diff --git a/matlab/McMCDiagnostics_core.m b/matlab/McMCDiagnostics_core.m
index ad58c47e9037e88e6101cbeffcf0d7464812cdd1..755d568b2be28a9b7cbed6d33e8daa780b5363da 100644
--- a/matlab/McMCDiagnostics_core.m
+++ b/matlab/McMCDiagnostics_core.m
@@ -2,17 +2,17 @@ function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
% PARALLEL CONTEXT
% Core functionality for MCMC Diagnostics, which can be parallelized.
% See also the comment in random_walk_metropolis_hastings_core.m funtion.
-
-% INPUTS
+
+% INPUTS
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
% OUTPUTS
% o myoutput [struc]
% Contained UDIAG.
%
-% ALGORITHM
-% Portion of McMCDiagnostics.m function.
+% ALGORITHM
+% Portion of McMCDiagnostics.m function.
%
% SPECIAL REQUIREMENTS.
% None.
@@ -59,7 +59,7 @@ if ~exist('MhDirectoryName'),
MhDirectoryName = CheckPath('metropolis');
end
-ALPHA = 0.2; % increase too much with the number of simulations.
+ALPHA = 0.2; % increase too much with the number of simulations.
tmp = zeros(NumberOfDraws*nblck,3);
UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
@@ -69,30 +69,36 @@ if whoiam
waitbarTitle=['Local '];
else
waitbarTitle=[Parallel(ThisMatlab).ComputerName];
- end
- fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
+ end
+ fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
end
for j=fpar:npar,
- fprintf(' Parameter %d... ',j);
+ if exist('OCTAVE_VERSION'),
+ if (whoiam==0),
+ printf(' Parameter %d... ',j);
+ end
+ else
+ fprintf(' Parameter %d... ',j);
+ end
for b = 1:nblck
startline = 0;
for n = 1:NumberOfMcFilesPerBlock
%load([MhDirectoryName '/' mcfiles(n,1,b).name],'x2');
load([MhDirectoryName '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) ...
- '.mat'],'x2');
+ '.mat'],'x2');
nx2 = size(x2,1);
tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
% clear x2;
startline = startline + nx2;
end
-% $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
-% $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
-% $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
-% $$$ clear x2;
-% $$$ startline = startline + LastLineNumber;
+ % $$$ %load([MhDirectoryName '/' mcfiles(NumberOfMcFilesPerBlock,1,b).name],'x2');
+ % $$$ load([MhDirectoryName '/' M_.fname '_mh',int2str(NumberOfMcFilesPerBlock),'_blck' int2str(b) '.mat'],'x2');
+ % $$$ tmp((b-1)*NumberOfDraws+startline+1:(b-1)*NumberOfDraws+MAX_nruns*(LastFileNumber-1)+LastLineNumber,1) = x2(:,j);
+ % $$$ clear x2;
+ % $$$ startline = startline + LastLineNumber;
end
tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
- tmp(:,3) = kron(ones(nblck,1),time');
+ tmp(:,3) = kron(ones(nblck,1),time');
tmp = sortrows(tmp,1);
ligne = 0;
for iter = Origin:StepSize:NumberOfDraws
@@ -111,13 +117,19 @@ for j=fpar:npar,
for i=1:nblck
pmet = temp(find(temp(:,2)==i));
UDIAG(ligne,2,j-fpar+1) = UDIAG(ligne,2,j-fpar+1) + pmet(csup,1)-pmet(cinf,1);
- moyenne = mean(pmet,1); %% Within mean.
+ moyenne = mean(pmet,1); %% Within mean.
UDIAG(ligne,4,j-fpar+1) = UDIAG(ligne,4,j-fpar+1) + sum((pmet(:,1)-moyenne).^2)/(n-1);
UDIAG(ligne,6,j-fpar+1) = UDIAG(ligne,6,j-fpar+1) + sum(abs(pmet(:,1)-moyenne).^3)/(n-1);
end
end
- fprintf('Done! \n');
- if whoiam,
+ if exist('OCTAVE_VERSION'),
+ if (whoiam==0),
+ printf('Done! \n');
+ end
+ else
+ fprintf('Done! \n');
+ end
+ if whoiam,
waitbarString = [ 'Parameter ' int2str(j) '/' int2str(npar) ' done.'];
fMessageStatus((j-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab))
end
diff --git a/matlab/PosteriorIRF_core1.m b/matlab/PosteriorIRF_core1.m
index 5d47325632a35d267682b238d305503fcc83190b..cb8fa57c39e88407fb89824191b633aca794d9c9 100644
--- a/matlab/PosteriorIRF_core1.m
+++ b/matlab/PosteriorIRF_core1.m
@@ -5,10 +5,10 @@ function myoutput=PosteriorIRF_core1(myinputs,fpar,npar,whoiam, ThisMatlab)
% that running in parallel a 'for' cycle, this function run in parallel a
% 'while' loop! The parallelization of 'while' loop (when possible) is a more
% sophisticated procedure.
