File: gaussian_mixture_filter.m

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function [LIK,lik] = gaussian_mixture_filter(ReducedForm,Y,start,DynareOptions)
% Evaluates the likelihood of a non-linear model approximating the state
% variables distributions with gaussian mixtures. Gaussian Mixture allows reproducing 
% a wide variety of generalized distributions (when multimodal for instance). 
% Each gaussian distribution is obtained whether
%   - with a Smolyak quadrature à la Kronrod & Paterson (Heiss & Winschel 2010, Winschel & Kratzig 2010). 
%   - with a radial-spherical cubature 
%   - with scaled unscented sigma-points
% A Sparse grid Kalman Filter is implemented on each component of the mixture, 
% which confers it a weight about current information. 
% Information on the current observables is then embodied in the proposal 
% distribution in which we draw particles, which allows 
%   - reaching a greater precision relatively to a standard particle filter, 
%   - reducing the number of particles needed, 
%   - still being faster. 
%
%
% INPUTS
%    reduced_form_model     [structure] Matlab's structure describing the reduced form model.
%                                       reduced_form_model.measurement.H   [double]   (pp x pp) variance matrix of measurement errors.
%                                       reduced_form_model.state.Q         [double]   (qq x qq) variance matrix of state errors.
%                                       reduced_form_model.state.dr        [structure] output of resol.m.
%    Y                      [double]    pp*smpl matrix of (detrended) data, where pp is the maximum number of observed variables.
%    start                  [integer]   scalar, likelihood evaluation starts at 'start'.
%
% OUTPUTS
%    LIK        [double]    scalar, likelihood
%    lik        [double]    vector, density of observations in each period.
%
% REFERENCES
%
% Van der Meerwe & Wan, Gaussian Mixture Sigma-Point Particle Filters for Sequential
% Probabilistic Inference in Dynamic State-Space Models.  
% Heiss & Winschel, 2010, Journal of Applied Economics. 
% Winschel & Kratzig, 2010, Econometrica. 
%
% NOTES
%   The vector "lik" is used to evaluate the jacobian of the likelihood.
% Copyright (C) 2009-2013 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/>.

  
persistent init_flag mf0 mf1 Gprime Gsecond
persistent nodes weights weights_c I J G number_of_particles
persistent sample_size number_of_state_variables number_of_observed_variables number_of_structural_innovations

% Set default
if isempty(start)
    start = 1;
end

% Set persistent variables.
if isempty(init_flag)
  mf0 = ReducedForm.mf0;
  mf1 = ReducedForm.mf1;
  sample_size = size(Y,2);
  number_of_state_variables = length(mf0);
  number_of_observed_variables = length(mf1);
  number_of_structural_innovations = length(ReducedForm.Q);
  G = DynareOptions.particle.mixture_state_variables;           % number of GM components in state 
  I = DynareOptions.particle.mixture_structural_shocks ;        % number of GM components in structural noise
  J = DynareOptions.particle.mixture_measurement_shocks ;       % number of GM components in observation noise 
  Gprime = G*I ;
  Gsecond = G*I*J ;
  number_of_particles = DynareOptions.particle.number_of_particles;
  init_flag = 1;
end

SampleWeights = ones(Gsecond,1)/Gsecond ;
% compute gaussian quadrature nodes and weights on states and shocks
if isempty(nodes) && strcmpi(DynareOptions.particle.approximation_method,'quadrature') 
    [nodes,weights] = nwspgr('GQN',number_of_state_variables,DynareOptions.particle.smolyak_accuracy) ;
    weights_c = weights ;
elseif isempty(nodes) && strcmpi(DynareOptions.particle.approximation_method,'cubature')
    [nodes,weights] = spherical_radial_sigma_points(number_of_state_variables) ;
    weights_c = weights ;
elseif isempty(nodes) && strcmpi(DynareOptions.particle.approximation_method,'unscented')
    [nodes,weights,weights_c] = unscented_sigma_points(number_of_state_variables,DynareOptions) ;    
else 
    % Set seed for randn().
    set_dynare_seed('default');
    SampleWeights = 1/number_of_particles ;
end 

% Get covariance matrices
Q = ReducedForm.Q;
H = ReducedForm.H;
if isempty(H)
    H = 0;
    H_lower_triangular_cholesky = 0;
else
    H_lower_triangular_cholesky = reduced_rank_cholesky(H)';
end
Q_lower_triangular_cholesky = reduced_rank_cholesky(Q)';

% Initialize all matrices 
StateWeights = ones(1,G)/G ;
StateMu = ReducedForm.StateVectorMean*ones(1,G) ;
StateSqrtP = zeros(number_of_state_variables,number_of_state_variables,G) ;
for g=1:G
  StateSqrtP(:,:,g) = reduced_rank_cholesky(ReducedForm.StateVectorVariance)' ;
end  

StructuralShocksWeights = ones(1,I)/I ; 
StructuralShocksMu = zeros(number_of_structural_innovations,I) ;
StructuralShocksSqrtP = zeros(number_of_structural_innovations,number_of_structural_innovations,I) ;			
for i=1:I
  StructuralShocksSqrtP(:,:,i) = Q_lower_triangular_cholesky ;
end  

ObservationShocksWeights  = ones(1,J)/J ; 
ObservationShocksMu = zeros(number_of_observed_variables,J) ;
ObservationShocksSqrtP = zeros(number_of_observed_variables,number_of_observed_variables,J) ;			
for j=1:J
  ObservationShocksSqrtP(:,:,j) = H_lower_triangular_cholesky ;
end

StateWeightsPrior = zeros(1,Gprime) ;
StateMuPrior = zeros(number_of_state_variables,Gprime) ;
StateSqrtPPrior = zeros(number_of_state_variables,number_of_state_variables,Gprime) ;

