BayesianJointPdf.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008-2017 The PECOS Development Team
//
// This library is free software; you can redistribute it and/or
// modify it under the terms of the Version 2.1 GNU Lesser General
// Public License as published by the Free Software Foundation.
//
// This library is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// Lesser General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc. 51 Franklin Street, Fifth Floor,
// Boston, MA  02110-1301  USA
//
//-----------------------------------------------------------------------el-

#ifndef UQ_BAYESIAN_JOINT_PROB_DENSITY_H
#define UQ_BAYESIAN_JOINT_PROB_DENSITY_H

#include <cmath>
#include <queso/math_macros.h>
#include <queso/JointPdf.h>
#include <queso/Environment.h>
#include <queso/ScalarFunction.h>
#include <queso/BoxSubset.h>

namespace QUESO {

class GslVector;
class GslMatrix;

template <class V = GslVector, class M = GslMatrix>
class BayesianJointPdf : public BaseJointPdf<V,M> {
public:


  BayesianJointPdf(const char*                           prefix,
                          const BaseJointPdf      <V,M>& priorDensity,
                          const BaseScalarFunction<V,M>& likelihoodFunction,
                          double                                likelihoodExponent,
                          const VectorSet         <V,M>& intersectionDomain);
  ~BayesianJointPdf();




  double actualValue              (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const;


  virtual double lnValue(const V & domainVector) const;
  virtual double lnValue(const V & domainVector, V & gradVector) const;

  virtual void   distributionMean (V & meanVector) const { queso_not_implemented(); }

  virtual void   distributionVariance (M & covMatrix) const { queso_not_implemented(); };


  double computeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const;

  void   setNormalizationStyle    (unsigned int value) const;

  double lastComputedLogPrior     () const;

  double lastComputedLogLikelihood() const;



  using BaseScalarFunction<V, M>::lnValue;

protected:
  using BaseScalarFunction<V,M>::m_env;
  using BaseScalarFunction<V,M>::m_prefix;
  using BaseScalarFunction<V,M>::m_domainSet;
  using BaseJointPdf<V,M>::m_logOfNormalizationFactor;

  const BaseJointPdf      <V,M>& m_priorDensity;
  const BaseScalarFunction<V,M>& m_likelihoodFunction;
  double                                m_likelihoodExponent;
  mutable double                        m_lastComputedLogPrior;
  mutable double                        m_lastComputedLogLikelihood;

  mutable V  m_tmpVector1;
  mutable V  m_tmpVector2;
  mutable M* m_tmpMatrix;
};

}  // End namespace QUESO

#endif // UQ_BAYESIAN_JOINT_PROB_DENSITY_H