queso-0.50.1
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QUESO::GaussianVectorRV< V, M > Class Template Reference

A class representing a Gaussian vector RV. More...

#include <GaussianVectorRV.h>

Inheritance diagram for QUESO::GaussianVectorRV< V, M >:
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Collaboration diagram for QUESO::GaussianVectorRV< V, M >:
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Public Member Functions

Constructor/Destructor methods
 GaussianVectorRV (const char *prefix, const VectorSet< V, M > &imageSet, const V &lawExpVector, const V &lawVarVector)
 Constructor. More...
 
 GaussianVectorRV (const char *prefix, const VectorSet< V, M > &imageSet, const V &lawExpVector, const M &lawCovMatrix)
 Constructor. More...
 
virtual ~GaussianVectorRV ()
 Virtual destructor. More...
 
Statistical methods
void updateLawExpVector (const V &newLawExpVector)
 Updates the vector that contains the mean values. More...
 
void updateLawCovMatrix (const M &newLawCovMatrix)
 Updates the covariance matrix. More...
 
I/O methods
void print (std::ostream &os) const
 TODO: Prints the vector RV. More...
 
- Public Member Functions inherited from QUESO::BaseVectorRV< V, M >
 BaseVectorRV (const char *prefix, const VectorSet< V, M > &imageSet)
 Constructor. More...
 
virtual ~BaseVectorRV ()
 Virtual destructor. More...
 
const BaseEnvironment & env () const
 QUESO environment; access to private attribute m_env. More...
 
const VectorSet< V, M > & imageSet () const
 Image set of the vector RV; access to private attribute m_imageSet. More...
 
const BaseJointPdf< V, M > & pdf () const
 Posterior Density Function of the vector RV; access to private attribute m_pdf. More...
 
const BaseVectorRealizer< V, M > & realizer () const
 Finds a realization (sample) of the PDF of this vector RV; access to private attribute m_realizer. More...
 
const BaseVectorCdf< V, M > & subCdf () const
 Finds the Cumulative Distribution Function of this vector RV, considering only the sub-sequence of data; access to private attribute m_subCdf. More...
 
const BaseVectorCdf< V, M > & unifiedCdf () const
 Finds the Cumulative Distribution Function of this vector RV, considering the unified sequence of data; access to private attribute m_unifiedCdf. More...
 
const BaseVectorMdf< V, M > & mdf () const
 Finds the Mass Density Function of this vector RV; access to private attribute m_mdf. More...
 

Additional Inherited Members

- Protected Attributes inherited from QUESO::BaseVectorRV< V, M >
const BaseEnvironment & m_env
 
std::string m_prefix
 
const VectorSet< V, M > & m_imageSet
 
BaseJointPdf< V, M > * m_pdf
 
BaseVectorRealizer< V, M > * m_realizer
 
const BaseVectorCdf< V, M > * m_subCdf
 
const BaseVectorCdf< V, M > * m_unifiedCdf
 
const BaseVectorMdf< V, M > * m_mdf
 

Detailed Description

template<class V, class M>
class QUESO::GaussianVectorRV< V, M >

A class representing a Gaussian vector RV.

This class allows the user to compute the value of a Gaussian PDF and to generate realizations (samples) from it.

In probability theory, the normal (or Gaussian) distribution is a continuous probability distribution, defined by the formula:

\[ f(x| \mu,\sigma) = \frac{1}{\sigma\sqrt{2\pi}} e^{ -\frac{(x-\mu)^2}{2\sigma^2} }. \]

The parameter $ \mu $ in this formula is the mean or expectation of the distribution (and also its median and mode). The parameter $ \sigma $ is its standard deviation; its variance is therefore $ \sigma^2 $ .

Definition at line 60 of file GaussianVectorRV.h.

Constructor & Destructor Documentation

template<class V, class M>
QUESO::GaussianVectorRV< V, M >::GaussianVectorRV ( const char *  prefix,
const VectorSet< V, M > &  imageSet,
const V &  lawExpVector,
const V &  lawVarVector 
)

Constructor.

Construct a Gaussian vector RV with mean lawExpVector and diagonal covariance matrix lawVarVector whose variates live in imageSet.

Definition at line 33 of file GaussianVectorRV.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRV< V, M >::m_env, QUESO::BaseVectorRV< V, M >::m_imageSet, QUESO::BaseVectorRV< V, M >::m_mdf, QUESO::BaseVectorRV< V, M >::m_pdf, QUESO::BaseVectorRV< V, M >::m_prefix, QUESO::BaseVectorRV< V, M >::m_realizer, QUESO::BaseVectorRV< V, M >::m_subCdf, QUESO::BaseVectorRV< V, M >::m_unifiedCdf, QUESO::BaseEnvironment::subDisplayFile(), UQ_FATAL_TEST_MACRO, and QUESO::BaseEnvironment::worldRank().

