From e66508702999b83477ba20c52f1b1428c467440e Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Thu, 29 Oct 2020 16:39:46 +0100
Subject: [PATCH] New option to slice that runs optimiser steps instead of
slice draws: with this one can run optimisers in parallel, starting from
different random locations.
(cherry picked from commit 6d03f78ea645088553a8262879c6e148120b6d85)
---
matlab/check_posterior_sampler_options.m | 6 ++++
matlab/default_option_values.m | 2 ++
matlab/posterior_sampler_iteration.m | 43 ++++++++++++++++++++++++
3 files changed, 51 insertions(+)
diff --git a/matlab/check_posterior_sampler_options.m b/matlab/check_posterior_sampler_options.m
index d518abedbe..13e9307a27 100644
--- a/matlab/check_posterior_sampler_options.m
+++ b/matlab/check_posterior_sampler_options.m
@@ -301,6 +301,12 @@ if init
case 'save_tmp_file'
posterior_sampler_options.save_tmp_file = options_list{i,2};
+ case 'maximize'
+ posterior_sampler_options.maximize = options_list{i,2};
+
+ case 'mode_compute'
+ posterior_sampler_options.mode_compute = options_list{i,2};
+
otherwise
warning(['slice_sampler: Unknown option (' options_list{i,1} ')!'])
end
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 0ebbe0e54a..bc55e9d222 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -470,6 +470,8 @@ options_.posterior_sampler_options.slice.use_mh_covariance_matrix=0;
options_.posterior_sampler_options.slice.WR=[];
options_.posterior_sampler_options.slice.mode_files=[];
options_.posterior_sampler_options.slice.mode=[];
+options_.posterior_sampler_options.slice.maximize=0;
+options_.posterior_sampler_options.slice.mode_compute=5;
options_.posterior_sampler_options.slice.initial_step_size=0.8;
options_.posterior_sampler_options.slice.save_tmp_file=1;
% Independent Metropolis-Hastings
diff --git a/matlab/posterior_sampler_iteration.m b/matlab/posterior_sampler_iteration.m
index 185e990ddf..ae1f369909 100644
--- a/matlab/posterior_sampler_iteration.m
+++ b/matlab/posterior_sampler_iteration.m
@@ -50,8 +50,51 @@ mh_bounds = sampler_options.bounds;
switch posterior_sampling_method
case 'slice'
+ if ~sampler_options.maximize
+
[par, logpost, neval] = slice_sampler(TargetFun,last_draw, [mh_bounds.lb mh_bounds.ub], sampler_options,varargin{:});
accepted = 1;
+
+ else
+ options_=varargin{3};
+ bayestopt_=varargin{6};
+ options_.mode_compute = sampler_options.mode_compute;
+ if options_.mode_compute==5
+ %get whether outer product Hessian is requested
+ newratflag=[];
+ if ~isempty(options_.optim_opt)
+ options_list = read_key_value_string(options_.optim_opt);
+ for i=1:rows(options_list)
+ if strcmp(options_list{i,1},'Hessian')
+ newratflag=options_list{i,2};
+ end
+ end
+ end
+ if options_.analytic_derivation
+ options_analytic_derivation_old = options_.analytic_derivation;
+ options_.analytic_derivation = -1;
+ if ~isempty(newratflag) && newratflag~=0 %numerical hessian explicitly specified
+ error('newrat: analytic_derivation is incompatible with numerical Hessian.')
+ else %use default
+ newratflag=0; %exclude DYNARE numerical hessian
+ end
+ elseif ~options_.analytic_derivation
+ if isempty(newratflag)
+ newratflag=options_.newrat.hess; %use default numerical dynare hessian
+ end
+ end
+ end
+ options_.newrat.Save_files = sampler_options.curr_block;
+ [par, fval, exitflag, hess_mat_optimizer, options_, Scale, new_rat_hess_info] = ...
+ dynare_minimize_objective(TargetFun,last_draw(:),options_.mode_compute,options_,[mh_bounds.lb mh_bounds.ub],bayestopt_.name,bayestopt_,[], ...
+ varargin{:}); %inputs for objective
+
+ logpost = -fval;
+ accepted = 1;
+ neval = 1;
+
+ end
+
case 'random_walk_metropolis_hastings'
neval = 1;
ProposalFun = sampler_options.proposal_distribution;
--
GitLab