Hi Kristoffer: Thank you. Attached are
test_RE_AR_alt.jl
which is the main program that calls to
PF_RE_AR1_outer.jl
The goal of these programs is to estimate a multivariate stochastic
volatility model using a Bayesian particle Markov Chain Monte Carlo
simulator.
Using Tony's suggestion solved one problem, but the current issue is that
running test_RE_AR_alt.jl causes Julia to return
LoadError: InexactError()
in unsafe_setindex! at array.jl:318
in _unsafe_batchsetindex! at multidimensional.jl:329
in PF_RE_AR1_outer_alt at
/home/jim_nason/jmn_work/smith/NS4/jl_code_Summer2015/RE_rho/MH_PF_test/PF_RE_AR1_outer_alt.jl:72
in _calc_hessian at
/home/jim_nason/.julia/v0.4/ForwardDiff/src/api/hessian.jl:98
in hessian at /home/jim_nason/.julia/v0.4/ForwardDiff/src/api/hessian.jl:27
[inlined code] from
/home/jim_nason/jmn_work/smith/NS4/jl_code_Summer2015/RE_rho/MH_PF_test/test_RE_AR1_alt.jl:182
in anonymous at no file:177
in include at ./boot.jl:261
in include_from_node1 at ./loading.jl:304
while loading
/home/jim_nason/jmn_work/smith/NS4/jl_code_Summer2015/RE_rho/MH_PF_test/test_RE_AR1_alt.jl,
in expression starting on line 125
Line 72 of PF_RE_AR1_outer_alt.jl is
t_SV[:,j] = trd_SV_j1
where t_SV = zeros(mprt, obs) is allocated prior to entering the loop found
in PF_RE_AR1_outer.jl, where mprt = 10 and obs = 187 (the length of the
sample SPF_pi) are constants set in test_RE_AR1_alt.jl and trd_SV_j1 is a
random walk process that is mprt x 1 and updated in the loop found in
PF_RE_AR1_outer.jl. Note that mprt = 10 is to get to the
ForwardDiff.hessian quickly. More typical is mprt = 500 to 20000.
Since these programs are implementing a simulator, are the indexing
problems generated by calling to ForwardDiff.hessian problematic?
Also, attached are several more programs related to running
test_RE_AR1_alt.jl.
Jim
On Tuesday, November 3, 2015 at 3:32:20 AM UTC-5, Kristoffer Carlsson wrote:
>
> As a tip, when you ask for help it is much easier if you post actual
> runnable code. If you provide a file where "julia thefile.jl" throws an
> InexactError I'm pretty sure it can be figured out quickly what the problem
> is.
>
> On Tuesday, November 3, 2015 at 12:23:36 AM UTC+1, Tony Kelman wrote:
>>
>> It might be a different kind of InexactError then. Try adding a @show on
>> the rhs value, see what type it is. The array might need to be constructed
>> in a way that it's capable of holding dual number element types.
>>
>>
>>
>> On Mon, Nov 2, 2015 at 3:18 PM -0800, <james...@gmail.com> wrote:
>>
>> Hi Tony:
>>
>> Thanks, but remember you asked.
>>
>> Your first request is answered by
>>
>> const dsts = 2 # dim( state vector )
>>
>> which is set in the main file that calls to PF_RE_AR1_outer_alt.jl
>>
>> In PF_RE_AR1_outer_alt.jl, I set
>>
>> cs00V = eye(dsts)
>> cs00V[2,2] = sigu*sigu/(1.0 - rho1*rho1) # this is the line at which
>> Julia responds with ERROR: LoadError: InexactError()
>>
>> Note that sigu and rho1 are Float64 types.
>>
>> If you want, I can send you the complete set of Julia files/functions
>> generating the problem in ForwardDiff.hessian.
>>
>> Best,
>>
>> Jim
>>
>>
>> On Monday, November 2, 2015 at 10:31:08 AM UTC-5, Tony Kelman wrote:
>>
>> Misread the part where you said dsts = 2. Can you post more of the code,
>> exactly how is dsts getting passed to these lines?
>>
>>
>> On Monday, November 2, 2015 at 7:28:56 AM UTC-8, Tony Kelman wrote:
>>
>> By "the destination array" I meant the line
>>
>> cs00V = eye(dsts)
>>
>> If dsts is an integer element type there, then cs00V will also have an
>> integer element type. Try eye(size(dsts)...)
>>
>>
>> On Monday, November 2, 2015 at 5:32:54 AM UTC-8, james...@gmail.com
>> wrote:
>>
>> Hi Tony:
>>
>> Thanks for the suggestion.
>>
>> Unfortunately, the result is the same.
>>
>> I initialized/pre-allocated the destination array for the Hessian as
>>
>> hessh = zeros(nparm,nparm)
>>
>> Julia's reply from the call to
>>
>> hessh = ForwardDiff.hessian(PF_RE_AR1_outer_alt, parms)
>>
>> began with
>>
>>
>> ForwardDiff.HessianNumber{7,Float64,Tuple{Float64,Float64,Float64,Float64,Float64,Float64,Float64}}
>>
>> ForwardDiff.HessianNumber{7,Float64,Tuple{Float64,Float64,Float64,Float64,Float64,Float64,Float64}}
>>
>> followed by the ERROR: LoadError: InexactError() statement.
>>
>> Jim
>>
>>
>> On Sunday, November 1, 2015 at 11:35:16 PM UTC-5, Tony Kelman wrote:
>>
>> You probably need to initialize the destination array with a floating
>> point, rather than integer, element type.
>>
>>
test_RE_AR1_alt.jl
Description: Binary data
PF_RE_AR1_outer_alt.jl
Description: Binary data
PF_RE_AR1_inner.jl
Description: Binary data
MH_prior_alt1.jl
Description: Binary data
MH_crit_alt!.jl
Description: Binary data
parms_RE_AR1.jl
Description: Binary data
initial_RE_AR1.jl
Description: Binary data
