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function [ ix2, ilogpo2, ModelName, MetropolisFolder, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
%function [ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] =
% metropolis_hastings_initialization(TargetFun, xparam1, vv, mh_bounds, dataset_,options_,M_,estim_params_,bayestopt_,oo_)
% Metropolis-Hastings initialization.
%
% INPUTS
% o TargetFun [char] string specifying the name of the objective
% function (posterior kernel).
% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
% o vv [double] (p*p) matrix, posterior covariance matrix (at the mode).
% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
% o dataset_ data structure
% o options_ options structure
% o M_ model structure
% o estim_params_ estimated parameters structure
% o bayestopt_ estimation options structure
% o oo_ outputs structure
%
% OUTPUTS
% None
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2006-2013 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/>.
ix2 = [];
ilogpo2 = [];
ModelName = [];
MetropolisFolder = [];
fblck = [];
fline = [];
npar = [];
nblck = [];
nruns = [];
NewFile = [];
MAX_nruns = [];
d = [];
ModelName = M_.fname;
if ~isempty(M_.bvar)
ModelName = [ModelName '_bvar'];
end
MetropolisFolder = CheckPath('metropolis',M_.dname);
BaseName = [MetropolisFolder filesep ModelName];
nblck = options_.mh_nblck;
nruns = ones(nblck,1)*options_.mh_replic;
npar = length(xparam1);
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
d = chol(vv);
if ~options_.load_mh_file && ~options_.mh_recover
% Here we start a new metropolis-hastings, previous draws are discarded.
if nblck > 1
disp('Estimation::mcmc: Multiple chains mode.')
else
disp('Etimation::mcmc: One Chain mode.')
end
% Delete old mh files if any...
files = dir([BaseName '_mh*_blck*.mat']);
if length(files)
delete([BaseName '_mh*_blck*.mat']);
disp('Estimation::mcmc: Old mh-files successfully erased!')
end
% Delete old metropolis log file.
file = dir([ MetropolisFolder '/metropolis.log']);
if length(file)
delete([ MetropolisFolder '/metropolis.log']);
disp('Estimation::mcmc: Old metropolis.log file successfully erased!')
disp('Estimation::mcmc: Creation of a new metropolis.log file.')
end
fidlog = fopen([MetropolisFolder '/metropolis.log'],'w');
fprintf(fidlog,'%% MH log file (Dynare).\n');
fprintf(fidlog,['%% ' datestr(now,0) '.\n']);
fprintf(fidlog,' \n\n');
fprintf(fidlog,'%% Session 1.\n');
fprintf(fidlog,' \n');
fprintf(fidlog,[' Number of blocks...............: ' int2str(nblck) '\n']);
fprintf(fidlog,[' Number of simulations per block: ' int2str(nruns(1)) '\n']);
fprintf(fidlog,' \n');
% Find initial values for the nblck chains...
if nblck > 1% Case 1: multiple chains
fprintf(fidlog,[' Initial values of the parameters:\n']);
disp('Estimation::mcmc: Searching for initial values...')
ix2 = zeros(nblck,npar);
ilogpo2 = zeros(nblck,1);
for j=1:nblck
validate = 0;
init_iter = 0;
trial = 1;
while validate == 0 && trial <= 10
candidate = rand_multivariate_normal( transpose(xparam1), d * options_.mh_init_scale, npar);
if all(candidate(:) > mh_bounds(:,1)) && all(candidate(:) < mh_bounds(:,2))
ix2(j,:) = candidate;
ilogpo2(j) = - feval(TargetFun,ix2(j,:)',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
if ~isfinite(ilogpo2(j)) % if returned log-density is
% Inf or Nan (penalized value)
validate = 0;
else
fprintf(fidlog,[' Blck ' int2str(j) ':\n']);
for i=1:length(ix2(1,:))
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(ix2(j,i)) '\n']);
end
fprintf(fidlog,[' logpo2: ' num2str(ilogpo2(j)) '\n']);
j = j+1;
validate = 1;
end
end
init_iter = init_iter + 1;
if init_iter > 100 && validate == 0
disp(['Estimation::mcmc: I couldn''t get a valid initial value in 100 trials.'])
