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

A class for handling Log-Normal joint PDFs. More...

#include <LogNormalJointPdf.h>

Inheritance diagram for QUESO::LogNormalJointPdf< V, M >:
QUESO::BaseJointPdf< V, M > QUESO::BaseScalarFunction< V, M >

Public Member Functions

Constructor/Destructor methods
 LogNormalJointPdf (const char *prefix, const VectorSet< V, M > &domainSet, const V &lawExpVector, const V &lawVarVector)
 Constructor. More...
 
 ~LogNormalJointPdf ()
 Destructor. More...
 
Math methods
double actualValue (const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
 Actual value of the Log-Normal PDF (scalar function). More...
 
double lnValue (const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
 Logarithm of the value of the Log-Normal PDF (scalar function). More...
 
virtual void distributionMean (V &meanVector) const
 Mean value of the underlying random variable. More...
 
virtual void distributionVariance (M &covMatrix) const
 Covariance matrix of the underlying random variable. More...
 
double computeLogOfNormalizationFactor (unsigned int numSamples, bool updateFactorInternally) const
 Computes the logarithm of the normalization factor. More...
 
const V & lawExpVector () const
 Access to the vector of mean values and private attribute: m_lawExpVector. More...
 
const V & lawVarVector () const
 Access to the vector of variance values and private attribute: m_lawVarVector. More...
 
- Public Member Functions inherited from QUESO::BaseJointPdf< V, M >
 BaseJointPdf (const char *prefix, const VectorSet< V, M > &domainSet)
 Default constructor. More...
 
virtual ~BaseJointPdf ()
 Destructor. More...
 
virtual void setNormalizationStyle (unsigned int value) const
 
void setLogOfNormalizationFactor (double value) const
 Sets a logarithmic value to be used in the normalization factor (stored in the protected attribute m_normalizationStyle.) More...
 
virtual void print (std::ostream &os) const
 Print method. Non-pure for backwards compatibility. More...
 
- Public Member Functions inherited from QUESO::BaseScalarFunction< V, M >
void setFiniteDifferenceStepSize (double fdStepSize)
 Sets the step size for finite differencing gradients. More...
 
void setFiniteDifferenceStepSize (unsigned int i, double fdStepSize)
 
 BaseScalarFunction (const char *prefix, const VectorSet< V, M > &domainSet)
 Default constructor. More...
 
virtual ~BaseScalarFunction ()
 Destructor. More...
 
const VectorSet< V, M > & domainSet () const
 Access to the protected attribute m_domainSet: domain set of the scalar function. More...
 
virtual double lnValue (const V &domainVector) const
 Returns the logarithm of the function at domainVector. More...
 
virtual double lnValue (const V &domainVector, V &gradVector) const
 Returns the logarithm of the function and its gradient at domainVector. More...
 
virtual double lnValue (const V &domainVector, V &gradVector, const V &domainDirection, V &hessianEffect) const
 

Protected Attributes

V * m_lawExpVector
 
V * m_lawVarVector
 
bool m_diagonalCovMatrix
 
- Protected Attributes inherited from QUESO::BaseJointPdf< V, M >
unsigned int m_normalizationStyle
 
double m_logOfNormalizationFactor
 
- Protected Attributes inherited from QUESO::BaseScalarFunction< V, M >
const BaseEnvironmentm_env
 
std::string m_prefix
 
const VectorSet< V, M > & m_domainSet
 Domain set of the scalar function. More...
 

Additional Inherited Members

- Protected Member Functions inherited from QUESO::BaseJointPdf< V, M >
double commonComputeLogOfNormalizationFactor (unsigned int numSamples, bool updateFactorInternally) const
 Common method (to the derived classes) to compute the logarithm of the normalization factor. More...
 

Detailed Description

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

A class for handling Log-Normal joint PDFs.

This class allows the mathematical definition of a Log-Normal Joint PDF.

Definition at line 50 of file LogNormalJointPdf.h.

Constructor & Destructor Documentation

template<class V , class M >
QUESO::LogNormalJointPdf< V, M >::LogNormalJointPdf ( const char *  prefix,
const VectorSet< V, M > &  domainSet,
const V &  lawExpVector,
const V &  lawVarVector 
)

Constructor.

