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GaussianJointPdf.h
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1 //-----------------------------------------------------------------------bl-
2 //--------------------------------------------------------------------------
3 //
4 // QUESO - a library to support the Quantification of Uncertainty
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24 
25 #ifndef UQ_GAUSSIAN_JOINT_PROB_DENSITY_H
26 #define UQ_GAUSSIAN_JOINT_PROB_DENSITY_H
27 
28 #include <cmath>
29 
30 #include <queso/JointPdf.h>
31 #include <queso/Environment.h>
32 #include <queso/ScalarFunction.h>
33 #include <queso/BoxSubset.h>
34 
35 namespace QUESO {
36 
37 class GslVector;
38 class GslMatrix;
39 
40 //*****************************************************
41 // Gaussian probability density class [PDF-03]
42 //*****************************************************
49 template <class V = GslVector, class M = GslMatrix>
50 class GaussianJointPdf : public BaseJointPdf<V,M> {
51 public:
53 
54 
58  GaussianJointPdf(const char* prefix,
60  const V& lawExpVector,
61  const V& lawVarVector);
63 
65  GaussianJointPdf(const char* prefix,
66  const VectorSet<V,M>& domainSet,
67  const V& lawExpVector,
68  const M& lawCovMatrix);
72 
74 
75 
77 
78  double actualValue (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const;
79 
81 
85  double lnValue (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const;
86 
88  virtual void distributionMean (V & meanVector) const;
89 
91  virtual void distributionVariance (M & covMatrix) const;
92 
94 
95  double computeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const;
96 
98 
99  void updateLawExpVector(const V& newLawExpVector);
100 
102 
103  void updateLawCovMatrix(const M& newLawCovMatrix);
104 
106  const M& lawCovMatrix () const;
107 
109  const V& lawExpVector() const;
110 
112  const V& lawVarVector() const;
114 
116  virtual void print(std::ostream & os) const;
117 
118 protected:
127  const M* m_lawCovMatrix;
128 };
129 
130 } // End namespace QUESO
131 
132 #endif // UQ_GAUSSIAN_JOINT_PROB_DENSITY_H
virtual void print(std::ostream &os) const
Print method for informational and logging purposes.
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
A templated (base) class for handling scalar functions.
A class for handling Gaussian joint PDFs.
double computeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const
Computes the logarithm of the normalization factor.
virtual void distributionMean(V &meanVector) const
Mean value of the underlying random variable.
virtual void distributionVariance(M &covMatrix) const
Covariance matrix of the underlying random variable.
double lnValue(const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
Logarithm of the value of the Gaussian PDF (scalar function).
A templated class for handling sets.
Definition: VectorSet.h:52
~GaussianJointPdf()
Destructor.
const VectorSet< V, M > & domainSet() const
Access to the protected attribute m_domainSet: domain set of the scalar function. ...
void updateLawCovMatrix(const M &newLawCovMatrix)
Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new v...
double actualValue(const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
Actual value of the Gaussian PDF:
A templated (base) class for handling joint PDFs.
Definition: JointPdf.h:55
GaussianJointPdf(const char *prefix, const VectorSet< V, M > &domainSet, const V &lawExpVector, const V &lawVarVector)
Constructor.
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
const M & lawCovMatrix() const
Returns the covariance matrix; access to protected attribute m_lawCovMatrix.
void updateLawExpVector(const V &newLawExpVector)
Updates the mean with the new value newLawExpVector.

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