From 1f59187b3d34f8870e473ce9fb6e7757efc75151 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Wed, 27 Apr 2016 14:19:20 +0200
Subject: [PATCH] Commented options for slice sampler, including default values
and associated restrictions/default for main options_ fields
---
matlab/check_posterior_sampler_options.m | 54 +++++++++++++++++++++++-
1 file changed, 53 insertions(+), 1 deletion(-)
diff --git a/matlab/check_posterior_sampler_options.m b/matlab/check_posterior_sampler_options.m
index 25305311a8..5ed6cb80e9 100644
--- a/matlab/check_posterior_sampler_options.m
+++ b/matlab/check_posterior_sampler_options.m
@@ -54,6 +54,13 @@ end
% check specific options for slice sampler
if strcmp(options_.posterior_sampling_method,'slice')
+ % by default, slice sampler should trigger
+ % mode_compute=0 and
+ % mh_replic=100 (much smaller than the default mh_replic=20000 of RWMH)
+ % moreover slice must be associated to:
+ % options_.mh_posterior_mode_estimation = 0;
+ % this is done below, but perhaps preprocessing should do this?
+
posterior_sampler_options.parallel_bar_refresh_rate=1;
posterior_sampler_options.serial_bar_refresh_rate=1;
posterior_sampler_options.parallel_bar_title='SLICE';
@@ -76,17 +83,62 @@ if strcmp(options_.posterior_sampling_method,'slice')
for i=1:rows(options_list)
switch options_list{i,1}
case 'rotated'
+ % triggers rotated slice iterations using a covariance
+ % matrix from initial burn-in iterations
+ % must be associated with:
+ % <use_mh_covariance_matrix> or <slice_initialize_with_mode>
+ % default = 0
posterior_sampler_options.rotated = options_list{i,2};
+
case 'mode'
- posterior_sampler_options.mode = options_list{i,2};
+ % for multimodal posteriors, provide the list of modes as a
+ % matrix, ordered by column, i.e. [x1 x2 x3] for three
+ % modes x1 x2 x3
+ % MR note: not sure this is possible with the
+ % read_key_value_string ???
+ % if this is not possible <mode_files> does to job in any case
+ % This will automatically trigger <rotated>
+ % default = []
+ tmp_mode = options_list{i,2};
+ for j=1:size(tmp_mode,2),
+ posterior_sampler_options.mode(j).m = tmp_mode(:,j);
+ end
+
case 'mode_files'
+ % for multimodal posteriors provide a list of mode files,
+ % one per mode. With this info, the code will automatically
+ % set the <mode> option. The mode files need only to
+ % contain the xparam1 variable.
+ % This will automatically trigger <rotated>
+ % default = []
posterior_sampler_options.mode_files = options_list{i,2};
+
case 'slice_initialize_with_mode'
+ % the default for slice is to set mode_compute = 0 in the
+ % preprocessor and start the chain(s) from a random location in the prior.
+ % This option first runs the optimizer and then starts the
+ % chain from the mode. Associated with optios <rotated>, it will
+ % use invhess from the mode to perform rotated slice
+ % iterations.
+ % default = 0
posterior_sampler_options.slice_initialize_with_mode = options_list{i,2};
+
case 'initial_step_size'
+ % sets the initial size of the interval in the STEPPING-OUT PROCEDURE
+ % the initial_step_size must be a real number in [0, 1],
+ % and it sets the size as a proportion of the prior bounds,
+ % i.e. the size will be initial_step_size*(UB-LB)
+ % slice sampler requires prior_truncation > 0!
+ % default = 0.8
posterior_sampler_options.W1 = options_list{i,2}*(bounds.ub-bounds.lb);
+
case 'use_mh_covariance_matrix'
+ % in association with <rotated> indicates to use the
+ % covariance matrix from previous iterations to define the
+ % rotated slice
+ % default = 0
posterior_sampler_options.use_mh_covariance_matrix = options_list{i,2};
+
otherwise
warning(['slice_sampler: Unknown option (' options_list{i,1} ')!'])
end
--
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