Hi Junior,
in csminwel, the random draw appears when optimization is not progressing well enough. It is not a protection against local peaks. To avoid to be stuck in a local peak, you need to try different initial values for the parameters (estimated_params_init) The idea of this change is to make Dynare perfectly deterministic, by default: the same *.mod file, with the same version of Matlab should always produce the same results. In any case, we will add options for the users to get random results when she wants it. For example, to get different simulated samples.
Best
Michel
On 11/28/2010 07:37 PM, Junior Maih wrote:
How do we reconcile the issue of having a deterministic estimation with the problem of local peaks? I thought one of the advantages of having a non-deterministic estimation routine is that we can run it several times and store the results for the best run. Suppose I run the same estimation several times and get the same answer (because the problem is deterministic). Does that mean I found the global peak? I guess you guys have it all sorted out in some way.
On Fri, Nov 26, 2010 at 6:00 PM, Trac Dynare <root@dynare.org mailto:root@dynare.org> wrote:
#85: Estimation is not deterministic: a seed should be explictly given to random number generator ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: stepan Type: enhancement | Status: accepted Priority: major | Milestone: 4.2 Component: Core M-files | Version: 4.1.0 Resolution: | Keywords: ---------------------------+------------------------------------------------ Changes (by stepan): * owner: michel => stepan Comment: I added a new routine (set_dynare_seed.m) in commit db54c2d76ec8ac6a42c0cbf99bc394f7644f2a85 and a test (example) file in commit 032957b36f2e1129ce3809f02dc2bf9e5e2d65f6. This routine is called in global_initialization. I removed the seed commands in simult.m and the option dynare_seed, so that the simulated time series are invariant across different instances of dynare. I still need to adapt the mcmc routines Maybe we should also adapt the swz routines. -- Ticket URL: <https://www.dynare.org/trac/ticket/85#comment:4> Dynare <http://www.dynare.org <http://www.dynare.org/>> The Dynare project _______________________________________________ Dev mailing list Dev@dynare.org <mailto:Dev@dynare.org> https://www.dynare.org/cgi-bin/mailman/listinfo/dev-- "You can never know everything", Lan said quietly, "and part of what you know is always wrong. Perhaps even the most important part. A portion of wisdom lies in knowing that. A portion of courage lies in going on anyway." Robert Jordan, Winter's Heart, Book IX of the Wheel of Time.
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