Parallel estimation: no stored previous proposal density found

Estimation
1

Hi, I am trying to split a long RWMH chain into smaller draws, and I am using the load_mh_file to load and add to previous draws. However Dynare gives me the following warning:

Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by the mode_file

I should add that I am running parallel estimation, is this the cause? If so, can I set it up such that I can continue from the last proposal density?

Thanks!

2

Which Dynare version did you use? And what exactly do I need to do to reproduce the problem?

3

Hi Johannes

Estimate a model with say 2 MH chains in parallel say for just 2000 draws. Then try to add more draws to the saved results via the load_mh_results function. Although you will add more draws to the 2 chains, you’ll get the warning as posted above that the proposal densities at the last draws of the previous runs are not found, and Dynare will use the posterior mode and associated Hessian for the next set of draws. If I understand well, this means that every time it will start over, which is not good say if I accumulate 1million draws from each chain over many sub-estimation rounds.

I don’t get this problem if say I run 1 chain only and keep on adding to it via multiple runs, Dynare loads the most recent proposal density and continues every time. This is why I am highlighting that the issue seems to be related to parallel MH chains.

I’m using Dynare 4.6.3.

Thanks for your help

W

4

Thanks. I will investigate this further.

5

Hi Johannes, I wonder whether you had time to look into this please?

As a reminder, I want to be able to add RWMH draws to existing multiple chains without having to start over every time. This works well when I am only working with one chain.

@wmutschl do you have any views on this please?

I upgraded to Dynare 4.6.4 but the issue remains.

6

Unfortunately, this will only be fixed for 4.7. But you can easily apply the fix I just pushed to posterior_sampler.m: make sure proposal density fields are set in parallel (!1835) · Merge Requests · Dynare / dynare · GitLab

1 Like
7

This is great Johannes, thank you!