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CovCond.C
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1 //-----------------------------------------------------------------------bl-
2 //--------------------------------------------------------------------------
3 //
4 // QUESO - a library to support the Quantification of Uncertainty
5 // for Estimation, Simulation and Optimization
6 //
7 // Copyright (C) 2008-2017 The PECOS Development Team
8 //
9 // This library is free software; you can redistribute it and/or
10 // modify it under the terms of the Version 2.1 GNU Lesser General
11 // Public License as published by the Free Software Foundation.
12 //
13 // This library is distributed in the hope that it will be useful,
14 // but WITHOUT ANY WARRANTY; without even the implied warranty of
15 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
16 // Lesser General Public License for more details.
17 //
18 // You should have received a copy of the GNU Lesser General Public
19 // License along with this library; if not, write to the Free Software
20 // Foundation, Inc. 51 Franklin Street, Fifth Floor,
21 // Boston, MA 02110-1301 USA
22 //
23 //-----------------------------------------------------------------------el-
24 
25 #include <queso/CovCond.h>
26 
27 namespace QUESO {
28 
29 template <class V, class M>
30 void CovCond(double condNumber, const V & direction, M & covMatrix,
31  M & precMatrix)
32 {
33  //std::cout << "Entering CovCond()"
34  // << std::endl;
35 
36  V v1(direction);
37  //std::cout << "In CovCond(), v1 contents are:"
38  // << std::endl
39  // << v1
40  // << std::endl;
41 
42  V v2(direction,condNumber,1.0); // MATLAB linspace
43  v2.cwInvert();
44  v2.sort();
45  //std::cout << "In CovCond(), v2 contents are:"
46  // << std::endl
47  // << v2
48  // << std::endl;
49 
50  double v1Norm2 = v1.norm2();
51  if (v1[0] >=0) v1[0] += v1Norm2;
52  else v1[0] -= v1Norm2;
53  double v1Norm2Sq = v1.norm2Sq();
54 
55  M Z(direction,1.0);
56  Z -= (2./v1Norm2Sq) * matrixProduct(v1,v1);
57  //std::cout << "In CovCond(), Z contents are:"
58  // << std::endl
59  // << Z
60  // << std::endl;
61 
62  M Zt(Z.transpose());
63  covMatrix = Z * leftDiagScaling(v2, Zt);
64  precMatrix = Z * leftDiagScaling(1./v2,Zt);
65 
66  //std::cout << "Leaving CovCond()"
67  // << std::endl;
68 }
69 
70 } // End namespace QUESO
GslMatrix matrixProduct(const GslVector &v1, const GslVector &v2)
Definition: GslMatrix.C:2036
void CovCond(double condNumber, const V &direction, M &covMatrix, M &precMatrix)
Definition: CovCond.C:30
GslMatrix leftDiagScaling(const GslVector &vec, const GslMatrix &mat)
Definition: GslMatrix.C:2052

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