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

This class represents a transition kernel with a scaled covariance matrix on hybrid bounded/unbounded state spaces. More...

#include <TransformedScaledCovMatrixTKGroup.h>

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

Public Member Functions
void	transformToGaussianSpace (const V &physicalPoint, V &transformedPoint) const
Constructor/Destructor methods
	TransformedScaledCovMatrixTKGroup (const char *prefix, const BoxSubset< V, M > &boxSubset, const std::vector< double > &scales, const M &covMatrix)
	Default constructor. More...
	~TransformedScaledCovMatrixTKGroup ()
	Destructor. More...
Statistical/Mathematical methods
bool	symmetric () const
	Whether or not the matrix is symmetric. Always 'false'. More...
const InvLogitGaussianVectorRV < V, M > &	rv (unsigned int stageId) const
	InvLogitGaussian increment property to construct a transition kernel. More...
const InvLogitGaussianVectorRV < V, M > &	rv (const std::vector< unsigned int > &stageIds)
	InvLogitGaussian increment property to construct a transition kernel. More...
virtual const InvLogitGaussianVectorRV< V, M > &	rv (const V &position) const
	Constructs transition kernel pdf based on internal m_stageId variable. More...
void	updateLawCovMatrix (const M &covMatrix)
	Scales the covariance matrix of the underlying Gaussian distribution. More...
Misc methods
bool	setPreComputingPosition (const V &position, unsigned int stageId)
	Sets the pre-computing positions m_preComputingPositions[stageId] with a new vector of size position. More...
void	clearPreComputingPositions ()
	Clears the pre-computing positions m_preComputingPositions[stageId]. More...
virtual unsigned int	set_dr_stage (unsigned int stageId)
	Does nothing. Subclasses may re-implement. Returns the current stage id. More...
virtual bool	covMatrixIsDirty ()
virtual void	cleanCovMatrix ()
I/O methods
void	print (std::ostream &os) const
	TODO: Prints the transition kernel. More...
Public Member Functions inherited from QUESO::BaseTKGroup< V, M >
	BaseTKGroup ()
	Default constructor. More...
	BaseTKGroup (const char *prefix, const VectorSpace< V, M > &vectorSpace, const std::vector< double > &scales)
	Constructor. More...
virtual	~BaseTKGroup ()
	Destructor. More...
const BaseEnvironment &	env () const
	QUESO's environment. More...
const V &	preComputingPosition (unsigned int stageId) const
	Pre-computing position; access to protected attribute *m_preComputingPositions[stageId]. More...
virtual void	updateTK ()

Private Member Functions
void	setRVsWithZeroMean ()
	Sets the mean of the underlying Gaussian RVs to zero. More...

Private Attributes
const BoxSubset< V, M > &	m_boxSubset
M	m_originalCovMatrix

Additional Inherited Members
Protected Attributes inherited from QUESO::BaseTKGroup< V, M >
const EmptyEnvironment *	m_emptyEnv
const BaseEnvironment &	m_env
std::string	m_prefix
const VectorSpace< V, M > *	m_vectorSpace
std::vector< double >	m_scales
std::vector< const V * >	m_preComputingPositions
std::vector< BaseVectorRV< V, M > * >	m_rvs
unsigned int	m_stageId

Detailed Description

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

This class represents a transition kernel with a scaled covariance matrix on hybrid bounded/unbounded state spaces.

The unbounded directions utilise a standard Gaussian proposal. The bounded or half-bounded directions utilise a transformed Gaussian proposal, so that no realizations are generated outside of the state space.

Definition at line 48 of file TransformedScaledCovMatrixTKGroup.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::TransformedScaledCovMatrixTKGroup< V, M >::TransformedScaledCovMatrixTKGroup	(	const char *	prefix,
		const BoxSubset< V, M > &	boxSubset,
		const std::vector< double > &	scales,
		const M &	covMatrix
	)

Default constructor.

Definition at line 33 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseTKGroup< V, M >::m_env, QUESO::TransformedScaledCovMatrixTKGroup< V, M >::m_originalCovMatrix, QUESO::BaseTKGroup< V, M >::m_preComputingPositions, QUESO::BaseTKGroup< V, M >::m_rvs, QUESO::BaseTKGroup< V, M >::m_scales, QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setRVsWithZeroMean(), and QUESO::BaseEnvironment::subDisplayFile().

