QUESO::GaussianVectorRV< V, M > Class Template Reference

A class representing a Gaussian vector RV. More...

#include <GaussianVectorRV.h>

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

Public Member Functions
Constructor/Destructor methods
	GaussianVectorRV (const char *prefix, const VectorSet< V, M > &imageSet, const V &lawExpVector, const V &lawVarVector)
	Constructor. More...
	GaussianVectorRV (const char *prefix, const VectorSet< V, M > &imageSet, const V &lawExpVector, const M &lawCovMatrix)
	Constructor. More...
virtual	~GaussianVectorRV ()
	Virtual destructor. More...
Statistical methods
void	updateLawExpVector (const V &newLawExpVector)
	Updates the vector that contains the mean values. More...
void	updateLawCovMatrix (const M &newLawCovMatrix)
	Updates the covariance matrix. More...
I/O methods
void	print (std::ostream &os) const
	TODO: Prints the vector RV. More...
Public Member Functions inherited from QUESO::BaseVectorRV< V, M >
virtual double	estimateENT_ANN () const
	BaseVectorRV (const char *prefix, const VectorSet< V, M > &imageSet)
	Constructor. More...
virtual	~BaseVectorRV ()
	Virtual destructor. More...
const BaseEnvironment &	env () const
	QUESO environment; access to private attribute m_env. More...
const VectorSet< V, M > &	imageSet () const
	Image set of the vector RV; access to private attribute m_imageSet. More...
const BaseJointPdf< V, M > &	pdf () const
	Posterior Density Function of the vector RV; access to private attribute m_pdf. More...
bool	has_realizer () const
	Returns true iff this RV has the ability to produce realizations (samples) More...
const BaseVectorRealizer< V, M > &	realizer () const
	Finds a realization (sample) of the PDF of this vector RV; access to private attribute m_realizer. More...
const BaseVectorCdf< V, M > &	subCdf () const
	Finds the Cumulative Distribution Function of this vector RV, considering only the sub-sequence of data; access to private attribute m_subCdf. More...
const BaseVectorCdf< V, M > &	unifiedCdf () const
	Finds the Cumulative Distribution Function of this vector RV, considering the unified sequence of data; access to private attribute m_unifiedCdf. More...
const BaseVectorMdf< V, M > &	mdf () const
	Finds the Marginal Density Function of this vector RV; access to private attribute m_mdf. More...

Additional Inherited Members
Protected Attributes inherited from QUESO::BaseVectorRV< V, M >
const BaseEnvironment &	m_env
std::string	m_prefix
const VectorSet< V, M > &	m_imageSet
BaseJointPdf< V, M > *	m_pdf
BaseVectorRealizer< V, M > *	m_realizer
const BaseVectorCdf< V, M > *	m_subCdf
const BaseVectorCdf< V, M > *	m_unifiedCdf
const BaseVectorMdf< V, M > *	m_mdf

Detailed Description

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

A class representing a Gaussian vector RV.

This class allows the user to compute the value of a Gaussian PDF and to generate realizations (samples) from it.

In probability theory, the normal (or Gaussian) distribution is a continuous probability distribution, defined by the formula:

\[ f(x| \mu,\sigma) = \frac{1}{\sigma\sqrt{2\pi}} e^{ -\frac{(x-\mu)^2}{2\sigma^2} }. \]

The parameter \( \mu \) in this formula is the mean or expectation of the distribution (and also its median and mode). The parameter \( \sigma \) is its standard deviation; its variance is therefore \( \sigma^2 \) .

Definition at line 61 of file GaussianVectorRV.h.

Constructor & Destructor Documentation

template<class V, class M>

QUESO::GaussianVectorRV< V, M >::GaussianVectorRV	(	const char *	prefix,
		const VectorSet< V, M > &	imageSet,
		const V &	lawExpVector,
		const V &	lawVarVector
	)

Constructor.

Construct a Gaussian vector RV with mean lawExpVector and diagonal covariance matrix lawVarVector whose variates live in imageSet.

Definition at line 35 of file GaussianVectorRV.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRV< V, M >::m_env, QUESO::BaseVectorRV< V, M >::m_imageSet, QUESO::BaseVectorRV< V, M >::m_mdf, QUESO::BaseVectorRV< V, M >::m_pdf, QUESO::BaseVectorRV< V, M >::m_prefix, QUESO::BaseVectorRV< V, M >::m_realizer, QUESO::BaseVectorRV< V, M >::m_subCdf, QUESO::BaseVectorRV< V, M >::m_unifiedCdf, and QUESO::BaseEnvironment::subDisplayFile().

  :
  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
    *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }

  queso_require_greater_msg(lawVarVector.getMinValue(), 0.0, "Covariance matrix is not symmetric positive definite.");

  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
                                            m_imageSet,
                                            lawExpVector,
                                            lawVarVector);

  V cholDiag(lawVarVector);
  cholDiag.cwSqrt();
  M lowerCholLawCovMatrix(cholDiag);
  lowerCholLawCovMatrix.zeroUpper(false);

  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
                                                      m_imageSet,
                                                      lawExpVector,
                                                      lowerCholLawCovMatrix);

  m_subCdf     = NULL; // FIX ME: complete code
  m_unifiedCdf = NULL; // FIX ME: complete code
  m_mdf        = NULL; // FIX ME: complete code

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
    *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }
}

template<class V, class M>

QUESO::GaussianVectorRV< V, M >::GaussianVectorRV	(	const char *	prefix,
		const VectorSet< V, M > &	imageSet,
		const V &	lawExpVector,
		const M &	lawCovMatrix
	)

Constructor.