38  :
39  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
40 {
41  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
42  *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [1]"
43  << ": prefix = " << m_prefix
44  << std::endl;
45  }
46 
47  UQ_FATAL_TEST_MACRO((lawVarVector.getMinValue() <= 0.0),
48  m_env.worldRank(),
49  "GaussianVectorRV<V,M>::constructor() [1]",
50  "Covariance matrix is not symmetric positive definite.");
51 
52  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
53  m_imageSet,
54  lawExpVector,
55  lawVarVector);
56 
57  V cholDiag(lawVarVector);
58  cholDiag.cwSqrt();
59  M lowerCholLawCovMatrix(cholDiag);
60  lowerCholLawCovMatrix.zeroUpper(false);
61 
62  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
63  m_imageSet,
64  lawExpVector,
65  lowerCholLawCovMatrix);
66 
67  m_subCdf = NULL; // FIX ME: complete code
68  m_unifiedCdf = NULL; // FIX ME: complete code
69  m_mdf = NULL; // FIX ME: complete code
70 
71  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
72  *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [1]"
73  << ": prefix = " << m_prefix
74  << std::endl;
75  }
76 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:136
QUESO::BaseEnvironment::worldRank
int worldRank() const
Returns the process world rank.
Definition: Environment.C:235
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:305
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:130
QUESO::BaseVectorRV::m_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:132
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:135
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:134
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:222
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:137
QUESO::BaseVectorRV::imageSet
const VectorSet< V, M > & imageSet() const
Image set of the vector RV; access to private attribute m_imageSet.
Definition: VectorRV.C:79
QUESO::BaseVectorRV::m_prefix
std::string m_prefix
Definition: VectorRV.h:131
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:133
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:436
template<class V, class M>
QUESO::GaussianVectorRV< V, M >::GaussianVectorRV ( const char *  prefix,
const VectorSet< V, M > &  imageSet,
const V &  lawExpVector,
const M &  lawCovMatrix 
)

Constructor.

Construct a Gaussian vector RV with mean lawExpVector and covariance matrix lawCovMatrix whose variates live in imageSet.

Definition at line 79 of file GaussianVectorRV.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRV< V, M >::m_env, QUESO::BaseVectorRV< V, M >::m_imageSet, QUESO::BaseVectorRV< V, M >::m_mdf, QUESO::BaseVectorRV< V, M >::m_pdf, QUESO::BaseVectorRV< V, M >::m_prefix, QUESO::BaseVectorRV< V, M >::m_realizer, QUESO::BaseVectorRV< V, M >::m_subCdf, QUESO::BaseVectorRV< V, M >::m_unifiedCdf, QUESO::BaseEnvironment::subDisplayFile(), UQ_FATAL_TEST_MACRO, and QUESO::BaseEnvironment::worldRank().

84  :
85  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
86 {
87  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
88  *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [2]"
89  << ": prefix = " << m_prefix
90  << std::endl;
91  }
92 
93  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
94  m_imageSet,
95  lawExpVector,
96  lawCovMatrix);
97 
98  M lowerCholLawCovMatrix(lawCovMatrix);
99  int iRC = lowerCholLawCovMatrix.chol();
100  lowerCholLawCovMatrix.zeroUpper(false);
101  if (iRC) {
102  std::cerr << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed, will use svd\n";
103  if (m_env.subDisplayFile()) {
104  *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed; will use svd; lawCovMatrix contents are\n";
105  *m_env.subDisplayFile() << lawCovMatrix; // FIX ME: might demand parallelism
106  *m_env.subDisplayFile() << std::endl;
107  }
108  M matU (lawCovMatrix);
109  M matVt(m_imageSet.vectorSpace().zeroVector());
110  V vecS (m_imageSet.vectorSpace().zeroVector());
111  iRC = lawCovMatrix.svd(matU,vecS,matVt);
112  UQ_FATAL_TEST_MACRO(iRC,
113  m_env.worldRank(),
114  "GaussianVectorRV<V,M>::constructor() [2]",
115  "Cholesky decomposition of covariance matrix failed.");
116 
117  vecS.cwSqrt();
118  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
119  m_imageSet,
120  lawExpVector,
121  matU,
122  vecS, // already square rooted
123  matVt);
124  }
125  else {
126  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
127  m_imageSet,
128  lawExpVector,
129  lowerCholLawCovMatrix);
130  }
131 
132  m_subCdf = NULL; // FIX ME: complete code
133  m_unifiedCdf = NULL; // FIX ME: complete code
134  m_mdf = NULL; // FIX ME: complete code
135 
136  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
137  *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [2]"
138  << ": prefix = " << m_prefix
139  << std::endl;
140  }
141 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:136
QUESO::BaseEnvironment::worldRank
int worldRank() const
Returns the process world rank.
Definition: Environment.C:235
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:305
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:130
QUESO::BaseVectorRV::m_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:132
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:135
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:134
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:222
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:137
QUESO::BaseVectorRV::imageSet
const VectorSet< V, M > & imageSet() const
Image set of the vector RV; access to private attribute m_imageSet.
Definition: VectorRV.C:79
QUESO::BaseVectorRV::m_prefix
std::string m_prefix
Definition: VectorRV.h:131
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:133
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:436
template<class V , class M >
QUESO::GaussianVectorRV< V, M >::~GaussianVectorRV ( )
virtual

