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ScaledCovMatrixTKGroup.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 //
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20 // Foundation, Inc. 51 Franklin Street, Fifth Floor,
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22 //
23 //-----------------------------------------------------------------------el-
24 
25 #ifndef UQ_SCALEDCOV_TRANSITION_KERNEL_GROUP_H
26 #define UQ_SCALEDCOV_TRANSITION_KERNEL_GROUP_H
27 
28 #include <queso/TKGroup.h>
29 #include <queso/VectorRV.h>
30 #include <queso/ScalarFunctionSynchronizer.h>
31 
32 namespace QUESO {
33 
34 class GslVector;
35 class GslMatrix;
36 
37 //*****************************************************
38 // TK with scaled cov matrix
39 //*****************************************************
43 template <class V = GslVector, class M = GslMatrix>
44 class ScaledCovMatrixTKGroup : public BaseTKGroup<V,M> {
45 public:
47 
48  ScaledCovMatrixTKGroup(const char* prefix,
50  const VectorSpace<V,M>& vectorSpace,
51  const std::vector<double>& scales,
52  const M& covMatrix);
56 
58 
59 
61  bool symmetric () const;
62 
64  const GaussianVectorRV<V,M>& rv (unsigned int stageId ) const;
65 
67  const GaussianVectorRV<V,M>& rv (const std::vector<unsigned int>& stageIds);
68 
69  virtual const GaussianVectorRV<V, M> & rv(const V & position) const;
70 
72 
73  void updateLawCovMatrix (const M& covMatrix);
75 
77 
78  bool setPreComputingPosition (const V& position, unsigned int stageId);
80 
83 
85  virtual unsigned int set_dr_stage(unsigned int stageId);
86 
87  virtual bool covMatrixIsDirty() { return false; }
88  virtual void cleanCovMatrix() { }
90 
92 
93 
95  void print (std::ostream& os) const;
97 private:
99  void setRVsWithZeroMean ();
106 
108 };
109 
110 } // End namespace QUESO
111 
112 #endif // UQ_SCALEDCOV_TRANSITION_KERNEL_GROUP_H
A class representing a vector space.
Definition: VectorSet.h:49
A class representing a Gaussian vector RV.
virtual unsigned int set_dr_stage(unsigned int stageId)
Sets the internal m_stageId varialbe to stageId.
void clearPreComputingPositions()
Clears the pre-computing positions m_preComputingPositions[stageId].
const GaussianVectorRV< V, M > & rv(unsigned int stageId) const
Gaussian increment property to construct a transition kernel.
bool symmetric() const
Whether or not the matrix is symmetric. Always &#39;true&#39;.
This base class allows the representation of a transition kernel.
Definition: Algorithm.h:32
bool setPreComputingPosition(const V &position, unsigned int stageId)
Sets the pre-computing positions m_preComputingPositions[stageId] with a new vector of size position...
ScaledCovMatrixTKGroup(const char *prefix, const VectorSpace< V, M > &vectorSpace, const std::vector< double > &scales, const M &covMatrix)
Default constructor.
void setRVsWithZeroMean()
Sets the mean of the RVs to zero.
void print(std::ostream &os) const
TODO: Prints the transition kernel.
This class allows the representation of a transition kernel with a scaled covariance matrix...
void updateLawCovMatrix(const M &covMatrix)
Scales the covariance matrix.

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