Constructs a new object of the class, given a prefix and the domain of the PDF, a vector of mean values, lawExpVector, and a vector of covariance values lawVarVector (an alternative representation for a diagonal covariance matrix).

Definition at line 33 of file LogNormalJointPdf.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::LogNormalJointPdf< V, M >::lawExpVector(), QUESO::LogNormalJointPdf< V, M >::lawVarVector(), QUESO::BaseScalarFunction< V, M >::m_env, QUESO::BaseScalarFunction< V, M >::m_prefix, and QUESO::BaseEnvironment::subDisplayFile().

38  :
39  BaseJointPdf<V,M>(((std::string)(prefix)+"gau").c_str(),domainSet),
43 {
44  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
45  *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::constructor() [1]"
46  << ": prefix = " << m_prefix
47  << std::endl;
48  }
49 
50  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
51  *m_env.subDisplayFile() << "In LogNormalJointPdf<V,M>::constructor()"
52  //<< ", prefix = " << m_prefix
53  << ": meanVector = " << this->lawExpVector()
54  << ", Variances = " << this->lawVarVector()
55  << std::endl;
56  }
57 
58  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
59  *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::constructor() [1]"
60  << ": prefix = " << m_prefix
61  << std::endl;
62  }
63 }
const VectorSet< V, M > & domainSet() const
Access to the protected attribute m_domainSet: domain set of the scalar function. ...
const BaseEnvironment & m_env
unsigned int displayVerbosity() const
Definition: Environment.C:450
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:320
template<class V , class M >
QUESO::LogNormalJointPdf< V, M >::~LogNormalJointPdf ( )

Destructor.

Definition at line 66 of file LogNormalJointPdf.C.

67 {
68  delete m_lawVarVector;
69  delete m_lawExpVector;
70 }

Member Function Documentation

template<class V , class M >
double QUESO::LogNormalJointPdf< V, M >::actualValue ( const V &  domainVector,
const V *  domainDirection,
V *  gradVector,
M *  hessianMatrix,
V *  hessianEffect 
) const
virtual

Actual value of the Log-Normal PDF (scalar function).

This method calls lnValue() and applies the exponential to its result.

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 88 of file LogNormalJointPdf.C.

References QUESO::queso_require_equal_to_msg.

94 {
95  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
96  *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::actualValue()"
97  << ", meanVector = " << *m_lawExpVector
98  << ": domainVector = " << domainVector
99  << ", domainVector.sizeLocal() = " << domainVector.sizeLocal()
100  << ", this->m_domainSet.vectorSpace().dimLocal() = " << this->m_domainSet.vectorSpace().dimLocal()
101  << std::endl;
102  }
103 
104  queso_require_equal_to_msg(domainVector.sizeLocal(), this->m_domainSet.vectorSpace().dimLocal(), "invalid input");
105 
106  queso_require_msg(!(hessianMatrix || hessianEffect), "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
107 
108  double returnValue = 0.;
109 
110  V zeroVector(domainVector);
111  zeroVector.cwSet(0.);
112  if (domainVector.atLeastOneComponentSmallerOrEqualThan(zeroVector)) {
113  // What should the gradient be here?
114  returnValue = 0.;
115  }
116  else if (this->m_domainSet.contains(domainVector) == false) {
117  // What should the gradient be here?
118  returnValue = 0.;
119  }
120  else {
121  // Already normalised
122  returnValue = std::exp(this->lnValue(domainVector,domainDirection,gradVector,hessianMatrix,hessianEffect));
123 
124  if (gradVector) {
125  (*gradVector) *= returnValue;
126  }
127  }
128 
129  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
130  *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::actualValue()"
131  << ", meanVector = " << *m_lawExpVector
132  << ": domainVector = " << domainVector
133  << ", returnValue = " << returnValue
134  << std::endl;
135  }
136 
137  return returnValue;
138 }
const BaseEnvironment & m_env
double lnValue(const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
Logarithm of the value of the Log-Normal PDF (scalar function).
MonteCarloSGOptions::MonteCarloSGOptions(const BaseEnvironment &env, const char *prefix, const McOptionsValues &alternativeOptionsValues queso_require_equal_to_msg)(m_env.optionsInputFileName(), std::string(""), std::string("this constructor is incompatible with the existence of an options input file"))
const VectorSet< V, M > & m_domainSet
Domain set of the scalar function.
unsigned int displayVerbosity() const
Definition: Environment.C:450
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:320
template<class V , class M >
double QUESO::LogNormalJointPdf< V, M >::computeLogOfNormalizationFactor ( unsigned int  numSamples,
bool  updateFactorInternally 
) const
virtual

Computes the logarithm of the normalization factor.