  : BaseTKGroup<V, M>(prefix, boxSubset.vectorSpace(), scales),
    m_boxSubset(boxSubset),
    m_originalCovMatrix(covMatrix)
{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Entering TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                           << std::endl;
  }

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                           << ": m_scales.size() = "                << m_scales.size()
                           << ", m_preComputingPositions.size() = " << m_preComputingPositions.size()
                           << ", m_rvs.size() = "                   << m_rvs.size()
                           << ", m_originalCovMatrix = "            << m_originalCovMatrix
                           << std::endl;
  }

  // Set RVs to have zero mean in the Gaussian space
  setRVsWithZeroMean();

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Leaving TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                           << std::endl;
  }
}

template<class V , class M >

QUESO::TransformedScaledCovMatrixTKGroup< V, M >::~TransformedScaledCovMatrixTKGroup

(

)

Destructor.

Definition at line 66 of file TransformedScaledCovMatrixTKGroup.C.

{
}

Member Function Documentation

template<class V = GslVector, class M = GslMatrix>

virtual void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::cleanCovMatrix ( )

inlinevirtual

Performs whatever cleanup is needed (usually just resetting an internal bool flag) after the covariance matrix was modified.

After this method is called, covMatrixIsDirty should return true.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 96 of file TransformedScaledCovMatrixTKGroup.h.

{ }

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::clearPreComputingPositions ( )

virtual

Clears the pre-computing positions m_preComputingPositions[stageId].

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

Definition at line 233 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseTKGroup< V, M >::clearPreComputingPositions().

{
  BaseTKGroup<V,M>::clearPreComputingPositions();
  return;
}

template<class V = GslVector, class M = GslMatrix>

virtual bool QUESO::TransformedScaledCovMatrixTKGroup< V, M >::covMatrixIsDirty ( )

inlinevirtual

This method determines whether or not the user has 'dirtied' the covariance matrix, thereby necessitating an AM reset.

Should return true if the cov matrix was modified in such a way to affect the Adaptive Metropolis sample covariance calculation.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 95 of file TransformedScaledCovMatrixTKGroup.h.

{ return false; }

template<class V , class M >

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

virtual

TODO: Prints the transition kernel.

Todo:

: implement me!

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

Definition at line 270 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseTKGroup< V, M >::print().

{
  BaseTKGroup<V,M>::print(os);
  return;
}

template<class V , class M >

const InvLogitGaussianVectorRV< V, M > & QUESO::TransformedScaledCovMatrixTKGroup< V, M >::rv ( unsigned int  stageId ) const

virtual

InvLogitGaussian increment property to construct a transition kernel.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 79 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::queso_require_not_equal_to_msg, and QUESO::InvLogitGaussianVectorRV< V, M >::updateLawExpVector().

{
  queso_require_not_equal_to_msg(m_rvs.size(), 0, "m_rvs.size() = 0");

  queso_require_msg(m_rvs[0], "m_rvs[0] == NULL");

  queso_require_greater_msg(m_preComputingPositions.size(), stageId, "m_preComputingPositions.size() <= stageId");

  queso_require_msg(m_preComputingPositions[stageId], "m_preComputingPositions[stageId] == NULL");

  if ((m_env.subDisplayFile()        ) &&
      (m_env.displayVerbosity() >= 10)) {
    *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::rv1()"
                            << ", stageId = " << stageId
                            << ": about to call m_rvs[0]->updateLawExpVector()"
                            << ", vector = " << *m_preComputingPositions[stageId] // FIX ME: might demand parallelism
                            << std::endl;
  }

  InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
    dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[0]);

  V transformedPreComputingPositions(*m_preComputingPositions[stageId]);
  transformToGaussianSpace(*m_preComputingPositions[stageId],
      transformedPreComputingPositions);

  invlogit_gaussian->updateLawExpVector(transformedPreComputingPositions);

  return (*invlogit_gaussian);
}

template<class V , class M >

const InvLogitGaussianVectorRV< V, M > & QUESO::TransformedScaledCovMatrixTKGroup< V, M >::rv ( const std::vector< unsigned int > &  stageIds )

virtual

InvLogitGaussian increment property to construct a transition kernel.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 112 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::InvLogitGaussianVectorRV< V, M >::updateLawExpVector().