Virtual destructor.

Definition at line 144 of file GaussianVectorRV.C.

145 {
146  delete m_mdf;
147  delete m_unifiedCdf;
148  delete m_subCdf;
149  delete m_realizer;
150  delete m_pdf;
151 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:136
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:135
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:134
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:137
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:133

Member Function Documentation

template<class V , class M >
void QUESO::GaussianVectorRV< V, M >::print ( std::ostream &  os) const
virtual

TODO: Prints the vector RV.

Todo:
: implement me!

Implements QUESO::BaseVectorRV< V, M >.

Definition at line 202 of file GaussianVectorRV.C.

203 {
204  os << "GaussianVectorRV<V,M>::print() says, 'Please implement me.'" << std::endl;
205  return;
206 }
template<class V , class M>
void QUESO::GaussianVectorRV< V, M >::updateLawCovMatrix ( const M &  newLawCovMatrix)

Updates the covariance matrix.

This method tries to use Cholesky decomposition; and if it fails, the method then calls a SVD decomposition.

Definition at line 165 of file GaussianVectorRV.C.

References UQ_FATAL_TEST_MACRO.

166 {
167  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
168  ( dynamic_cast< GaussianJointPdf<V,M>* >(m_pdf) )->updateLawCovMatrix(newLawCovMatrix);
169 
170  M newLowerCholLawCovMatrix(newLawCovMatrix);
171  int iRC = newLowerCholLawCovMatrix.chol();
172  newLowerCholLawCovMatrix.zeroUpper(false);
173  if (iRC) {
174  std::cerr << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed, will use svd\n";
175  if (m_env.subDisplayFile()) {
176  *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed; will use svd; newLawCovMatrix contents are\n";
177  *m_env.subDisplayFile() << newLawCovMatrix; // FIX ME: might demand parallelism
178  *m_env.subDisplayFile() << std::endl;
179  }
180  M matU (newLawCovMatrix);
181  M matVt(m_imageSet.vectorSpace().zeroVector());
182  V vecS (m_imageSet.vectorSpace().zeroVector());
183  iRC = newLawCovMatrix.svd(matU,vecS,matVt);
184  UQ_FATAL_TEST_MACRO(iRC,
185  m_env.worldRank(),
186  "GaussianVectorRV<V,M>::updateLawCovMatrix()",
187  "Cholesky decomposition of covariance matrix failed.");
188 
189  vecS.cwSqrt();
190  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(matU,
191  vecS, // already square rooted
192  matVt);
193  }
194  else {
195  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(newLowerCholLawCovMatrix);
196  }
197  return;
198 }
QUESO::BaseEnvironment::worldRank
int worldRank() const
Returns the process world rank.
Definition: Environment.C:235
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:305
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:130
QUESO::BaseVectorRV::m_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:132
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:134
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:222
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:133
template<class V, class M >
void QUESO::GaussianVectorRV< V, M >::updateLawExpVector ( const V &  newLawExpVector)

Updates the vector that contains the mean values.

Definition at line 155 of file GaussianVectorRV.C.

156 {
157  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
158  ( dynamic_cast< GaussianJointPdf <V,M>* >(m_pdf ) )->updateLawExpVector(newLawExpVector);
159  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLawExpVector(newLawExpVector);
160  return;
161 }
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:134
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:133
The documentation for this class was generated from the following files:
Generated on Thu Apr 23 2015 19:18:36 for queso-0.50.1 by  doxygen 1.8.5