if options_.nointeractive
disp(['Estimation::mcmc: I reduce mh_init_scale by ten percent:'])
options_.mh_init_scale = .9*options_.mh_init_scale;
disp(sprintf('Estimation::mcmc: Parameter mh_init_scale is now equal to %f.',options_.mh_init_scale))
else
disp(['Estimation::mcmc: You should Reduce mh_init_scale...'])
disp(sprintf('Estimation::mcmc: Parameter mh_init_scale is equal to %f.',options_.mh_init_scale))
options_.mh_init_scale = input('Estimation::mcmc: Enter a new value... ');
end
trial = trial+1;
end
end
if trial > 10 && ~validate
disp(['Estimation::mcmc: I''m unable to find a starting value for block ' int2str(j)])
return
end
end
fprintf(fidlog,' \n');
disp('Estimation::mcmc: Initial values found!')
skipline()
else% Case 2: one chain (we start from the posterior mode)
fprintf(fidlog,[' Initial values of the parameters:\n']);
candidate = transpose(xparam1(:));%
if all(candidate(:) > mh_bounds(:,1)) && all(candidate(:) < mh_bounds(:,2))
ix2 = candidate;
ilogpo2 = - feval(TargetFun,ix2',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
disp('Estimation::mcmc: Initialization at the posterior mode.')
skipline()
fprintf(fidlog,[' Blck ' int2str(1) 'params:\n']);
for i=1:length(ix2(1,:))
fprintf(fidlog,[' ' int2str(i) ':' num2str(ix2(1,i)) '\n']);
end
fprintf(fidlog,[' Blck ' int2str(1) 'logpo2:' num2str(ilogpo2) '\n']);
else
disp('Estimation::mcmc: Initialization failed...')
disp('Estimation::mcmc: The posterior mode lies outside the prior bounds.')
return
end
fprintf(fidlog,' \n');
end
fprintf(fidlog,' \n');
fblck = 1;
fline = ones(nblck,1);
NewFile = ones(nblck,1);
% Delete the mh-history files
delete_mh_history_files(MetropolisFolder, ModelName);
% Create a new record structure
fprintf(['Estimation::mcmc: Write details about the MCMC... ']);
AnticipatedNumberOfFiles = ceil(nruns(1)/MAX_nruns);
AnticipatedNumberOfLinesInTheLastFile = nruns(1) - (AnticipatedNumberOfFiles-1)*MAX_nruns;
record.Nblck = nblck;
record.MhDraws = zeros(1,3);
record.MhDraws(1,1) = nruns(1);
record.MhDraws(1,2) = AnticipatedNumberOfFiles;
record.MhDraws(1,3) = AnticipatedNumberOfLinesInTheLastFile;
record.AcceptanceRatio = zeros(1,nblck);
for j=1:nblck
% we set a different seed for the random generator for each block then we record the corresponding random generator state (vector)
set_dynare_seed(options_.DynareRandomStreams.seed+j);
% record.Seeds keeps a vector of the random generator state and not the scalar seed despite its name
[record.InitialSeeds(j).Unifor,record.InitialSeeds(j).Normal] = get_dynare_random_generator_state();
end
record.InitialParameters = ix2;
record.InitialLogPost = ilogpo2;
record.LastParameters = zeros(nblck,npar);
record.LastLogPost = zeros(nblck,1);
record.LastFileNumber = AnticipatedNumberOfFiles ;
record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
fprintf('Ok!\n');
id = write_mh_history_file(MetropolisFolder, ModelName, record);
disp(['Estimation::mcmc: Details about the MCMC are available in ' BaseName '_mh_history_' num2str(id) '.mat'])
skipline()
fprintf(fidlog,[' CREATION OF THE MH HISTORY FILE!\n\n']);
fprintf(fidlog,[' Expected number of files per block.......: ' int2str(AnticipatedNumberOfFiles) '.\n']);
fprintf(fidlog,[' Expected number of lines in the last file: ' int2str(AnticipatedNumberOfLinesInTheLastFile) '.\n']);
fprintf(fidlog,['\n']);
for j = 1:nblck,
fprintf(fidlog,[' Initial state of the Gaussian random number generator for chain number ',int2str(j),':\n']);
for i=1:length(record.InitialSeeds(j).Normal)
fprintf(fidlog,[' ' num2str(record.InitialSeeds(j).Normal(i)') '\n']);
end
fprintf(fidlog,[' Initial state of the Uniform random number generator for chain number ',int2str(j),':\n']);
for i=1:length(record.InitialSeeds(j).Unifor)
fprintf(fidlog,[' ' num2str(record.InitialSeeds(j).Unifor(i)') '\n']);
end
end,
fprintf(fidlog,' \n');
fclose(fidlog);
elseif options_.load_mh_file && ~options_.mh_recover
% Here we consider previous mh files (previous mh did not crash).
