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MatrixCovarianceFunction.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
6 //
7 // Copyright (C) 2008-2017 The PECOS Development Team
8 //
9 // This library is free software; you can redistribute it and/or
10 // modify it under the terms of the Version 2.1 GNU Lesser General
11 // Public License as published by the Free Software Foundation.
12 //
13 // This library is distributed in the hope that it will be useful,
14 // but WITHOUT ANY WARRANTY; without even the implied warranty of
15 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
16 // Lesser General Public License for more details.
17 //
18 // You should have received a copy of the GNU Lesser General Public
19 // License along with this library; if not, write to the Free Software
20 // Foundation, Inc. 51 Franklin Street, Fifth Floor,
21 // Boston, MA 02110-1301 USA
22 //
23 //-----------------------------------------------------------------------el-
24 
25 #ifndef UQ_MATRIX_COVARIANCE_FUNCTION_H
26 #define UQ_MATRIX_COVARIANCE_FUNCTION_H
27 
28 #include <queso/VectorSet.h>
29 #include <queso/Environment.h>
30 #include <cmath>
31 
32 namespace QUESO {
33 
34 class GslVector;
35 class GslMatrix;
36 
50  /* The covariance for two random variates \f$ X \f$ and \f$ Y \f$,
51  * each with sample size \f$ N \f$, is defined by the expectation value:
52  * \f$ cov (X,Y) = <(X-\mu_X)(Y-\mu_Y)> = < X Y > - \mu_X \mu_Y \f$
53  * where \f$ \mu_X \f$ and \f$ \mu_Y \f$ are the respective means, which can be written out
54  * explicitly as \f[ cov (X,Y) = \sum_{i=1}^{N} \frac{(x_i - \bar{x})(y_i - \bar{y})}{N}\f] */
55 
56 template <class P_V = GslVector, class P_M = GslMatrix, class Q_V = GslVector, class Q_M = GslMatrix>
58 public:
60 
61 
63  BaseMatrixCovarianceFunction(const char* prefix,
65  const VectorSet<Q_V,Q_M>& imageSet);
66 
70 
72 
73  const VectorSet<P_V,P_M>& basicDomainSet() const;
75 
77  virtual void covMatrix (const P_V& domainVector1, const P_V& domainVector2, Q_M& imageMatrix) const = 0;
79 
80 protected:
82  std::string m_prefix;
85 };
86 
87 } // End namespace QUESO
88 
89 #endif // UQ_MATRIX_COVARIANCE_FUNCTION_H
This (virtual) class sets up the environment underlying the use of the QUESO library by an executable...
Definition: Environment.h:198
const VectorSet< P_V, P_M > & m_basicDomainSet
BaseMatrixCovarianceFunction(const char *prefix, const VectorSet< P_V, P_M > &basicDomainSet, const VectorSet< Q_V, Q_M > &imageSet)
Default constructor.
virtual void covMatrix(const P_V &domainVector1, const P_V &domainVector2, Q_M &imageMatrix) const =0
Calculates the covariance matrix. See template specialization.
const VectorSet< Q_V, Q_M > & m_imageSet
const VectorSet< P_V, P_M > & basicDomainSet() const
Domain set; access to private attribute m_basicDomainSet.
virtual ~BaseMatrixCovarianceFunction()
Virtual destructor.
A templated (base) class to accommodate covariance matrix of (random) vector functions.

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