Construct a Gaussian vector RV with mean lawExpVector and covariance matrix lawCovMatrix whose variates live in imageSet.

Definition at line 78 of file GaussianVectorRV.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRV< V, M >::m_env, QUESO::BaseVectorRV< V, M >::m_imageSet, QUESO::BaseVectorRV< V, M >::m_mdf, QUESO::BaseVectorRV< V, M >::m_pdf, QUESO::BaseVectorRV< V, M >::m_prefix, QUESO::BaseVectorRV< V, M >::m_realizer, QUESO::BaseVectorRV< V, M >::m_subCdf, QUESO::BaseVectorRV< V, M >::m_unifiedCdf, and QUESO::BaseEnvironment::subDisplayFile().

  :
  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
    *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [2]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }

  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
                                           m_imageSet,
                                           lawExpVector,
                                           lawCovMatrix);

  M lowerCholLawCovMatrix(lawCovMatrix);
  int iRC = lowerCholLawCovMatrix.chol();
  lowerCholLawCovMatrix.zeroUpper(false);
  if (iRC) {
    std::cerr << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed, will use svd\n";
    if (m_env.subDisplayFile()) {
      *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed; will use svd; lawCovMatrix contents are\n";
      *m_env.subDisplayFile() << lawCovMatrix; // FIX ME: might demand parallelism
      *m_env.subDisplayFile() << std::endl;
    }
    M matU (lawCovMatrix);
    M matVt(m_imageSet.vectorSpace().zeroVector());
    V vecS (m_imageSet.vectorSpace().zeroVector());
    iRC = lawCovMatrix.svd(matU,vecS,matVt);
    queso_require_msg(!(iRC), "Cholesky decomposition of covariance matrix failed.");

    vecS.cwSqrt();
    m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
                                                        m_imageSet,
                                                        lawExpVector,
                                                        matU,
                                                        vecS, // already square rooted
                                                        matVt);
  }
  else {
    m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
                                                        m_imageSet,
                                                        lawExpVector,
                                                        lowerCholLawCovMatrix);
  }

  m_subCdf     = NULL; // FIX ME: complete code
  m_unifiedCdf = NULL; // FIX ME: complete code
  m_mdf        = NULL; // FIX ME: complete code

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
    *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [2]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }
}

template<class V , class M >

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

virtual

Virtual destructor.

Definition at line 140 of file GaussianVectorRV.C.

{
  delete m_mdf;
  delete m_unifiedCdf;
  delete m_subCdf;
  delete m_realizer;
  delete m_pdf;
}

Member Function Documentation

template<class V , class M >

void QUESO::GaussianVectorRV< V, M >::print ( std::ostream &  os ) const

virtual

TODO: Prints the vector RV.

Todo:

: implement me!

Implements QUESO::BaseVectorRV< V, M >.

Definition at line 195 of file GaussianVectorRV.C.

{
  os << "GaussianVectorRV<V,M>::print() says, 'Please implement me.'" << std::endl;
  return;
}

template<class V , class M>

void QUESO::GaussianVectorRV< V, M >::updateLawCovMatrix

(

const M &

newLawCovMatrix

)

Updates the covariance matrix.

This method tries to use Cholesky decomposition; and if it fails, the method then calls a SVD decomposition.

Definition at line 161 of file GaussianVectorRV.C.

Referenced by QUESO::HessianCovMatricesTKGroup< V, M >::rv().

{
  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
  ( dynamic_cast< GaussianJointPdf<V,M>* >(m_pdf) )->updateLawCovMatrix(newLawCovMatrix);

  M newLowerCholLawCovMatrix(newLawCovMatrix);
  int iRC = newLowerCholLawCovMatrix.chol();
  newLowerCholLawCovMatrix.zeroUpper(false);
  if (iRC) {
    std::cerr << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed, will use svd\n";
    if (m_env.subDisplayFile()) {
      *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed; will use svd; newLawCovMatrix contents are\n";
      *m_env.subDisplayFile() << newLawCovMatrix; // FIX ME: might demand parallelism
      *m_env.subDisplayFile() << std::endl;
    }
    M matU (newLawCovMatrix);
    M matVt(m_imageSet.vectorSpace().zeroVector());
    V vecS (m_imageSet.vectorSpace().zeroVector());
    iRC = newLawCovMatrix.svd(matU,vecS,matVt);
    queso_require_msg(!(iRC), "Cholesky decomposition of covariance matrix failed.");

    vecS.cwSqrt();
    ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(matU,
                                                                                                     vecS, // already square rooted
                                                                                                     matVt);
  }
  else {
    ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(newLowerCholLawCovMatrix);
  }
  return;
}

template<class V, class M >

void QUESO::GaussianVectorRV< V, M >::updateLawExpVector

(

const V &

newLawExpVector

)

Updates the vector that contains the mean values.

Definition at line 151 of file GaussianVectorRV.C.

Referenced by QUESO::MetropolisAdjustedLangevinTK< V, M >::rv(), QUESO::ScaledCovMatrixTKGroup< V, M >::rv(), and QUESO::HessianCovMatricesTKGroup< V, M >::rv().

{
  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
  ( dynamic_cast< GaussianJointPdf      <V,M>* >(m_pdf     ) )->updateLawExpVector(newLawExpVector);
  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLawExpVector(newLawExpVector);
  return;
}

---

The documentation for this class was generated from the following files:

• src/stats/inc/GaussianVectorRV.h
• src/stats/src/GaussianVectorRV.C