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GaussianVectorRealizer.h
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1 //-----------------------------------------------------------------------bl-
2 //--------------------------------------------------------------------------
3 //
4 // QUESO - a library to support the Quantification of Uncertainty
5 // for Estimation, Simulation and Optimization
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7 // Copyright (C) 2008-2017 The PECOS Development Team
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23 //-----------------------------------------------------------------------el-
24 
25 #ifndef UQ_GAUSSIAN_REALIZER_H
26 #define UQ_GAUSSIAN_REALIZER_H
27 
28 #include <queso/VectorRealizer.h>
29 #include <queso/VectorSequence.h>
30 #include <queso/Environment.h>
31 #include <math.h>
32 
33 namespace QUESO {
34 
35 class GslVector;
36 class GslMatrix;
37 
38 //*****************************************************
39 // Gaussian class [R-03]
40 //*****************************************************
47 template <class V = GslVector, class M = GslMatrix>
49 public:
50 
52 
53 
57  GaussianVectorRealizer(const char* prefix,
59  const V& lawExpVector, // vector of mean values
60  const M& lowerCholLawCovMatrix); // lower triangular matrix resulting from Cholesky decomposition of the covariance matrix
61 
63 
67  GaussianVectorRealizer(const char* prefix,
68  const VectorSet<V,M>& unifiedImageSet,
69  const V& lawExpVector, // vector of mean values
70  const M& matU,
71  const V& vecSsqrt,
72  const M& matVt);
76 
78 
79  const V& unifiedLawExpVector () const;
81 
83  const V& unifiedLawVarVector () const;
84 
86 
88  void realization (V& nextValues) const;
89 
91  void updateLawExpVector (const V& newLawExpVector);
92 
94 
97  void updateLowerCholLawCovMatrix(const M& newLowerCholLawCovMatrix);
98 
100 
103  void updateLowerCholLawCovMatrix(const M& matU,
104  const V& vecSsqrt,
105  const M& matVt);
107 
108 private:
112  M* m_matU;
115 
120 };
121 
122 } // End namespace QUESO
123 
124 #endif // UQ_GAUSSIAN_REALIZER_H
A templated (base) class for handling sampling from vector RVs.
GaussianVectorRealizer(const char *prefix, const VectorSet< V, M > &unifiedImageSet, const V &lawExpVector, const M &lowerCholLawCovMatrix)
Constructor.
A templated class for handling sets.
Definition: VectorSet.h:52
const V & unifiedLawExpVector() const
Access to the vector of mean values and private attribute: m_unifiedLawExpVector. ...
void updateLowerCholLawCovMatrix(const M &newLowerCholLawCovMatrix)
Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new v...
A class for handling sampling from Gaussian probability density distributions.
void realization(V &nextValues) const
Draws a realization.
const VectorSet< V, M > & unifiedImageSet() const
Image set where the realizations lie. Access to protected attribute m_unifiedImageSet.
const V & unifiedLawVarVector() const
Access to the vector of variance values and private attribute: m_unifiedLawVarVector.
void updateLawExpVector(const V &newLawExpVector)
Updates the mean with the new value newLawExpVector.

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