-%
+%
% See also the comment in random_walk_metropolis_hastings_core.m funtion.
%
-% INPUTS
+% INPUTS
% See the comment in random_walk_metropolis_hastings_core.m funtion.
%
% OUTPUTS
@@ -16,8 +16,8 @@ function myoutput=PosteriorIRF_core1(myinputs,fpar,npar,whoiam, ThisMatlab)
% Contained:
% OutputFileName_dsge, OutputFileName_param and OutputFileName_bvardsge.
%
-% ALGORITHM
-% Portion of PosteriorIRF.m function. Specifically the 'while' cycle.
+% ALGORITHM
+% Portion of PosteriorIRF.m function. Specifically the 'while' cycle.
%
% SPECIAL REQUIREMENTS.
% None.
@@ -109,10 +109,10 @@ else
h = waitbar(0,'Bayesian (prior) IRFs...');
end
end
-
+
end
-OutputFileName_bvardsge = {};
+OutputFileName_bvardsge = {};
OutputFileName_dsge = {};
OutputFileName_param = {};
@@ -121,25 +121,25 @@ fpar0=fpar;
fpar = fpar-1;
if whoiam
- ifil2=ifil2(whoiam);
- NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge(whoiam);
- NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar(whoiam);
+ ifil2=ifil2(whoiam);
+ NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge(whoiam);
+ NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar(whoiam);
end
% Parallel 'while' very good!!!
-while fpar<npar
+while fpar<npar
fpar = fpar + 1;
irun = irun+1;
irun2 = irun2+1;
- if strcmpi(type,'prior')
+ if strcmpi(type,'prior')
deep = GetOneDraw(type);
else
deep = x(fpar,:);
end
- stock_param(irun2,:) = deep;
+ stock_param(irun2,:) = deep;
set_parameters(deep);
- [dr,info] = resol(oo_.steady_state,0);
+ [dr,info] = resol(oo_.steady_state,0);
if info(1)
nosaddle = nosaddle + 1;
fpar = fpar - 1;
@@ -168,7 +168,7 @@ while fpar<npar
y = 100*y/cs(i,i);
end
for j = 1:nvar
- if max(y(IndxVariables(j),:)) - min(y(IndxVariables(j),:)) > 1e-12
+ if max(y(IndxVariables(j),:)) - min(y(IndxVariables(j),:)) > 1e-12
stock_irf_dsge(:,j,i,irun) = transpose(y(IndxVariables(j),:));
end
end
@@ -179,21 +179,21 @@ while fpar<npar
[fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',gend);
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
DSGE_PRIOR_WEIGHT = floor(gend*(1+dsge_prior_weight));
- SIGMA_inv_upper_chol = chol(inv(SIGMAu*gend*(dsge_prior_weight+1)));
+ SIGMA_inv_upper_chol = chol(inv(SIGMAu*gend*(dsge_prior_weight+1)));
explosive_var = 1;
while explosive_var
% draw from the marginal posterior of SIGMA
SIGMAu_draw = rand_inverse_wishart(nvobs, DSGE_PRIOR_WEIGHT-NumberOfParametersPerEquation, ...
- SIGMA_inv_upper_chol);
+ SIGMA_inv_upper_chol);
% draw from the conditional posterior of PHI
PHI_draw = rand_matrix_normal(NumberOfParametersPerEquation,nvobs, PHI, ...
- chol(SIGMAu_draw)', chol(iXX)');
+ chol(SIGMAu_draw)', chol(iXX)');
Companion_matrix(1:nvobs,:) = transpose(PHI_draw(1:NumberOfLagsTimesNvobs,:));
% Check for stationarity
explosive_var = any(abs(eig(Companion_matrix))>1.000000001);
end
- % Get the mean
- mu = zeros(1,nvobs);
+ % Get the mean
+ mu = zeros(1,nvobs);
% Get rotation
if dsge_prior_weight > 0
Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
@@ -213,7 +213,7 @@ while fpar<npar
end
tmp_dsgevar = kron(ones(options_.irf,1),mu);
for j = 1:(nvobs*M_.exo_nbr)
- if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
+ if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
tmp_dsgevar(:,j) = (irfs(:,j));
end
end
@@ -222,12 +222,12 @@ while fpar<npar
else
stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ...