StateWeightsPost = zeros(1,Gsecond) ;
StateMuPost = zeros(number_of_state_variables,Gsecond) ;			
StateSqrtPPost = zeros(number_of_state_variables,number_of_state_variables,Gsecond) ;			

%estimate = zeros(sample_size,number_of_state_variables,3) ;
const_lik = (2*pi)^(.5*number_of_observed_variables) ;

ks = 0 ;
lik  = NaN(sample_size,1);
LIK  = NaN;
for t=1:sample_size
    % Build the proposal joint quadratures of Gaussian on states, structural
    % shocks and observation shocks based on each combination of mixtures 
    for i=1:I 
        for j=1:J 
            for g=1:G ;
                a = g + (j-1)*G ;
                b = a + (i-1)*Gprime ;		
                [StateMuPrior(:,a),StateSqrtPPrior(:,:,a),StateWeightsPrior(1,a),...
                 StateMuPost(:,b),StateSqrtPPost(:,:,b),StateWeightsPost(1,b)] =...
                 gaussian_mixture_filter_bank(ReducedForm,Y(:,t),StateMu(:,g),StateSqrtP(:,:,g),StateWeights(1,g),...
                                                                 StructuralShocksMu(:,i),StructuralShocksSqrtP(:,:,i),StructuralShocksWeights(1,i),...
                                                                 ObservationShocksMu(:,j),ObservationShocksSqrtP(:,:,j),ObservationShocksWeights(1,j),...
                                                                 H,H_lower_triangular_cholesky,const_lik,DynareOptions) ;
            end 
        end
    end
    
    % Normalize weights 
    StateWeightsPrior = StateWeightsPrior/sum(StateWeightsPrior,2) ;			
    StateWeightsPost = StateWeightsPost/sum(StateWeightsPost,2) ;		
    
    if strcmpi(DynareOptions.particle.approximation_method,'quadrature') || ... % sparse grids approximations 
       strcmpi(DynareOptions.particle.approximation_method,'cubature') || ...
       strcmpi(DynareOptions.particle.approximation_method,'unscented')
        for i=1:Gsecond 
            StateParticles = bsxfun(@plus,StateMuPost(:,i),StateSqrtPPost(:,:,i)*nodes') ;    
            IncrementalWeights = gaussian_mixture_densities(Y(:,t),StateMuPrior,StateSqrtPPrior,StateWeightsPrior,...
                                                                   StateMuPost,StateSqrtPPost,StateWeightsPost,...
                                                                   StateParticles,H,const_lik,weights,weights_c,ReducedForm,DynareOptions) ;
            SampleWeights(i) = sum(StateWeightsPost(i)*weights.*IncrementalWeights) ;
        end 
        SumSampleWeights = sum(SampleWeights) ;
        lik(t) = log(SumSampleWeights) ;
        SampleWeights = SampleWeights./SumSampleWeights ;			
        [ras,SortedRandomIndx] = sort(rand(1,Gsecond));        
        SortedRandomIndx = SortedRandomIndx(1:G);
        indx = index_resample(0,SampleWeights,DynareOptions) ;
        indx = indx(SortedRandomIndx) ;
        StateMu = StateMuPost(:,indx);
        StateSqrtP = StateSqrtPPost(:,:,indx);
        StateWeights = ones(1,G)/G ;
    else 
        % Sample particle in the proposal distribution, ie the posterior state GM
        StateParticles = importance_sampling(StateMuPost,StateSqrtPPost,StateWeightsPost',number_of_particles) ;	
        % Compute prior, proposal and likelihood of particles 
        IncrementalWeights = gaussian_mixture_densities(Y(:,t),StateMuPrior,StateSqrtPPrior,StateWeightsPrior,...
                                                               StateMuPost,StateSqrtPPost,StateWeightsPost,...
                                                               StateParticles,H,const_lik,1/number_of_particles,...
                                                               1/number_of_particles,ReducedForm,DynareOptions) ;
        % calculate importance weights of particles 			
        SampleWeights = SampleWeights.*IncrementalWeights ;			
        SumSampleWeights = sum(SampleWeights,1) ;
        SampleWeights = SampleWeights./SumSampleWeights ;			
        lik(t) = log(SumSampleWeights) ;
        % First possible state point estimates
        %estimate(t,:,1) = SampleWeights*StateParticles' ;
        % Resampling if needed of required 
        Neff = 1/sum(bsxfun(@power,SampleWeights,2)) ;
        if (Neff<.5*sample_size && strcmpi(DynareOptions.particle.resampling.status,'generic')) || strcmpi(DynareOptions.particle.resampling.status,'systematic')
            ks = ks + 1 ;
            StateParticles = resample(StateParticles',SampleWeights,DynareOptions)' ; 
            StateVectorMean = mean(StateParticles,2) ;
            StateVectorVarianceSquareRoot = reduced_rank_cholesky( (StateParticles*StateParticles')/number_of_particles - StateVectorMean*(StateVectorMean') )';
            SampleWeights = 1/number_of_particles ;
        elseif strcmpi(DynareOptions.particle.resampling.status,'none')
            StateVectorMean = StateParticles*sampleWeights ;
            temp = sqrt(SampleWeights').*StateParticles ;
            StateVectorVarianceSquareRoot = reduced_rank_cholesky( temp*temp' - StateVectorMean*(StateVectorMean') )';
        end
        % Use the information from particles to update the gaussian mixture on state variables
        [StateMu,StateSqrtP,StateWeights] = fit_gaussian_mixture(StateParticles,StateMu,StateSqrtP,StateWeights,0.001,10,1) ;
        %estimate(t,:,3) = StateWeights*StateMu' ;
    end
end

LIK = -sum(lik(start:end)) ;