VectorRV.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008,2009,2010,2011,2012,2013 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_VECTOR_RV_H
#define UQ_VECTOR_RV_H

#include <queso/VectorSpace.h>
#include <queso/JointPdf.h>
#include <queso/GaussianJointPdf.h>
#include <queso/BetaJointPdf.h>
#include <queso/GammaJointPdf.h>
#include <queso/UniformJointPdf.h>
#include <queso/InverseGammaJointPdf.h>
#include <queso/WignerJointPdf.h>
#include <queso/LogNormalJointPdf.h>
#include <queso/ConcatenatedJointPdf.h>
#include <queso/VectorRealizer.h>
#include <queso/GaussianVectorRealizer.h>
#include <queso/UniformVectorRealizer.h>
#include <queso/BetaVectorRealizer.h>
#include <queso/GammaVectorRealizer.h>
#include <queso/InverseGammaVectorRealizer.h>
#include <queso/WignerVectorRealizer.h>
#include <queso/LogNormalVectorRealizer.h>
#include <queso/ConcatenatedVectorRealizer.h>
#include <queso/VectorCdf.h>
#include <queso/VectorMdf.h>
#include <queso/SequenceOfVectors.h>
#include <queso/InfoTheory.h>
#include <gsl/gsl_sf_psi.h> // todo: take specificity of gsl_, i.e., make it general (gsl or boost or etc)

namespace QUESO {

//*****************************************************
// Base class [RV-00]
//*****************************************************

template<class V, class M>
class BaseVectorRV {
public:


  BaseVectorRV(const char*                  prefix,
                      const VectorSet<V,M>& imageSet);
  
  virtual ~BaseVectorRV();
  

  const   BaseEnvironment&         env       () const;
  
  const   VectorSet         <V,M>& imageSet  () const;
  
  const   BaseJointPdf      <V,M>& pdf       () const;
  
  const   BaseVectorRealizer<V,M>& realizer  () const;
  
  const   BaseVectorCdf     <V,M>& subCdf    () const;
  
  const   BaseVectorCdf     <V,M>& unifiedCdf() const;
  
  const   BaseVectorMdf     <V,M>& mdf       () const;
  


  virtual void                            print     (std::ostream& os) const = 0;
  friend std::ostream& operator<<(std::ostream& os,
      const BaseVectorRV<V,M>& obj) {
    obj.print(os);
    return os;
  }
  
#ifdef QUESO_HAS_ANN
  virtual double                          estimateENT_ANN() const;
  /*
  virtual double                          estimateENT_ANN( unsigned int k, double eps ) const;
  virtual double                          estimateENTSubset_ANN( const unsigned int dimSel[] ) const;
  virtual double                          estimateENTSubset_ANN( const unsigned int dimSel[], unsigned int k, double eps ) const;
  */
#endif // QUESO_HAS_ANN

protected:
  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;
};

//---------------------------------------------------
// Method declared outside class definition ---------
//---------------------------------------------------
template <class P_V, class P_M, class Q_V, class Q_M>
void
ComputeCovCorrMatricesBetweenVectorRvs(
  const BaseVectorRV<P_V,P_M>& paramRv,
  const BaseVectorRV<Q_V,Q_M>& qoiRv,
        unsigned int                  localNumSamples,
        P_M&                          pqCovMatrix,
        P_M&                          pqCorrMatrix);

}  // End namespace QUESO

#endif // UQ_VECTOR_RV_H