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function myoutput = random_walk_metropolis_hastings_core(myinputs,fblck,nblck,whoiam, ThisMatlab)
% PARALLEL CONTEXT
% 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
% o myimput [struc] The mandatory variables for local/remote
% parallel computing obtained from random_walk_metropolis_hastings.m
% function.
% o fblck and nblck [integer] The Metropolis-Hastings chains.
% o whoiam [integer] In concurrent programming a modality to refer to the differents thread running in parallel is needed.
% The integer whoaim is the integer that
% allows us to distinguish between them. Then it is the index number of this CPU among all CPUs in the
% cluster.
% o ThisMatlab [integer] Allows us to distinguish between the
% 'main' matlab, the slave matlab worker, local matlab, remote matlab,
% ... Then it is the index number of this slave machine in the cluster.
% OUTPUTS
% o myoutput [struc]
% If executed without parallel is the original output of 'for b =
% fblck:nblck' otherwise a portion of it computed on a specific core or
% remote machine. In this case:
% record;
% irun;
% NewFile;
% OutputFileName
%
% ALGORITHM
% Portion of 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,
% 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 functios that can be executed in
% parallel and called name_function.m and name_function_core.m.
% In addition in the 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/>.
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:
TargetFun=myinputs.TargetFun;
ProposalFun=myinputs.ProposalFun;
xparam1=myinputs.xparam1;
vv=myinputs.vv;
mh_bounds=myinputs.mh_bounds;
ix2=myinputs.ix2;
ilogpo2=myinputs.ilogpo2;
ModelName=myinputs.ModelName;
fline=myinputs.fline;
npar=myinputs.npar;
nruns=myinputs.nruns;
NewFile=myinputs.NewFile;
MAX_nruns=myinputs.MAX_nruns;
d=myinputs.d;
InitSizeArray=myinputs.InitSizeArray;
record=myinputs.record;
dataset_ = myinputs.dataset_;
bayestopt_ = myinputs.bayestopt_;
estim_params_ = myinputs.estim_params_;
options_ = myinputs.options_;
M_ = myinputs.M_;
oo_ = myinputs.oo_;
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);
end
MetropolisFolder = CheckPath('metropolis',M_.dname);
ModelName = M_.fname;
BaseName = [MetropolisFolder filesep ModelName];
options_.lik_algo = 1;
OpenOldFile = ones(nblck,1);
if strcmpi(ProposalFun,'rand_multivariate_normal')
n = npar;
elseif strcmpi(ProposalFun,'rand_multivariate_student')
n = options_.student_degrees_of_freedom;
end
%
% NOW i run the (nblck-fblck+1) metropolis-hastings chains
%
proposal_covariance_Cholesky_decomposition = d*diag(bayestopt_.jscale);
jloop=0;
JSUM = 0;
for b = fblck:nblck,
jloop=jloop+1;
try
% This will not work if the master uses a random generator not
% available in the slave (different Matlab version or
% Matlab/Octave cluster). Therefor the trap.