- int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
+ int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
eval(['save ' instr]);
if RemoteFlag==1,
OutputFileName_bvardsge = [OutputFileName_bvardsge; {[MhDirectoryName filesep], [M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) '.mat']}];
end
- NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
+ NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
IRUN =0;
stock_irf_dsgevar = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
end
@@ -238,7 +238,7 @@ while fpar<npar
if MAX_nirfs_dsgevar & (fpar == npar | IRUN == npar)
stock_irf_bvardsge = stock_irf_bvardsge(:,:,:,1:IRUN);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ...
- int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
+ int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
eval(['save ' instr]);
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
if RemoteFlag==1,
@@ -250,7 +250,7 @@ while fpar<npar
save([MhDirectoryName '/' M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge) '.mat'],'stock_irf_dsge');
if RemoteFlag==1,
OutputFileName_dsge = [OutputFileName_dsge; {[MhDirectoryName filesep], [M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge) '.mat']}];
- end
+ end
NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge+1;
irun = 0;
end
@@ -266,21 +266,25 @@ while fpar<npar
ifil2 = ifil2 + 1;
irun2 = 0;
end
- if exist('OCTAVE_VERSION')
- printf(['Posterior IRF %3.f%% done\r'],(fpar/npar*100));
- elseif ~whoiam
- waitbar(fpar/npar,h);
+ if exist('OCTAVE_VERSION'),
+ if (whoiam==0),
+ printf(['Posterior IRF %3.f%% done\r'],(fpar/npar*100));
+ end
+ elseif ~whoiam,
+ waitbar(fpar/npar,h);
+ end
+ if whoiam,
+ if ~exist('OCTAVE_VERSION')
+ fprintf('Done! \n');
+ end
+ waitbarString = [ 'Subdraw ' int2str(fpar) '/' int2str(npar) ' done.'];
+ fMessageStatus((fpar-fpar0)/(npar-fpar0),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
end
- if whoiam,
- fprintf('Done! \n');
- waitbarString = [ 'Subdraw ' int2str(fpar) '/' int2str(npar) ' done.'];
- fMessageStatus((fpar-fpar0)/(npar-fpar0),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
- end
end
if whoiam==0
if nosaddle
- disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(npar+nosaddle))])
+ disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(npar+nosaddle))])
end
if exist('h')
close(h);
diff --git a/matlab/independent_metropolis_hastings_core.m b/matlab/independent_metropolis_hastings_core.m
index 1feafc0fdaa807a8628564c148aa566136fecfe2..86eb672263cf9d994bcf95e49ed5a3c3c6543e13 100644
--- a/matlab/independent_metropolis_hastings_core.m
+++ b/matlab/independent_metropolis_hastings_core.m
@@ -3,15 +3,15 @@ function myoutput = independent_metropolis_hastings_core(myinputs,fblck,nblck,wh
% The most computationally intensive portion of code in
% independent_metropolis_hastings (the 'for xxx = fblck:nblck' cycle).
% See the comment in random_walk_metropolis_hastings_core.m funtion.
-%
-% INPUTS
+%
+% INPUTS
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
% OUTPUTS
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
%
-% ALGORITHM
-% Portion of Independing Metropolis-Hastings.
+% ALGORITHM
+% Portion of Independing Metropolis-Hastings.
%
% SPECIAL REQUIREMENTS.
% None.
