A class for handling sampling from Gaussian probability density distributions. More...

#include <GaussianVectorRealizer.h>

Inheritance diagram for QUESO::GaussianVectorRealizer< V, M >:

Public Member Functions
Constructor/Destructor methods
	GaussianVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, const V &lawExpVector, const M &lowerCholLawCovMatrix)
	Constructor. More...

	GaussianVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, const V &lawExpVector, const M &matU, const V &vecSsqrt, const M &matVt)
	Constructor. More...

	~GaussianVectorRealizer ()
	Destructor. More...

Realization-related methods
const V &	unifiedLawExpVector () const
	Access to the vector of mean values and private attribute: m_unifiedLawExpVector. More...

const V &	unifiedLawVarVector () const
	Access to the vector of variance values and private attribute: m_unifiedLawVarVector. More...

void	realization (V &nextValues) const
	Draws a realization. More...

void	updateLawExpVector (const V &newLawExpVector)
	Updates the mean with the new value `newLawExpVector`. More...

void	updateLowerCholLawCovMatrix (const M &newLowerCholLawCovMatrix)
	Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new value `newLowerCholLawCovMatrix`. More...

void	updateLowerCholLawCovMatrix (const M &matU, const V &vecSsqrt, const M &matVt)
	Updates the SVD matrices from SVD decomposition of the covariance matrix to the new values: `matU`, `vecSsqrt`, and `matVt`. More...

Public Member Functions inherited from QUESO::BaseVectorRealizer< V, M >
	BaseVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, unsigned int subPeriod)
	Default constructor. More...

virtual	~BaseVectorRealizer ()
	Virtual destructor. More...

const VectorSet< V, M > &	unifiedImageSet () const
	Image set where the realizations lie. Access to protected attribute m_unifiedImageSet. More...

unsigned int	subPeriod () const
	Sub-period of the realization. Access to protected attribute m_subPeriod. More...

Private Attributes
V *	m_unifiedLawExpVector

V *	m_unifiedLawVarVector

M *	m_lowerCholLawCovMatrix

M *	m_matU

V *	m_vecSsqrt

M *	m_matVt

Additional Inherited Members
Protected Attributes inherited from QUESO::BaseVectorRealizer< V, M >
const BaseEnvironment &	m_env

std::string	m_prefix

const VectorSet< V, M > &	m_unifiedImageSet

unsigned int	m_subPeriod

Detailed Description

template<class V = GslVector, class M = GslMatrix>
class QUESO::GaussianVectorRealizer< V, M >

A class for handling sampling from Gaussian probability density distributions.

This class handles sampling from a Gaussian probability density distribution.

Definition at line 48 of file GaussianVectorRealizer.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::GaussianVectorRealizer	(	const char *	prefix,
		const VectorSet< V, M > &	unifiedImageSet,
		const V &	lawExpVector,
		const M &	lowerCholLawCovMatrix
	)

Constructor.

Constructs a new object, given a prefix and the image set of the vector realizer, a vector of mean values, lawExpVector, and a lower triangular matrix resulting from Cholesky decomposition of the covariance matrix, lowerCholLawCovMatrix.

Definition at line 34 of file GaussianVectorRealizer.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRealizer< V, M >::m_env, QUESO::BaseVectorRealizer< V, M >::m_prefix, QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawExpVector, and QUESO::BaseEnvironment::subDisplayFile().

   :
   BaseVectorRealizer<V,M>( ((std::string)(prefix)+"gau").c_str(), unifiedImageSet, std::numeric_limits<unsigned int>::max()), // 2011/Oct/02 - Correction thanks to Corey
   m_unifiedLawExpVector  (new V(lawExpVector)),
   m_unifiedLawVarVector  (unifiedImageSet.vectorSpace().newVector( INFINITY)), // FIX ME
   m_lowerCholLawCovMatrix(new M(lowerCholLawCovMatrix)),
   m_matU                 (NULL),
   m_vecSsqrt             (NULL),
   m_matVt                (NULL)
 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Entering GaussianVectorRealizer<V,M>::constructor() [1]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 
   *m_unifiedLawExpVector = lawExpVector; // ????
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Leaving GaussianVectorRealizer<V,M>::constructor() [1]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 }

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::GaussianVectorRealizer	(	const char *	prefix,
		const VectorSet< V, M > &	unifiedImageSet,
		const V &	lawExpVector,
		const M &	matU,
		const V &	vecSsqrt,
		const M &	matVt
	)

Constructor.

Constructs a new object, given a prefix and the image set of the vector realizer, a vector of mean values, lawExpVector, and a set of two matrices and one vector resulting from the Single Value Decomposition of the covariance matrix, matU, vecSsqrt and matVt.

Definition at line 63 of file GaussianVectorRealizer.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRealizer< V, M >::m_env, QUESO::BaseVectorRealizer< V, M >::m_prefix, QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawExpVector, and QUESO::BaseEnvironment::subDisplayFile().