{
  queso_require_greater_equal_msg(m_rvs.size(), stageIds.size(), "m_rvs.size() < stageIds.size()");

  queso_require_msg(m_rvs[stageIds.size()-1], "m_rvs[stageIds.size()-1] == NULL");

  queso_require_greater_msg(m_preComputingPositions.size(), stageIds[0], "m_preComputingPositions.size() <= stageIds[0]");

  queso_require_msg(m_preComputingPositions[stageIds[0]], "m_preComputingPositions[stageIds[0]] == NULL");

  if ((m_env.subDisplayFile()        ) &&
      (m_env.displayVerbosity() >= 10)) {
    *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::rv2()"
                            << ", stageIds.size() = " << stageIds.size()
                            << ", stageIds[0] = "     << stageIds[0]
                            << ": about to call m_rvs[stageIds.size()-1]->updateLawExpVector()"
                            << ", vector = " << *m_preComputingPositions[stageIds[0]] // FIX ME: might demand parallelism
                            << std::endl;
  }

  InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
    dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[stageIds.size()-1]);

  V transformedPreComputingPositions(*m_preComputingPositions[stageIds[0]]);
  transformToGaussianSpace(*m_preComputingPositions[stageIds[0]],
      transformedPreComputingPositions);

  invlogit_gaussian->updateLawExpVector(transformedPreComputingPositions);

  return (*invlogit_gaussian);
}

template<class V , class M >

const InvLogitGaussianVectorRV< V, M > & QUESO::TransformedScaledCovMatrixTKGroup< V, M >::rv ( const V &  position ) const

virtual

Constructs transition kernel pdf based on internal m_stageId variable.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 146 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::queso_require_not_equal_to_msg, and QUESO::InvLogitGaussianVectorRV< V, M >::updateLawExpVector().

{
  queso_require_not_equal_to_msg(m_rvs.size(), 0, "m_rvs.size() = 0");
  queso_require_msg(m_rvs[0], "m_rvs[0] == NULL");
  // queso_require_greater_msg(m_preComputingPositions.size(), this->m_stageId, "m_preComputingPositions.size() <= stageId");
  // queso_require_msg(m_preComputingPositions[this->m_stageId], "m_preComputingPositions[stageId] == NULL");

  InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
    dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[this->m_stageId]);

  V transformedPreComputingPositions(position);
  transformToGaussianSpace(position, transformedPreComputingPositions);
  invlogit_gaussian->updateLawExpVector(transformedPreComputingPositions);

  return (*invlogit_gaussian);
}

template<class V , class M >

unsigned int QUESO::TransformedScaledCovMatrixTKGroup< V, M >::set_dr_stage ( unsigned int  stageId )

virtual

Does nothing. Subclasses may re-implement. Returns the current stage id.

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

Definition at line 241 of file TransformedScaledCovMatrixTKGroup.C.

{
  unsigned int old_stageId = this->m_stageId;
  this->m_stageId = stageId;
  return old_stageId;
}

template<class V , class M >

bool QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setPreComputingPosition ( const V &  position, unsigned int  stageId  )

virtual

Sets the pre-computing positions m_preComputingPositions[stageId] with a new vector of size position.

The vector position is in physical space. This is then transformed using transformToGaussianSpace to map to a point in Gaussian space where we can, for example, update the mean of the underlying Gaussian RV.

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

Definition at line 194 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::InvLogitGaussianJointPdf< V, M >::lawCovMatrix(), and QUESO::BaseTKGroup< V, M >::setPreComputingPosition().

{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Entering TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                           << ": position = " << position
                           << ", stageId = "  << stageId
                           << std::endl;
  }

  BaseTKGroup<V,M>::setPreComputingPosition(position,stageId);
  //setRVsWithZeroMean();

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                           << ", position = "        << position
                           << ", stageId = "         << stageId
                           << ": preComputingPos = " << *m_preComputingPositions[stageId];
    if (stageId < m_scales.size()) {
      *m_env.subDisplayFile() << ", factor = " << 1./m_scales[stageId]/m_scales[stageId];
    }
    if (stageId < m_rvs.size()) {
      const InvLogitGaussianJointPdf<V,M>* pdfPtr = dynamic_cast< const InvLogitGaussianJointPdf<V,M>* >(&(m_rvs[stageId]->pdf()));
      *m_env.subDisplayFile() << ", rvCov = " << pdfPtr->lawCovMatrix(); // FIX ME: might demand parallelism
    }
    *m_env.subDisplayFile() << std::endl;
  }

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Leaving TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                           << ": position = " << position
                           << ", stageId = "  << stageId
                           << std::endl;
  }

  return true;
}

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setRVsWithZeroMean ( )

private

Sets the mean of the underlying Gaussian RVs to zero.