@@ -105,7 +105,7 @@ for b = fblck:nblck,
rand('state',record.Seeds(b).Unifor);
if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
- '_blck' int2str(b) '.mat'])
+ '_blck' int2str(b) '.mat'])
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
OpenOldFile(b) = 0;
@@ -124,22 +124,22 @@ for b = fblck:nblck,
waitbarTitle=['Local '];
else
waitbarTitle=[options_.parallel(ThisMatlab).ComputerName];
- end
+ end
fMessageStatus(0,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab));
else,
hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
set(hh,'Name','Metropolis-Hastings');
-
+
end
isux = 0;
jsux = 0;
irun = fline(b);
j = 1;
while j <= nruns(b)
- par = feval(ProposalFun, xparam1, proposal_covariance, n);
+ par = feval(ProposalFun, xparam1, proposal_covariance, n);
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
try
- logpost = - feval(TargetFun, par(:),varargin{:});
+ logpost = - feval(TargetFun, par(:),varargin{:});
catch,
logpost = -inf;
end
@@ -152,11 +152,11 @@ for b = fblck:nblck,
if (logpost > -inf) && (log(rand) < r)
x2(irun,:) = par;
ix2(b,:) = par;
- logpo2(irun) = logpost;
+ logpo2(irun) = logpost;
ilogpo2(b) = logpost;
isux = isux + 1;
jsux = jsux + 1;
- else
+ else
x2(irun,:) = ix2(b,:);
logpo2(irun) = ilogpo2(b);
end
@@ -164,12 +164,14 @@ for b = fblck:nblck,
if exist('OCTAVE_VERSION') || options_.console_mode
if mod(j, 10) == 0
if exist('OCTAVE_VERSION')
- printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ if (whoiam==0),
+ printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ end
else
fprintf(' MH: Computing Metropolis-Hastings (chain %d/%d): %3.f \b%% done, acception rate: %3.f \b%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
end
end
- if mod(j,50)==0 & whoiam,
+ if mod(j,50)==0 & whoiam,
% keyboard;
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) '), ' sprintf('accept. %3.f%%%%', 100 * isux/j)];
fMessageStatus(prtfrc,whoiam,waitbarString, '', options_.parallel(ThisMatlab))
@@ -177,13 +179,13 @@ for b = fblck:nblck,
else
if mod(j, 3)==0 & ~whoiam
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
- elseif mod(j,50)==0 & whoiam,
+ elseif mod(j,50)==0 & whoiam,
% keyboard;
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)];
fMessageStatus(prtfrc,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab))
end
end
-
+
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
diff --git a/matlab/prior_posterior_statistics_core.m b/matlab/prior_posterior_statistics_core.m
index b6a324a651d33e70c166f94d1ed1f5860426c6c3..c8dbb278f3805e9c409f854bcc12fcad76c57fe8 100644
--- a/matlab/prior_posterior_statistics_core.m
+++ b/matlab/prior_posterior_statistics_core.m
@@ -3,22 +3,22 @@ function myoutput=prior_posterior_statistics_core(myinputs,fpar,B,whoiam, ThisMa
% Core functionality for prior_posterior.m function, which can be parallelized.
% See also the comment in random_walk_metropolis_hastings_core.m funtion.
%
-% INPUTS
+% INPUTS
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
% OUTPUTS
% o myoutput [struc]
-% Contained OutputFileName_smooth;
-% _update;
-% _inno;
-% _error;
-% _filter_step_ahead;
+% Contained OutputFileName_smooth;
+% _update;
+% _inno;
+% _error;
+% _filter_step_ahead;
% _param;
% _forc_mean;
% _forc_point
%
-% ALGORITHM
-% Portion of prior_posterior.m function.
+% ALGORITHM
+% Portion of prior_posterior.m function.
% This file is part of Dynare.
%
% SPECIAL REQUIREMENTS.
@@ -111,37 +111,37 @@ else
else
h = waitbar(0,'Taking subdraws...');
end
-
+
end
if RemoteFlag==1,
-OutputFileName_smooth = {};
-OutputFileName_update = {};
-OutputFileName_inno = {};
-OutputFileName_error = {};
-OutputFileName_filter_step_ahead = {};
-OutputFileName_param = {};
-OutputFileName_forc_mean = {};
-OutputFileName_forc_point = {};
-% OutputFileName_moments = {};
+ OutputFileName_smooth = {};
+ OutputFileName_update = {};
+ OutputFileName_inno = {};
+ OutputFileName_error = {};
+ OutputFileName_filter_step_ahead = {};
+ OutputFileName_param = {};
+ OutputFileName_forc_mean = {};
+ OutputFileName_forc_point = {};
+ % OutputFileName_moments = {};
end
for b=fpar:B
-
+
% [deep, logpo] = GetOneDraw(type);
% set_all_parameters(deep);
% dr = resol(oo_.steady_state,0);
if strcmpi(type,'prior')
-
+
[deep, logpo] = GetOneDraw(type);
-
+
else
deep = x(b,:);
logpo = logpost(b);
end
set_all_parameters(deep);
[dr,info] = resol(oo_.steady_state,0);
-
+
if run_smoother
[alphahat,etahat,epsilonhat,alphatilde,SteadyState,trend_coeff,aK] = ...
