Hi Kristoffer: Thanks for these suggestions, which are progress on the problem.
The current problem is this error statement.
ERROR: LoadError: MethodError: `convert` has no method matching
convert(::Type{ForwardDiff.HessianNumber{7,Float64,Tuple{Float64,Float64,Float64,Float64,Float64,Float64,Float64}}},
::Array{ForwardDiff.HessianNumber{7,Float64,Tuple{Float64,Float64,Float64,Float64,Float64,Float64,Float64}},1})
This may have arisen from a call to the constructor
ForwardDiff.HessianNumber{7,Float64,Tuple{Float64,Float64,Float64,Float64,Float64,Float64,Float64}}(...),
since type constructors fall back to convert methods.
Closest candidates are:
ForwardDiff.HessianNumber{N,T,C}(::Any, ::Any)
call{T}(::Type{T}, ::Any)
convert{T<:Number}(::Type{T<:Number}, ::Char)
...
in PF_RE_AR1_inner_hhh at
/home/jim_nason/jmn_work/smith/NS4/jl_code_Summer2015/RE_rho/MH_PF_test/PF_RE_AR1_inner_hhh.jl:48
in PF_RE_AR1_outer_alt_hhh at
/home/jim_nason/jmn_work/smith/NS4/jl_code_Summer2015/RE_rho/MH_PF_test/PF_RE_AR1_outer_alt_hhh.jl:79
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:188
in anonymous at no file:183
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 131
Attached are revised programs/code for test_RE_AR1_alt.jl,
PF_RE_AR1_outer_hhh.jl, and PF_RE_AR1_inner_hhh.jl.
ForwardDiff.hessian calls to the last to files. These files implement your
suggestions and produce the above error statement. The source of the error
statement seems to be in line 48 of PF_RE_AR1_inner_hhh.jl which is
llhdt[m] = -0.5*(lpi2 + log(det(y_var)) + y_hih_y)
lpi2 is a constant Float64 and llhdt and y_var are
ForwardDiff.HessianNumber( ....
The problem seems to be that y_hih_y is a 1-element
Array{ForwardDiff.HessianNumber ....
On line 42 of PF_RE_AR1_inner_hhh.jl
y_hih_y = y_hat'*iy_var*y_hat
where y_hat and iy_var are ForwardDiff.HessianNumber( ....
Suggestions on how to convert y_hih_y to a ForwardDiff.HessianNumber( ....
are welcome.
Jim
On Tuesday, November 3, 2015 at 9:12:59 AM UTC-5, Kristoffer Carlsson wrote:
>
> Just as a side note:
>
> Instead of
> randn(mprt,1)
>
> you might just want to use
>
> randn(mprt)
>
> to create a vector instead of a matrix with one column.
>
>
> On Tuesday, November 3, 2015 at 3:00:37 PM UTC+1, Kristoffer Carlsson
> wrote:
>>
>> The problem is the following:
>>
>> When you call PF_RE_AR1_outer_alt from hessian it will send in a
>> ForwardDiff number as the C_parm argument.
>>
>> This line:
>> sige = C_parm[2] # scale volatility on trend inflation SV
>>
>> means that sige will be a ForwardDiff number.
>>
>> This line
>> trd_SV_j1 = randn(mprt,1)*sige + log( trd_SV_0 )
>>
>> means that trd_SV_j1 is now a vector of ForwardDiff numbers due to
>> promotion.
>>
>> And the last problem is
>>
>> t_SV[:,j] = trd_SV_j1
>>
>> where you try to assign a vector of ForwardDiff number to an array which
>> is supposed to only hold floats.
>>
>> The solution to this is to change
>> t_SV = zeros(mprt, obs)
>>
>> to
>>
>> t_SV = zeros(eltype(C_parm), mprt, obs)
>>
>> for each array that will store an intermediate result. This means that
>> the element type of the array will always be the same as the element type
>> of the input argument.
>>
>> On Tuesday, November 3, 2015 at 2:43:39 PM UTC+1, [email protected]
>> wrote:
>>>
>>> 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, <[email protected]> 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, [email protected]
>>>>> 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_hhh.jl
Description: Binary data
PF_RE_AR1_inner_hhh.jl
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