Definition at line 251 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::queso_require_equal_to_msg, and QUESO::queso_require_not_equal_to_msg.

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

{
  queso_require_not_equal_to_msg(m_rvs.size(), 0, "m_rvs.size() = 0");

  queso_require_equal_to_msg(m_rvs.size(), m_scales.size(), "m_rvs.size() != m_scales.size()");

  for (unsigned int i = 0; i < m_scales.size(); ++i) {
    double factor = 1./m_scales[i]/m_scales[i];
    queso_require_msg(!(m_rvs[i]), "m_rvs[i] != NULL");
    m_rvs[i] = new InvLogitGaussianVectorRV<V,M>(m_prefix.c_str(),
        m_boxSubset, m_vectorSpace->zeroVector(),
        factor*m_originalCovMatrix);
  }

  return;
}

template<class V , class M >

bool QUESO::TransformedScaledCovMatrixTKGroup< V, M >::symmetric ( ) const

virtual

Whether or not the matrix is symmetric. Always 'false'.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 72 of file TransformedScaledCovMatrixTKGroup.C.

{
  return false;
}

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::transformToGaussianSpace	(	const V &	physicalPoint,
		V &	transformedPoint
	)		const

Definition at line 278 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::queso_isfinite().

{
  V min_domain_bounds(this->m_boxSubset.minValues());
  V max_domain_bounds(this->m_boxSubset.maxValues());

  for (unsigned int i = 0; i < transformedPoint.sizeLocal(); i++) {
    double min_val = min_domain_bounds[i];
    double max_val = max_domain_bounds[i];

    if (queso_isfinite(min_val) &&
        queso_isfinite(max_val)) {
        // Left- and right-hand sides are finite.  Do full transform.
        transformedPoint[i] = std::log(physicalPoint[i] - min_val) -
            std::log(max_val - physicalPoint[i]);
    }
    else if (queso_isfinite(min_val) &&
             !queso_isfinite(max_val)) {
      // Left-hand side finite, but right-hand side is not.
      // Do only left-hand transform.
      transformedPoint[i] = std::log(physicalPoint[i] - min_val);
    }
    else if (!queso_isfinite(min_val) &&
             queso_isfinite(max_val)) {
      // Right-hand side is finite, but left-hand side is not.
      // Do only right-hand transform.
      transformedPoint[i] = -std::log(max_val - physicalPoint[i]);
    }
    else {
      // No transform.
      transformedPoint[i] = physicalPoint[i];
    }
  }
}

template<class V , class M >

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

(

const M &

covMatrix

)

Scales the covariance matrix of the underlying Gaussian distribution.

The covariance matrix is scaled by a factor of \( 1/scales^2 \).

Definition at line 166 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::InvLogitGaussianVectorRV< V, M >::updateLawCovMatrix().

{
  for (unsigned int i = 0; i < m_scales.size(); ++i) {
    double factor = 1./m_scales[i]/m_scales[i];
    if ((m_env.subDisplayFile()        ) &&
        (m_env.displayVerbosity() >= 10)) {
      *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::updateLawCovMatrix()"
                              << ", m_scales.size() = " << m_scales.size()
                              << ", i = "               << i
                              << ", m_scales[i] = "     << m_scales[i]
                              << ", factor = "          << factor
                              << ": about to call m_rvs[i]->updateLawCovMatrix()"
                              << ", covMatrix = \n" << factor*covMatrix // FIX ME: might demand parallelism
                              << std::endl;
    }

    InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
      dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[i]);

    invlogit_gaussian->updateLawCovMatrix(factor*covMatrix);
  }

  return;
}

Member Data Documentation

template<class V = GslVector, class M = GslMatrix>

const BoxSubset<V, M>& QUESO::TransformedScaledCovMatrixTKGroup< V, M >::m_boxSubset

private

Definition at line 123 of file TransformedScaledCovMatrixTKGroup.h.

template<class V = GslVector, class M = GslMatrix>

M QUESO::TransformedScaledCovMatrixTKGroup< V, M >::m_originalCovMatrix

private

Definition at line 124 of file TransformedScaledCovMatrixTKGroup.h.

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

---

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

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