DsgeSmoother(deep,gend,Y,data_index,missing_value);
@@ -164,7 +164,7 @@ for b=fpar:B
if naK
stock_filter_step_ahead(:,dr.order_var,:,irun(4)) = aK(options_.filter_step_ahead,1:endo_nbr,:);
end
-
+
if horizon
yyyy = alphahat(iendo,i_last_obs);
yf = forcst2a(yyyy,dr,zeros(horizon,exo_nbr));
@@ -190,19 +190,19 @@ for b=fpar:B
else
yf1 = yf1 + repmat(SteadyState',[horizon+maxlag,1,1]);
end
-
+
stock_forcst_mean(:,:,irun(6)) = yf';
stock_forcst_point(:,:,irun(7)) = yf1';
end
-
+
end
stock_param(irun(5),:) = deep;
stock_logpo(irun(5),1) = logpo;
stock_ys(irun(5),:) = SteadyState';
-
+
irun = irun + ones(7,1);
-
-
+
+
if irun(1) > MAX_nsmoo || b == B
stock = stock_smooth(:,:,1:irun(1)-1);
ifil(1) = ifil(1) + 1;
@@ -211,72 +211,72 @@ for b=fpar:B
stock = stock_update(:,:,1:irun(1)-1);
save([DirectoryName '/' M_.fname '_update' int2str(ifil(1)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_smooth = [OutputFileName_smooth; {[DirectoryName filesep], [M_.fname '_smooth' int2str(ifil(1)) '.mat']}];
- OutputFileName_update = [OutputFileName_update; {[DirectoryName filesep], [M_.fname '_update' int2str(ifil(1)) '.mat']}];
+ OutputFileName_smooth = [OutputFileName_smooth; {[DirectoryName filesep], [M_.fname '_smooth' int2str(ifil(1)) '.mat']}];
+ OutputFileName_update = [OutputFileName_update; {[DirectoryName filesep], [M_.fname '_update' int2str(ifil(1)) '.mat']}];
end
irun(1) = 1;
end
-
+
if irun(2) > MAX_ninno || b == B
stock = stock_innov(:,:,1:irun(2)-1);
ifil(2) = ifil(2) + 1;
save([DirectoryName '/' M_.fname '_inno' int2str(ifil(2)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_inno = [OutputFileName_inno; {[DirectoryName filesep], [M_.fname '_inno' int2str(ifil(2)) '.mat']}];
+ OutputFileName_inno = [OutputFileName_inno; {[DirectoryName filesep], [M_.fname '_inno' int2str(ifil(2)) '.mat']}];
end
irun(2) = 1;
end
-
+
if nvn && (irun(3) > MAX_nerro || b == B)
stock = stock_error(:,:,1:irun(3)-1);
ifil(3) = ifil(3) + 1;
save([DirectoryName '/' M_.fname '_error' int2str(ifil(3)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_error = [OutputFileName_error; {[DirectoryName filesep], [M_.fname '_error' int2str(ifil(3)) '.mat']}];
+ OutputFileName_error = [OutputFileName_error; {[DirectoryName filesep], [M_.fname '_error' int2str(ifil(3)) '.mat']}];
end
irun(3) = 1;
end
-
+
if naK && (irun(4) > MAX_naK || b == B)
stock = stock_filter_step_ahead(:,:,:,1:irun(4)-1);
ifil(4) = ifil(4) + 1;
save([DirectoryName '/' M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_filter_step_ahead = [OutputFileName_filter_step_ahead; {[DirectoryName filesep], [M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat']}];
+ OutputFileName_filter_step_ahead = [OutputFileName_filter_step_ahead; {[DirectoryName filesep], [M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat']}];
end
irun(4) = 1;
end
-
+
if irun(5) > MAX_nruns || b == B
stock = stock_param(1:irun(5)-1,:);
ifil(5) = ifil(5) + 1;
save([DirectoryName '/' M_.fname '_param' int2str(ifil(5)) '.mat'],'stock','stock_logpo','stock_ys');
if RemoteFlag==1,
- OutputFileName_param = [OutputFileName_param; {[DirectoryName filesep], [M_.fname '_param' int2str(ifil(5)) '.mat']}];
+ OutputFileName_param = [OutputFileName_param; {[DirectoryName filesep], [M_.fname '_param' int2str(ifil(5)) '.mat']}];