%
% This set the random generator type (the seed is useless but
% needed by the function)
set_dynare_seed(options_.DynareRandomStreams.algo, options_.DynareRandomStreams.seed);
% This set the state
set_dynare_random_generator_state(record.InitialSeeds(b).Unifor, record.InitialSeeds(b).Normal);
catch
% If the state set by master is incompatible with the slave, we
% only reseed
set_dynare_seed(options_.DynareRandomStreams.seed+b);
end
if (options_.load_mh_file~=0) && (fline(b)>1) && OpenOldFile(b)
load([BaseName '_mh' int2str(NewFile(b)) '_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;
else
x2 = zeros(InitSizeArray(b),npar);
logpo2 = zeros(InitSizeArray(b),1);
end
if whoiam
prc0=(b-fblck)/(nblck-fblck+1)*(isoctave || options_.console_mode);
hh = dyn_waitbar({prc0,whoiam,options_.parallel(ThisMatlab)},['MH (' int2str(b) '/' int2str(options_.mh_nblck) ')...']);
else
hh = dyn_waitbar(0,['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, ix2(b,:), proposal_covariance_Cholesky_decomposition, n);
if all( par(:) > mh_bounds(:,1) ) && all( par(:) < mh_bounds(:,2) )
try
logpost = - feval(TargetFun, par(:),dataset_,options_,M_,estim_params_,bayestopt_,oo_);
catch
logpost = -inf;
end
else
logpost = -inf;
end
if (logpost > -inf) && (log(rand) < logpost-ilogpo2(b))
x2(irun,:) = par;
ix2(b,:) = par;
logpo2(irun) = logpost;
ilogpo2(b) = logpost;
isux = isux + 1;
jsux = jsux + 1;
else
x2(irun,:) = ix2(b,:);
logpo2(irun) = ilogpo2(b);
end
prtfrc = j/nruns(b);
if (mod(j, 3)==0 && ~whoiam) || (mod(j,50)==0 && whoiam)
dyn_waitbar(prtfrc,hh,[ 'MH (' int2str(b) '/' int2str(options_.mh_nblck) ') ' sprintf('Current acceptance ratio %4.3f', isux/j)]);
end
if (irun == InitSizeArray(b)) || (j == nruns(b)) % Now I save the simulations
save([BaseName '_mh' int2str(NewFile(b)) '_blck' int2str(b) '.mat'],'x2','logpo2');
fidlog = fopen([MetropolisFolder '/metropolis.log'],'a');
fprintf(fidlog,['\n']);
fprintf(fidlog,['%% Mh' int2str(NewFile(b)) 'Blck' int2str(b) ' (' datestr(now,0) ')\n']);
fprintf(fidlog,' \n');
fprintf(fidlog,[' Number of simulations.: ' int2str(length(logpo2)) '\n']);
fprintf(fidlog,[' Acceptance ratio......: ' num2str(jsux/length(logpo2)) '\n']);
fprintf(fidlog,[' Posterior mean........:\n']);
for i=1:length(x2(1,:))
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(mean(x2(:,i))) '\n']);
end
fprintf(fidlog,[' log2po:' num2str(mean(logpo2)) '\n']);
fprintf(fidlog,[' Minimum value.........:\n']);
for i=1:length(x2(1,:))
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(min(x2(:,i))) '\n']);
end
fprintf(fidlog,[' log2po:' num2str(min(logpo2)) '\n']);
fprintf(fidlog,[' Maximum value.........:\n']);
for i=1:length(x2(1,:))
fprintf(fidlog,[' params:' int2str(i) ': ' num2str(max(x2(:,i))) '\n']);
end
fprintf(fidlog,[' log2po:' num2str(max(logpo2)) '\n']);
fprintf(fidlog,' \n');
fclose(fidlog);
jsux = 0;
if j == nruns(b) % I record the last draw...
record.LastParameters(b,:) = x2(end,:);
record.LastLogPost(b) = logpo2(end);
end
% size of next file in chain b
InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
% initialization of next file if necessary
if InitSizeArray(b)
x2 = zeros(InitSizeArray(b),npar);
logpo2 = zeros(InitSizeArray(b),1);
NewFile(b) = NewFile(b) + 1;
irun = 0;
end
end
j=j+1;
irun = irun + 1;
end% End of the simulations for one mh-block.
record.AcceptanceRatio(b) = isux/j;
dyn_waitbar_close(hh);
[record.LastSeeds(b).Unifor, record.LastSeeds(b).Normal] = get_dynare_random_generator_state();
OutputFileName(jloop,:) = {[MetropolisFolder,filesep], [ModelName '_mh*_blck' int2str(b) '.mat']};
end% End of the loop over the mh-blocks.
myoutput.record = record;
myoutput.irun = irun;
myoutput.NewFile = NewFile;
myoutput.OutputFileName = OutputFileName;
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