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function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
% function [xparams, logpost]=metropolis_draw(init)
% Builds draws from metropolis
%
% INPUTS:
% init: scalar equal to
% 1: first call to store the required information
% on files, lines, and chains to be read
% in persistent variables to make them available
% for future calls
% 0: load a parameter draw
% Additional Inputs required for initialization
% options_ [structure] Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
% M_ [structure] Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).
% estim_params_ [structure] Matlab's structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
%
% OUTPUTS:
% xparams: if init==0: vector of estimated parameters
% if init==1: error flaog
% logpost: log of posterior density
% options_: [structure] Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
%
% SPECIAL REQUIREMENTS
%
% Requires CutSample to be run before in order to set up mh_history-file
% Copyright (C) 2003-2017 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 <https://www.gnu.org/licenses/>.
persistent mh_nblck NumberOfDraws BaseName FirstLine FirstMhFile MAX_nruns
xparams = 0;
logpost = 0;
if init
%get number of parameters
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncn = estim_params_.ncn;
np = estim_params_.np ;
npar = nvx+nvn+ncx+ncn+np;
%get path of metropolis files
MetropolisFolder = CheckPath('metropolis',M_.dname);
FileName = M_.fname;
BaseName = [MetropolisFolder filesep FileName];
%load mh_history-file with info on what to load
load_last_mh_history_file(MetropolisFolder, FileName);
FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
LastMhFile = TotalNumberOfMhFiles;
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8); %number of parameters plus posterior plus ?
mh_nblck = options_.mh_nblck;
% set sub_draws option if empty
if isempty(options_.sub_draws)
options_.sub_draws = min(options_.posterior_max_subsample_draws, ceil(.25*NumberOfDraws));
else
if options_.sub_draws>NumberOfDraws*mh_nblck
skipline()
disp(['Estimation::mcmc: The value of option sub_draws (' num2str(options_.sub_draws) ') is greater than the number of available draws in the MCMC (' num2str(NumberOfDraws*mh_nblck) ')!'])
disp('Estimation::mcmc: You can either change the value of sub_draws, reduce the value of mh_drop, or run another mcmc (with the load_mh_file option).')
skipline()
xparams = 1; % xparams is interpreted as an error flag
end
end
return
else %not initialization, return one draw
%get random draw from random chain
ChainNumber = ceil(rand*mh_nblck);
DrawNumber = ceil(rand*NumberOfDraws);
if DrawNumber <= MAX_nruns-FirstLine+1 %draw in first file, needs to account for first line
MhFilNumber = FirstMhFile;
MhLine = FirstLine+DrawNumber-1;
else %draw in other file
DrawNumber = DrawNumber-(MAX_nruns-FirstLine+1);
MhFilNumber = FirstMhFile+ceil(DrawNumber/MAX_nruns);
MhLine = DrawNumber-(MhFilNumber-FirstMhFile-1)*MAX_nruns;
end
%load parameters and posterior
load( [ BaseName '_mh' int2str(MhFilNumber) '_blck' int2str(ChainNumber) '.mat' ],'x2','logpo2');
xparams = x2(MhLine,:);
logpost= logpo2(MhLine);
end
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