disp('Estimation::mcmc: I am loading past metropolis-hastings simulations...')
load_last_mh_history_file(MetropolisFolder, ModelName);
mh_files = dir([ MetropolisFolder filesep ModelName '_mh*.mat']);
if ~length(mh_files)
error('Estimation::mcmc: I cannot find any MH file to load here!')
end
fidlog = fopen([MetropolisFolder '/metropolis.log'],'a');
fprintf(fidlog,'\n');
fprintf(fidlog,['%% Session ' int2str(length(record.MhDraws(:,1))+1) '.\n']);
fprintf(fidlog,' \n');
fprintf(fidlog,[' Number of blocks...............: ' int2str(nblck) '\n']);
fprintf(fidlog,[' Number of simulations per block: ' int2str(nruns(1)) '\n']);
fprintf(fidlog,' \n');
past_number_of_blocks = record.Nblck;
if past_number_of_blocks ~= nblck
disp('Estimation::mcmc: The specified number of blocks doesn''t match with the previous number of blocks!')
disp(['Estimation::mcmc: You declared ' int2str(nblck) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.'])
disp(['Estimation::mcmc: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ])
nblck = past_number_of_blocks;
options_.mh_nblck = nblck;
end
% I read the last line of the last mh-file for initialization of the new metropolis-hastings simulations:
LastFileNumber = record.LastFileNumber;
LastLineNumber = record.LastLineNumber;
if LastLineNumber < MAX_nruns
NewFile = ones(nblck,1)*LastFileNumber;
fline = ones(nblck,1)*(LastLineNumber+1);
else
NewFile = ones(nblck,1)*(LastFileNumber+1);
fline = ones(nblck,1);
end
ilogpo2 = record.LastLogPost;
ix2 = record.LastParameters;
fblck = 1;
NumberOfPreviousSimulations = sum(record.MhDraws(:,1),1);
fprintf('Estimation::mcmc: I am writting a new mh-history file... ');
record.MhDraws = [record.MhDraws;zeros(1,3)];
NumberOfDrawsWrittenInThePastLastFile = MAX_nruns - LastLineNumber;
NumberOfDrawsToBeSaved = nruns(1) - NumberOfDrawsWrittenInThePastLastFile;
AnticipatedNumberOfFiles = ceil(NumberOfDrawsToBeSaved/MAX_nruns);
AnticipatedNumberOfLinesInTheLastFile = NumberOfDrawsToBeSaved - (AnticipatedNumberOfFiles-1)*MAX_nruns;
record.LastFileNumber = LastFileNumber + AnticipatedNumberOfFiles;
record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
record.MhDraws(end,1) = nruns(1);
record.MhDraws(end,2) = AnticipatedNumberOfFiles;
record.MhDraws(end,3) = AnticipatedNumberOfLinesInTheLastFile;
record.InitialSeeds = record.LastSeeds;
write_mh_history_file(MetropolisFolder, ModelName, record);
fprintf('Done.\n')
disp(['Estimation::mcmc: Ok. I have loaded ' int2str(NumberOfPreviousSimulations) ' simulations.'])
skipline()
fclose(fidlog);
elseif options_.mh_recover
% The previous metropolis-hastings crashed before the end! I try to recover the saved draws...
disp('Estimation::mcmc: Recover mode!')
