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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
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
% OUTPUTS
% o myoutput [struc]
% Contained UDIAG.
%
% ALGORITHM
% Portion of McMCDiagnostics.m function.
%
% SPECIAL REQUIREMENTS.
% None.
% Copyright (C) 2006-2011 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/>.
if nargin<4,
whoiam=0;
end
% Reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
MetropolisFolder=myinputs.MetropolisFolder;%myinputs.MetropolisFolder;
nblck=myinputs.nblck;
NumberOfMcFilesPerBlock=myinputs.NumberOfMcFilesPerBlock;
Origin=myinputs.Origin;
StepSize=myinputs.StepSize;
mh_drop=myinputs.mh_drop;
NumberOfDraws=myinputs.NumberOfDraws;
NumberOfLines=myinputs.NumberOfLines;
time=myinputs.time;
M_=myinputs.M_;
if whoiam
Parallel=myinputs.Parallel;
end
if ~exist('MetropolisFolder'),
MetropolisFolder = CheckPath('metropolis',M_.dname);
end
ALPHA = 0.2; % increase too much with the number of simulations.
tmp = zeros(NumberOfDraws*nblck,3);
UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
if whoiam
waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
if Parallel(ThisMatlab).Local,
waitbarTitle=['Local '];
else
waitbarTitle=[Parallel(ThisMatlab).ComputerName];
end
fMessageStatus(0,whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
end
for j=fpar:npar,
if isoctave
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([MetropolisFolder '/' M_.fname '_mh',int2str(n),'_blck' int2str(b) '.mat'],'x2');
nx2 = size(x2,1);
tmp((b-1)*NumberOfDraws+startline+(1:nx2),1) = x2(:,j);
startline = startline + nx2;
end
end
tmp(:,2) = kron(transpose(1:nblck),ones(NumberOfDraws,1));
tmp(:,3) = kron(ones(nblck,1),time');
tmp = sortrows(tmp,1);
ligne = 0;
for iter = Origin:StepSize:NumberOfDraws
ligne = ligne+1;
linea = ceil(mh_drop*iter);
n = iter-linea+1;
cinf = round(n*ALPHA/2);
csup = round(n*(1-ALPHA/2));
CINF = round(nblck*n*ALPHA/2);
CSUP = round(nblck*n*(1-ALPHA/2));
temp = tmp(find((tmp(:,3)>=linea) & (tmp(:,3)<=iter)),1:2);
UDIAG(ligne,1,j-fpar+1) = temp(CSUP,1)-temp(CINF,1);
moyenne = mean(temp(:,1));%% Pooled mean.
UDIAG(ligne,3,j-fpar+1) = sum((temp(:,1)-moyenne).^2)/(nblck*n-1);
UDIAG(ligne,5,j-fpar+1) = sum(abs(temp(:,1)-moyenne).^3)/(nblck*n-1);
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.
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
if isoctave
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
end
myoutput.UDIAG = UDIAG;
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