This routine calls BaseJointPdf::commonComputeLogOfNormalizationFactor().

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 261 of file LogNormalJointPdf.C.

References QUESO::BaseJointPdf< V, M >::commonComputeLogOfNormalizationFactor().

262 {
263  double value = 0.;
264 
265  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
266  *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::computeLogOfNormalizationFactor()"
267  << std::endl;
268  }
269  value = BaseJointPdf<V,M>::commonComputeLogOfNormalizationFactor(numSamples, updateFactorInternally);
270  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
271  *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::computeLogOfNormalizationFactor()"
272  << ", m_logOfNormalizationFactor = " << m_logOfNormalizationFactor
273  << std::endl;
274  }
275 
276  return value;
277 }
double m_logOfNormalizationFactor
Definition: JointPdf.h:122
double commonComputeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const
Common method (to the derived classes) to compute the logarithm of the normalization factor...
Definition: JointPdf.C:115
const BaseEnvironment & m_env
unsigned int displayVerbosity() const
Definition: Environment.C:450
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:320
template<class V , class M >
void QUESO::LogNormalJointPdf< V, M >::distributionMean ( V &  meanVector) const
virtual

Mean value of the underlying random variable.

Reimplemented from QUESO::BaseJointPdf< V, M >.

Definition at line 215 of file LogNormalJointPdf.C.

216 {
217  // FIXME - this is the mean of a non-truncated lognormal
218  // distribution, and doesn't take into account a limited domainSet.
219 
220  if (m_diagonalCovMatrix) {
221  unsigned int n_params = meanVector.sizeLocal();
222  queso_assert_equal_to (n_params, this->lawExpVector().sizeLocal());
223 
224  for (unsigned int i = 0; i < n_params; ++i) {
225  meanVector[i] = std::exp(this->lawExpVector()[i] + 0.5*this->lawVarVector()[i]);
226  }
227  }
228  else {
229  queso_error_msg("situation with a non-diagonal covariance matrix makes no sense");
230  }
231 }
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
template<class V , class M >
void QUESO::LogNormalJointPdf< V, M >::distributionVariance ( M &  covMatrix) const
virtual

Covariance matrix of the underlying random variable.

Reimplemented from QUESO::BaseJointPdf< V, M >.

Definition at line 235 of file LogNormalJointPdf.C.

236 {
237  // FIXME - this is the variance of a non-truncated lognormal
238  // distribution, and doesn't take into account a limited domainSet.
239 
240  if (m_diagonalCovMatrix) {
241  unsigned int n_params = this->lawExpVector().sizeLocal();
242  queso_assert_equal_to (n_params, this->lawVarVector().sizeLocal());
243  queso_assert_equal_to (n_params, covMatrix.numCols());
244  queso_assert_equal_to (covMatrix.numCols(), covMatrix.numRowsGlobal());
245 
246  covMatrix.zeroLower();
247  covMatrix.zeroUpper();
248 
249  for (unsigned int i = 0; i < n_params; ++i) {
250  covMatrix(i,i) = (std::exp(this->lawVarVector()[i]) - 1) *
251  std::exp(2*this->lawExpVector()[i] + this->lawVarVector()[i]);
252  }
253  }
254  else {
255  queso_error_msg("situation with a non-diagonal covariance matrix makes no sense");
256  }
257 }
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
template<class V , class M >
const V & QUESO::LogNormalJointPdf< V, M >::lawExpVector ( ) const

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

Definition at line 74 of file LogNormalJointPdf.C.

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

75 {
76  return *m_lawExpVector;
77 }
template<class V , class M >
const V & QUESO::LogNormalJointPdf< V, M >::lawVarVector ( ) const

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

Definition at line 81 of file LogNormalJointPdf.C.

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

82 {
83  return *m_lawVarVector;
84 }
template<class V , class M >
double QUESO::LogNormalJointPdf< V, M >::lnValue ( const V &  domainVector,
const V *  domainDirection,
V *  gradVector,
M *  hessianMatrix,
V *  hessianEffect 
) const
virtual

Logarithm of the value of the Log-Normal PDF (scalar function).