load_last_mh_history_file(MetropolisFolder, ModelName);
nblck = record.Nblck;% Number of "parallel" mcmc chains.
options_.mh_nblck = nblck;
if size(record.MhDraws,1) == 1
OldMh = 0;% The crashed metropolis was the first session.
else
OldMh = 1;% The crashed metropolis wasn't the first session.
end
% Default initialization:
if OldMh
ilogpo2 = record.LastLogPost;
ix2 = record.LastParameters;
else
ilogpo2 = record.InitialLogPost;
ix2 = record.InitialParameters;
end
% Set NewFile, a nblck*1 vector of integers, and fline (first line), a nblck*1 vector of integers.
if OldMh
LastLineNumberInThePreviousMh = record.MhDraws(end-1,3);% Number of lines in the last mh files of the previous session.
LastFileNumberInThePreviousMh = sum(record.MhDraws(1:end-1,2),1);% Number of mh files in the the previous sessions.
if LastLineNumberInThePreviousMh < MAX_nruns% Test if the last mh files of the previous session are not complete (yes)
NewFile = ones(nblck,1)*LastFileNumberInThePreviousMh;
fline = ones(nblck,1)*(LastLineNumberInThePreviousMh+1);
else% The last mh files of the previous session are complete.
NewFile = ones(nblck,1)*(LastFileNumberInThePreviousMh+1);
fline = ones(nblck,1);
end
else
LastLineNumberInThePreviousMh = 0;
LastFileNumberInThePreviousMh = 0;
NewFile = ones(nblck,1);
fline = ones(nblck,1);
end
% Set fblck (First block), an integer targeting the crashed mcmc chain.
fblck = 1;
% How many mh files should we have ?
ExpectedNumberOfMhFilesPerBlock = sum(record.MhDraws(:,2),1);
ExpectedNumberOfMhFiles = ExpectedNumberOfMhFilesPerBlock*nblck;
% I count the total number of saved mh files...
AllMhFiles = dir([BaseName '_mh*_blck*.mat']);
TotalNumberOfMhFiles = length(AllMhFiles);
% And I quit if I can't find a crashed mcmc chain.
if (TotalNumberOfMhFiles==ExpectedNumberOfMhFiles)
disp('Estimation::mcmc: It appears that you don''t need to use the mh_recover option!')
disp(' You have to edit the mod file and remove the mh_recover option')
disp(' in the estimation command')
error()
end
% I count the number of saved mh files per block.
NumberOfMhFilesPerBlock = zeros(nblck,1);
for b = 1:nblck
BlckMhFiles = dir([BaseName '_mh*_blck' int2str(b) '.mat']);
NumberOfMhFilesPerBlock(b) = length(BlckMhFiles);
end
% Is there a chain with less mh files than expected ?
while fblck <= nblck
if NumberOfMhFilesPerBlock(fblck) < ExpectedNumberOfMhFilesPerBlock
disp(['Estimation::mcmc: Chain ' int2str(fblck) ' is not complete!'])
break
% The mh_recover session will start from chain fblck.
else
disp(['Estimation::mcmc: Chain ' int2str(fblck) ' is complete!'])
end
fblck = fblck+1;
end
% How many mh-files are saved in this block?
NumberOfSavedMhFilesInTheCrashedBlck = NumberOfMhFilesPerBlock(fblck);
% Correct the number of saved mh files if the crashed metropolis was not the first session (so
% that NumberOfSavedMhFilesInTheCrashedBlck is the number of saved mh files in the crashed chain
% of the current session).
if OldMh
NumberOfSavedMhFilesInTheCrashedBlck = NumberOfSavedMhFilesInTheCrashedBlck - LastFileNumberInThePreviousMh;
end
NumberOfSavedMhFiles = NumberOfSavedMhFilesInTheCrashedBlck+LastFileNumberInThePreviousMh;
% Correct initial conditions.
if NumberOfSavedMhFiles
load([BaseName '_mh' int2str(NumberOfSavedMhFiles) '_blck' int2str(fblck) '.mat']);
ilogpo2(fblck) = logpo2(end);
ix2(fblck,:) = x2(end,:);
end
end
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