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function random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
%function record=random_walk_metropolis_hastings(TargetFun,ProposalFun,xparam1,vv,mh_bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_)
% Random walk Metropolis-Hastings algorithm.
%
% 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
%
% ALGORITHM
% Metropolis-Hastings.
%
% SPECIAL REQUIREMENTS
% None.
%
% PARALLEL CONTEXT
% The most computationally intensive part of this function may be executed
% in parallel. The code sutable to be executed in
% parallel on multi core or cluster machine (in general a 'for' cycle),
% is removed from this function and placed in random_walk_metropolis_hastings_core.m funtion.
% Then the DYNARE parallel package contain a set of pairs matlab functions that can be executed in
% parallel and called name_function.m and name_function_core.m.
% In addition in parallel package we have second set of functions used
% to manage the parallel computation.
%
% This function was the first function to be parallelized, later other
% functions have been parallelized using the same methodology.
% Then the comments write here can be used for all the other pairs of
% parallel functions and also for management funtions.
% 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/>.
% In Metropolis, we set penalty to Inf to as to reject all parameter sets triggering error in target density computation
global objective_function_penalty_base
objective_function_penalty_base = Inf;
% Initialization of the random walk metropolis-hastings chains.
[ 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_);
InitSizeArray = min([repmat(MAX_nruns,nblck,1) fline+nruns-1],[],2);
% Load last mh history file
load_last_mh_history_file(MetropolisFolder, ModelName);
% Only for test parallel results!!!
% To check the equivalence between parallel and serial computation!
% First run in serial mode, and then comment the follow line.
% save('recordSerial.mat','-struct', 'record');
% For parllel runs after serial runs with the abobe line active.
% TempRecord=load('recordSerial.mat');
% record.Seeds=TempRecord.Seeds;
% Snapshot of the current state of computing. It necessary for the parallel
% execution (i.e. to execute in a corretct way portion of code remotely or
% on many core). The mandatory variables for local/remote parallel
% computing are stored in localVars struct.
localVars = struct('TargetFun', TargetFun, ...
'ProposalFun', ProposalFun, ...
'xparam1', xparam1, ...
'vv', vv, ...
'mh_bounds', mh_bounds, ...
'ix2', ix2, ...
'ilogpo2', ilogpo2, ...
'ModelName', ModelName, ...
'fline', fline, ...
'npar', npar, ...
'nruns', nruns, ...
'NewFile', NewFile, ...
'MAX_nruns', MAX_nruns, ...
'd', d, ...
'InitSizeArray',InitSizeArray, ...
'record', record, ...
'dataset_', dataset_, ...
'options_', options_, ...
'M_',M_, ...
'bayestopt_', bayestopt_, ...
'estim_params_', estim_params_, ...
'oo_', oo_,...
'varargin',[]);
% The user don't want to use parallel computing, or want to compute a
% single chain. In this cases Random walk Metropolis-Hastings algorithm is
% computed sequentially.
if isnumeric(options_.parallel) || (nblck-fblck)==0,
fout = random_walk_metropolis_hastings_core(localVars, fblck, nblck, 0);
record = fout.record;
% Parallel in Local or remote machine.
else
% Global variables for parallel routines.
globalVars = struct();
% which files have to be copied to run remotely
NamFileInput(1,:) = {'',[ModelName '_static.m']};
NamFileInput(2,:) = {'',[ModelName '_dynamic.m']};
if options_.steadystate_flag,
NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_steadystate.m']};
end
if (options_.load_mh_file~=0) && any(fline>1) ,
NamFileInput(length(NamFileInput)+1,:)={[M_.dname '/metropolis/'],[ModelName '_mh' int2str(NewFile(1)) '_blck*.mat']};
end
if exist([ModelName '_optimal_mh_scale_parameter.mat'])
NamFileInput(length(NamFileInput)+1,:)={'',[ModelName '_optimal_mh_scale_parameter.mat']};
end
% from where to get back results
% NamFileOutput(1,:) = {[M_.dname,'/metropolis/'],'*.*'};
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, fblck, nblck,NamFileInput,'random_walk_metropolis_hastings_core', localVars, globalVars, options_.parallel_info);
for j=1:totCPU,
offset = sum(nBlockPerCPU(1:j-1))+fblck-1;
record.LastLogPost(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastLogPost(offset+1:sum(nBlockPerCPU(1:j)));
record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:)=fout(j).record.LastParameters(offset+1:sum(nBlockPerCPU(1:j)),:);
record.AcceptanceRatio(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.AcceptanceRatio(offset+1:sum(nBlockPerCPU(1:j)));
record.LastSeeds(offset+1:sum(nBlockPerCPU(1:j)))=fout(j).record.LastSeeds(offset+1:sum(nBlockPerCPU(1:j)));
end
end
irun = fout(1).irun;
NewFile = fout(1).NewFile;
update_last_mh_history_file(MetropolisFolder, ModelName, record);
skipline()
disp(['Estimation::mcmc: Number of mh files: ' int2str(NewFile(1)) ' per block.'])
disp(['Estimation::mcmc: Total number of generated files: ' int2str(NewFile(1)*nblck) '.'])
disp(['Estimation::mcmc: Total number of iterations: ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])
disp(['Estimation::mcmc: Current acceptance ratio per chain: '])
for i=1:nblck
if i<10
disp([' Chain ' num2str(i) ': ' num2str(100*record.AcceptanceRatio(i)) '%'])
else
disp([' Chain ' num2str(i) ': ' num2str(100*record.AcceptanceRatio(i)) '%'])
end
end
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