end
irun(5) = 1;
end
-
+
if horizon && (irun(6) > MAX_nforc1 || b == B)
stock = stock_forcst_mean(:,:,1:irun(6)-1);
ifil(6) = ifil(6) + 1;
save([DirectoryName '/' M_.fname '_forc_mean' int2str(ifil(6)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_forc_mean = [OutputFileName_forc_mean; {[DirectoryName filesep], [M_.fname '_forc_mean' int2str(ifil(6)) '.mat']}];
+ OutputFileName_forc_mean = [OutputFileName_forc_mean; {[DirectoryName filesep], [M_.fname '_forc_mean' int2str(ifil(6)) '.mat']}];
end
irun(6) = 1;
end
-
+
if horizon && (irun(7) > MAX_nforc2 || b == B)
stock = stock_forcst_point(:,:,1:irun(7)-1);
ifil(7) = ifil(7) + 1;
save([DirectoryName '/' M_.fname '_forc_point' int2str(ifil(7)) '.mat'],'stock');
if RemoteFlag==1,
- OutputFileName_forc_point = [OutputFileName_forc_point; {[DirectoryName filesep], [M_.fname '_forc_point' int2str(ifil(7)) '.mat']}];
+ OutputFileName_forc_point = [OutputFileName_forc_point; {[DirectoryName filesep], [M_.fname '_forc_point' int2str(ifil(7)) '.mat']}];
end
irun(7) = 1;
end
-
+
% if moments_varendo && (irun(8) > MAX_momentsno || b == B)
% stock = stock_moments(1:irun(8)-1);
% ifil(8) = ifil(8) + 1;
@@ -286,18 +286,22 @@ for b=fpar:B
% end
% irun(8) = 1;
% end
-
-% DirectoryName=TempPath;
-
-
- if exist('OCTAVE_VERSION')
- printf('Taking subdraws: %3.f%% done\r', b/B*100);
+
+ % DirectoryName=TempPath;
+
+
+ if exist('OCTAVE_VERSION'),
+ if (whoiam==0),
+ printf('Taking subdraws: %3.f%% done\r', b/B*100);
+ end
elseif ~whoiam,
waitbar(b/B,h);
end
-
+
if whoiam,
- fprintf('Done! \n');
+ if ~exist('OCTAVE_VERSION')
+ fprintf('Done! \n');
+ end
waitbarString = [ 'Subdraw ' int2str(b) '/' int2str(B) ' done.'];
fMessageStatus((b-fpar+1)/(B-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
end
@@ -305,15 +309,15 @@ end
myoutput.ifil=ifil;
if RemoteFlag==1,
-myoutput.OutputFileName = [OutputFileName_smooth;
-OutputFileName_update;
-OutputFileName_inno;
-OutputFileName_error;
-OutputFileName_filter_step_ahead;
-OutputFileName_param;
-OutputFileName_forc_mean;
-OutputFileName_forc_point];
-% OutputFileName_moments];
+ myoutput.OutputFileName = [OutputFileName_smooth;
+ OutputFileName_update;
+ OutputFileName_inno;
+ OutputFileName_error;
+ OutputFileName_filter_step_ahead;
+ OutputFileName_param;
+ OutputFileName_forc_mean;
+ OutputFileName_forc_point];
+ % OutputFileName_moments];
end
if exist('OCTAVE_VERSION')
@@ -323,5 +327,5 @@ else
if exist('h')
close(h)
end
-
+
end
diff --git a/matlab/random_walk_metropolis_hastings_core.m b/matlab/random_walk_metropolis_hastings_core.m
index f903ce1be8b4c483b9ee033072d176549d7c1ec9..0e3a1750cccc1f088b6a6a04e475ca219d4912bf 100644
--- a/matlab/random_walk_metropolis_hastings_core.m
+++ b/matlab/random_walk_metropolis_hastings_core.m
@@ -3,8 +3,8 @@ function myoutput = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,wh
% This function contain the most computationally intensive portion of code in
% random_walk_metropolis_hastings (the 'for xxx = fblck:nblck' loop). The branches in 'for'
% cycle and are completely independent than suitable to be executed in parallel way.
-%
-% INPUTS
+%
+% INPUTS
% o myimput [struc] The mandatory variables for local/remote
% parallel computing obtained from random_walk_metropolis_hastings.m
% function.
