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TransformedScaledCovMatrixTKGroup.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
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23 //-----------------------------------------------------------------------el-
24 
25 #ifndef UQ_TRANSFORMED_SCALEDCOV_TK_GROUP_H
26 #define UQ_TRANSFORMED_SCALEDCOV_TK_GROUP_H
27 
28 #include <queso/TKGroup.h>
29 #include <queso/VectorRV.h>
30 #include <queso/ScalarFunctionSynchronizer.h>
31 #include <queso/InvLogitGaussianVectorRV.h>
32 
33 namespace QUESO {
34 
35 class GslVector;
36 class GslMatrix;
37 
47 template <class V = GslVector, class M = GslMatrix>
49 public:
51 
52  TransformedScaledCovMatrixTKGroup(const char * prefix,
54  const BoxSubset<V, M> & boxSubset, const std::vector<double> & scales,
55  const M & covMatrix);
56 
60 
62 
63  bool symmetric() const;
65 
67  const InvLogitGaussianVectorRV<V, M> & rv(unsigned int stageId) const;
68 
71  const std::vector<unsigned int> & stageIds);
72 
73  virtual const InvLogitGaussianVectorRV<V, M> & rv(const V & position) const;
74 
76 
77  void updateLawCovMatrix(const M & covMatrix);
79 
81 
82 
88  bool setPreComputingPosition(const V & position, unsigned int stageId);
89 
92 
93  virtual unsigned int set_dr_stage(unsigned int stageId);
94 
95  virtual bool covMatrixIsDirty() { return false; }
96  virtual void cleanCovMatrix() { }
98 
100 
101 
103  void print(std::ostream & os) const;
105 
106  // Convenience method that transforms a point in physical (user) space to a
107  // space with no boundaries and where the proposal covariance matrix is
108  // Gaussian
109  void transformToGaussianSpace(const V & physicalPoint,
110  V & transformedPoint) const;
111 
112 private:
114  void setRVsWithZeroMean();
115 
122 
125 
126 };
127 
128 } // End namespace QUESO
129 
130 #endif // UQ_TRANSFORMED_SCALEDCOV_TK_GROUP_H
A class representing a (transformed) Gaussian vector RV with bounds.
virtual unsigned int set_dr_stage(unsigned int stageId)
Does nothing. Subclasses may re-implement. Returns the current stage id.
void updateLawCovMatrix(const M &covMatrix)
Scales the covariance matrix of the underlying Gaussian distribution.
void clearPreComputingPositions()
Clears the pre-computing positions m_preComputingPositions[stageId].
void print(std::ostream &os) const
TODO: Prints the transition kernel.
This class represents a transition kernel with a scaled covariance matrix on hybrid bounded/unbounded...
bool symmetric() const
Whether or not the matrix is symmetric. Always &#39;false&#39;.
bool setPreComputingPosition(const V &position, unsigned int stageId)
Sets the pre-computing positions m_preComputingPositions[stageId] with a new vector of size position...
Class representing a subset of a vector space shaped like a hypercube.
Definition: BoxSubset.h:44
const InvLogitGaussianVectorRV< V, M > & rv(unsigned int stageId) const
InvLogitGaussian increment property to construct a transition kernel.
void setRVsWithZeroMean()
Sets the mean of the underlying Gaussian RVs to zero.
This base class allows the representation of a transition kernel.
Definition: Algorithm.h:32
TransformedScaledCovMatrixTKGroup(const char *prefix, const BoxSubset< V, M > &boxSubset, const std::vector< double > &scales, const M &covMatrix)
Default constructor.
void transformToGaussianSpace(const V &physicalPoint, V &transformedPoint) const

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