GaussianVectorRealizer.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_GAUSSIAN_REALIZER_H
#define UQ_GAUSSIAN_REALIZER_H

#include <queso/VectorRealizer.h>
#include <queso/VectorSequence.h>
#include <queso/Environment.h>
#include <math.h>

namespace QUESO {

class GslVector;
class GslMatrix;

//*****************************************************
// Gaussian class [R-03]
//*****************************************************
template <class V = GslVector, class M = GslMatrix>
class GaussianVectorRealizer : public BaseVectorRealizer<V,M> {
public:



  GaussianVectorRealizer(const char*                  prefix,
                                const VectorSet<V,M>& unifiedImageSet,
                                const V&                     lawExpVector, // vector of mean values
                                const M&                     lowerCholLawCovMatrix); // lower triangular matrix resulting from Cholesky decomposition of the covariance matrix


  GaussianVectorRealizer(const char*                  prefix,
                                const VectorSet<V,M>& unifiedImageSet,
                                const V&                     lawExpVector, // vector of mean values
                                const M&                     matU,
                                const V&                     vecSsqrt,
                                const M&                     matVt);
  ~GaussianVectorRealizer();


  const V&   unifiedLawExpVector        ()              const;

  const V&   unifiedLawVarVector        ()              const;


  void realization                (V& nextValues) const;

  void updateLawExpVector         (const V& newLawExpVector);


  void updateLowerCholLawCovMatrix(const M& newLowerCholLawCovMatrix);


    void updateLowerCholLawCovMatrix(const M& matU,
           const V& vecSsqrt,
           const M& matVt);

private:
  V* m_unifiedLawExpVector;
  V* m_unifiedLawVarVector;
  M* m_lowerCholLawCovMatrix;
  M* m_matU;
  V* m_vecSsqrt;
  M* m_matVt;

  using BaseVectorRealizer<V,M>::m_env;
  using BaseVectorRealizer<V,M>::m_prefix;
  using BaseVectorRealizer<V,M>::m_unifiedImageSet;
  using BaseVectorRealizer<V,M>::m_subPeriod;
};

}  // End namespace QUESO

#endif // UQ_GAUSSIAN_REALIZER_H