The logarithm of the value of the Log-Normal density of diagonal covariance matrix (sigma^2) comes from the summation:

\[ lnValue =- \sum_i \frac{1}{domainVector_i * \sqrt{2 \pi * lawVarVector_i}} exp(-\frac{(\ln( domainVector_i) - lawExpVector_i)^2}{2 lawVarVector_i}) \]

as long as \( domainVector_i > 0 \) for all \( i \).

Reimplemented from QUESO::BaseScalarFunction< V, M >.

Definition at line 142 of file LogNormalJointPdf.C.

148 {
149  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
150  *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::lnValue()"
151  << ", meanVector = " << *m_lawExpVector
152  << ": domainVector = " << domainVector
153  << std::endl;
154  }
155 
156  queso_require_msg(!(domainDirection || hessianMatrix || hessianEffect), "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
157 
158  double returnValue = 0.;
159 
160  V zeroVector(domainVector);
161  zeroVector.cwSet(0.);
162  if (domainVector.atLeastOneComponentSmallerOrEqualThan(zeroVector)) {
163  // What should the gradient be here?
164  returnValue = -INFINITY;
165  }
166  else if (this->m_domainSet.contains(domainVector) == false) {
167  // What should the gradient be here?
168  returnValue = -INFINITY;
169  }
170  else {
171  if (m_diagonalCovMatrix) {
172  V diffVec(zeroVector);
173  for (unsigned int i = 0; i < domainVector.sizeLocal(); ++i) {
174  diffVec[i] = std::log(domainVector[i]) - this->lawExpVector()[i];
175 
176  // Compute the gradient of log of the PDF
177  // The log of a log normal pdf is:
178  // f(x) = -log(x \sigma sqrt(2 \pi)) - ((log(x) - \mu)^2 / (2 \sigma^2))
179  // Therefore
180  // \frac{df}{dx}(x) = -1/x - (log(x) - \mu) / (x \sigma^2)
181  if (gradVector) {
182  (*gradVector)[i] = -(1.0 / domainVector[i]) -
183  diffVec[i] / (domainVector[i] * this->lawVarVector()[i]);
184  }
185  }
186  returnValue = ((diffVec*diffVec)/this->lawVarVector()).sumOfComponents();
187  returnValue *= -0.5;
188 
189  for (unsigned int i = 0; i < domainVector.sizeLocal(); ++i) {
190  returnValue -= std::log(domainVector[i]);
191  if (m_normalizationStyle == 0) {
192  returnValue -= std::log(std::sqrt(2. * M_PI * this->lawVarVector()[i])); // Contribution of 1/(x\sqrt{2\pi\sigma^2})
193  }
194  }
195  }
196  else {
197  queso_error_msg("situation with a non-diagonal covariance matrix makes no sense");
198  }
199  returnValue += m_logOfNormalizationFactor;
200  }
201 
202  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
203  *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::lnValue()"
204  << ", meanVector = " << *m_lawExpVector
205  << ": domainVector = " << domainVector
206  << ", returnValue = " << returnValue
207  << std::endl;
208  }
209 
210  return returnValue;
211 }
double m_logOfNormalizationFactor
Definition: JointPdf.h:122
const BaseEnvironment & m_env
const VectorSet< V, M > & m_domainSet
Domain set of the scalar function.
unsigned int m_normalizationStyle
Definition: JointPdf.h:121
unsigned int displayVerbosity() const
Definition: Environment.C:450
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:320

Member Data Documentation

template<class V = GslVector, class M = GslMatrix>
bool QUESO::LogNormalJointPdf< V, M >::m_diagonalCovMatrix
protected

Definition at line 103 of file LogNormalJointPdf.h.

template<class V = GslVector, class M = GslMatrix>
V* QUESO::LogNormalJointPdf< V, M >::m_lawExpVector
protected

Definition at line 101 of file LogNormalJointPdf.h.

template<class V = GslVector, class M = GslMatrix>
V* QUESO::LogNormalJointPdf< V, M >::m_lawVarVector
protected

Definition at line 102 of file LogNormalJointPdf.h.


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

Generated on Tue Jun 5 2018 19:49:33 for queso-0.57.1 by  doxygen 1.8.5