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

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

#include <LogNormalVectorRV.h>

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

Public Member Functions
Constructor/Destructor methods
	LogNormalVectorRV (const char *prefix, const VectorSet< V, M > &imageSet, const V &lawExpVector, const V &lawVarVector)
	Constructor. More...
virtual	~LogNormalVectorRV ()
	Virtual destructor. 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::LogNormalVectorRV< V, M >

A class representing a LogNormal vector RV.

This class allows the user to compute the value of a LogNormal PDF and to generate realizations (samples) from it.
The probability density function of a log-normal distribution is:

\[ f(x|\mu,\sigma) = \frac{1}{x \sigma \sqrt{2 \pi}}\, e^{-\frac{(\ln x - \mu)^2}{2\sigma^2}}, x>0 \]

where the parameters denoted \( \mu \) and \( \sigma \) are, respectively, the mean and standard deviation of the variable's natural logarithm; and x>0.

Definition at line 57 of file LogNormalVectorRV.h.

Constructor & Destructor Documentation

template<class V , class M >

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

Constructor.

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

Definition at line 35 of file LogNormalVectorRV.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRV< V, M >::imageSet(), 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, QUESO::BoxSubset< V, M >::maxValues(), QUESO::BoxSubset< V, M >::minValues(), 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 LogNormalVectorRV<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }

// begin kemelli 2013-April-23 --------------------------
// LogNormal dist is defined only in (0,inf)

  const BoxSubset<V,M>* imageBox = dynamic_cast<const BoxSubset<V,M>* >(&imageSet);
  double smallerOfMaxValues = imageBox->maxValues().getMinValue();
  double smallerOfMinValues = imageBox->minValues().getMinValue();

 if( smallerOfMinValues < 0 )
 {
   std::cerr << "In LogNormalVectorRV<V,M>::constructor()\n"
       << "LogNormal distribution is only defined in (0, infinity).\n"
       << "The data provided is: \n"
       << *imageBox
         << "Sampling will not cover all interval.\n"
         << std::endl;


    queso_require_greater_equal_msg(smallerOfMaxValues, 0, "invalid input: LogNormal distribution is only defined in (0, infinity), and min(m_maxValues)<0");

 }
// end kemelli 2013-April-23 --------------------------

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

  M lowerCholLawCovMatrix(lawVarVector);
  int iRC = lowerCholLawCovMatrix.chol();
  lowerCholLawCovMatrix.zeroUpper(false);
  if (iRC) {
    std::cerr << "In LogNormalVectorRV<V,M>::constructor() [1]: chol failed, will use svd\n";
    if (m_env.subDisplayFile()) {
      *m_env.subDisplayFile() << "In LogNormalVectorRV<V,M>::constructor() [1]: chol failed; will use svd; lawVarVector contents are\n";
      *m_env.subDisplayFile() << lawVarVector; // FIX ME: might demand parallelism
      *m_env.subDisplayFile() << std::endl;
    }
    M matLaw(lawVarVector);
    M matU  (lawVarVector);
    M matVt (m_imageSet.vectorSpace().zeroVector());
    V vecS  (m_imageSet.vectorSpace().zeroVector());
    iRC = matLaw.svd(matU,vecS,matVt);
    queso_require_msg(!(iRC), "Cholesky decomposition of covariance matrix failed.");

    vecS.cwSqrt();
    m_realizer = new LogNormalVectorRealizer<V,M>(m_prefix.c_str(),
                                                         m_imageSet,
                                                         lawExpVector,
                                                         matU,
                                                         vecS, // already square rooted
                                                         matVt);
  }
  else {
    m_realizer = new LogNormalVectorRealizer<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 LogNormalVectorRV<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }
}

template<class V , class M >

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

virtual

Virtual destructor.

Definition at line 120 of file LogNormalVectorRV.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::LogNormalVectorRV< V, M >::print ( std::ostream &  os ) const

virtual

TODO: Prints the vector RV.

Todo:

: implement me!

Implements QUESO::BaseVectorRV< V, M >.

Definition at line 131 of file LogNormalVectorRV.C.

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

---

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

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