InvLogitGaussianJointPdf.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_INVLOGIT_GAUSSIAN_JOINT_PROB_DENSITY_H
#define UQ_INVLOGIT_GAUSSIAN_JOINT_PROB_DENSITY_H

#include <queso/JointPdf.h>
#include <queso/ScalarFunction.h>
#include <queso/BoxSubset.h>

namespace QUESO {

class GslVector;
class GslMatrix;

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


  InvLogitGaussianJointPdf(const char * prefix,
      const BoxSubset<V, M> & domainBoxSubset, const V & lawExpVector,
      const V & lawVarVector);


  InvLogitGaussianJointPdf(const char * prefix,
      const BoxSubset<V, M> & domainBoxSubset, const V & lawExpVector,
      const M & lawCovMatrix);

  ~InvLogitGaussianJointPdf();




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


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

  virtual void   distributionMean (V & meanVector) const;

  virtual void   distributionVariance (M & covMatrix) const;


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


  void updateLawExpVector(const V & newLawExpVector);


  void updateLawCovMatrix(const M & newLawCovMatrix);

  const M & lawCovMatrix() const;

  const V & lawExpVector() const;

  const V & lawVarVector() const;


  virtual void print(std::ostream & os) const;

private:
  using BaseScalarFunction<V,M>::m_env;
  using BaseScalarFunction<V,M>::m_prefix;
  using BaseScalarFunction<V,M>::m_domainSet;
  using BaseJointPdf<V,M>::m_normalizationStyle;
  using BaseJointPdf<V,M>::m_logOfNormalizationFactor;
  V * m_lawExpVector;
  V * m_lawVarVector;
  bool m_diagonalCovMatrix;
  const M * m_lawCovMatrix;

  const BoxSubset<V, M> & m_domainBoxSubset;
};

}  // End namespace QUESO

#endif // UQ_INVLOGIT_GAUSSIAN_JOINT_PROB_DENSITY_H