logprior;