@@ -26,8 +26,8 @@ function myoutput = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,wh
% NewFile;
% OutputFileName
%
-% ALGORITHM
-% Portion of Metropolis-Hastings.
+% ALGORITHM
+% Portion of Metropolis-Hastings.
%
% SPECIAL REQUIREMENTS.
% None.
@@ -88,16 +88,16 @@ nruns=myinputs.nruns;
NewFile=myinputs.NewFile;
MAX_nruns=myinputs.MAX_nruns;
d=myinputs.d;
-InitSizeArray=myinputs.InitSizeArray;
+InitSizeArray=myinputs.InitSizeArray;
record=myinputs.record;
varargin=myinputs.varargin;
% Necessary only for remote computing!
if whoiam
- Parallel=myinputs.Parallel;
- % initialize persistent variables in priordens()
- priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, ...
- bayestopt_.p3,bayestopt_.p4,1);
+ Parallel=myinputs.Parallel;
+ % initialize persistent variables in priordens()
+ priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7, ...
+ bayestopt_.p3,bayestopt_.p4,1);
end
% (re)Set the penalty
@@ -138,7 +138,7 @@ for b = fblck:nblck,
rand('state',record.Seeds(b).Unifor);
if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
- '_blck' int2str(b) '.mat'])
+ '_blck' int2str(b) '.mat'])
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
OpenOldFile(b) = 0;
@@ -160,14 +160,14 @@ for b = fblck:nblck,
hh = waitbar(0,['Please wait... Metropolis-Hastings (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
set(hh,'Name','Metropolis-Hastings');
end
-
+
end
if whoiam
if options_.parallel(ThisMatlab).Local,
waitbarTitle=['Local '];
else
waitbarTitle=[options_.parallel(ThisMatlab).ComputerName];
- end
+ end
prc0=(b-fblck)/(nblck-fblck+1)*(exist('OCTAVE_VERSION') || options_.console_mode);
fMessageStatus(prc0,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab));
end
@@ -179,7 +179,7 @@ for b = fblck:nblck,
par = feval(ProposalFun, ix2(b,:), proposal_covariance_Cholesky_decomposition, n);
if all( par(:) > mh_bounds(:,1) ) & all( par(:) < mh_bounds(:,2) )
try
- logpost = - feval(TargetFun, par(:),varargin{:});
+ logpost = - feval(TargetFun, par(:),varargin{:});
catch
logpost = -inf;
end
@@ -189,11 +189,11 @@ for b = fblck:nblck,
if (logpost > -inf) && (log(rand) < logpost-ilogpo2(b))
x2(irun,:) = par;
ix2(b,:) = par;
- logpo2(irun) = logpost;
+ logpo2(irun) = logpost;
ilogpo2(b) = logpost;
isux = isux + 1;
jsux = jsux + 1;
- else
+ else
x2(irun,:) = ix2(b,:);
logpo2(irun) = ilogpo2(b);
end
@@ -201,14 +201,16 @@ for b = fblck:nblck,
if exist('OCTAVE_VERSION') || options_.console_mode
if mod(j, 10) == 0
if exist('OCTAVE_VERSION')
- printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ if (whoiam==0)
+ printf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acception rate: %3.f%%\r', b, nblck, 100 * prtfrc, 100 * isux / j);
+ end
else
s0=repmat('\b',1,length(newString));
newString=sprintf('MH: Computing Metropolis-Hastings (chain %d/%d): %3.f%% done, acceptance rate: %3.f%%', b, nblck, 100 * prtfrc, 100 * isux / j);
fprintf([s0,'%s'],newString);
end
end
- if mod(j,50)==0 & whoiam
+ if mod(j,50)==0 & whoiam
% keyboard;
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) '), ' sprintf('accept. %3.f%%', 100 * isux/j)];
fMessageStatus((b-fblck)/(nblck-fblck+1)+prtfrc/(nblck-fblck+1),whoiam,waitbarString, '', options_.parallel(ThisMatlab));
@@ -216,13 +218,13 @@ for b = fblck:nblck,
else
if mod(j, 3)==0 & ~whoiam
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
- elseif mod(j,50)==0 & whoiam,
+ elseif mod(j,50)==0 & whoiam,
% keyboard;
waitbarString = [ '(' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)];
fMessageStatus(prtfrc,whoiam,waitbarString, waitbarTitle, options_.parallel(ThisMatlab));
end
end
-
+
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');