   :
   BaseVectorRealizer<V,M>( ((std::string)(prefix)+"gau").c_str(), unifiedImageSet, std::numeric_limits<unsigned int>::max()), // 2011/Oct/02 - Correction thanks to Corey
   m_unifiedLawExpVector  (new V(lawExpVector)),
   m_unifiedLawVarVector  (unifiedImageSet.vectorSpace().newVector( INFINITY)), // FIX ME
   m_lowerCholLawCovMatrix(NULL),
   m_matU                 (new M(matU)),
   m_vecSsqrt             (new V(vecSsqrt)),
   m_matVt                (new M(matVt))
 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Entering GaussianVectorRealizer<V,M>::constructor() [2]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 
   *m_unifiedLawExpVector = lawExpVector; // ????
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Leaving GaussianVectorRealizer<V,M>::constructor() [2]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 }

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::~GaussianVectorRealizer ( )

Destructor.

Definition at line 94 of file GaussianVectorRealizer.C.

 {
   delete m_matVt;
   delete m_vecSsqrt;
   delete m_matU;
   delete m_lowerCholLawCovMatrix;
   delete m_unifiedLawVarVector;
   delete m_unifiedLawExpVector;
 }

Member Function Documentation

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::realization ( V & nextValues ) const

virtual

Draws a realization.

This function draws a realization of a Gaussian distribution of mean m_unifiedLawExpVector and variance m_unifiedLawVarVector and saves it in nextValues.

Implements QUESO::BaseVectorRealizer< V, M >.

Definition at line 120 of file GaussianVectorRealizer.C.

 {
   V iidGaussianVector(m_unifiedImageSet.vectorSpace().zeroVector());
 
   bool outOfSupport = true;
   do {
     iidGaussianVector.cwSetGaussian(0.0, 1.0);
 
     if (m_lowerCholLawCovMatrix) {
       nextValues = (*m_unifiedLawExpVector) + (*m_lowerCholLawCovMatrix)*iidGaussianVector;
     }
     else if (m_matU && m_vecSsqrt && m_matVt) {
       nextValues = (*m_unifiedLawExpVector) + (*m_matU)*( (*m_vecSsqrt) * ((*m_matVt)*iidGaussianVector) );
     }
     else {
       queso_error_msg("inconsistent internal state");
     }
 
     outOfSupport = !(this->m_unifiedImageSet.contains(nextValues));
   } while (outOfSupport); // prudenci 2011-Oct-04
 
   return;
 }

template<class V , class M >

const V & QUESO::GaussianVectorRealizer< V, M >::unifiedLawExpVector ( ) const

Access to the vector of mean values and private attribute: m_unifiedLawExpVector.

Definition at line 106 of file GaussianVectorRealizer.C.

 {
   return *m_unifiedLawExpVector;
 }

template<class V , class M >

const V & QUESO::GaussianVectorRealizer< V, M >::unifiedLawVarVector ( ) const

Access to the vector of variance values and private attribute: m_unifiedLawVarVector.

Definition at line 113 of file GaussianVectorRealizer.C.

 {
   return *m_unifiedLawVarVector;
 }

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLawExpVector ( const V & newLawExpVector )

Updates the mean with the new value newLawExpVector.

Definition at line 146 of file GaussianVectorRealizer.C.

 {
   // delete old expected values (allocated at construction or last call to this function)
   delete m_unifiedLawExpVector;
 
   m_unifiedLawExpVector = new V(newLawExpVector);
 
   return;
 }

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLowerCholLawCovMatrix ( const M & newLowerCholLawCovMatrix )

Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new value newLowerCholLawCovMatrix.

The lower triangular matrix results resulting from a Cholesky decomposition of the covariance matrix. This routine deletes old expected values: m_lowerCholLawCovMatrix; m_matU, m_vecSsqrt, m_matVt.

Definition at line 158 of file GaussianVectorRealizer.C.

 {
   // delete old expected values (allocated at construction or last call to this function)
   delete m_lowerCholLawCovMatrix;
   delete m_matU;
   delete m_vecSsqrt;
   delete m_matVt;
 
   m_lowerCholLawCovMatrix = new M(newLowerCholLawCovMatrix);
   m_matU                  = NULL;
   m_vecSsqrt              = NULL;
   m_matVt                 = NULL;
 
   return;
 }

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLowerCholLawCovMatrix	(	const M &	matU,
		const V &	vecSsqrt,
		const M &	matVt
	)

Updates the SVD matrices from SVD decomposition of the covariance matrix to the new values: matU, vecSsqrt, and matVt.

The lower triangular matrix results resulting from a Cholesky decomposition of the covariance matrix. This routine deletes old expected values: m_lowerCholLawCovMatrix; m_matU, m_vecSsqrt, m_matVt.

Definition at line 176 of file GaussianVectorRealizer.C.

 {
   // delete old expected values (allocated at construction or last call to this function)
   delete m_lowerCholLawCovMatrix;
   delete m_matU;
   delete m_vecSsqrt;
   delete m_matVt;
 
   m_lowerCholLawCovMatrix = NULL;
   m_matU                  = new M(matU);
   m_vecSsqrt              = new V(vecSsqrt);
   m_matVt                 = new M(matVt);
 
   return;
 }