QUESO::GaussianVectorRealizer< V, M > Class Template Reference

A class for handling sampling from Gaussian probability density distributions. More...

#include <GaussianVectorRealizer.h>

Inheritance diagram for QUESO::GaussianVectorRealizer< V, M >:

Collaboration diagram for QUESO::GaussianVectorRealizer< V, M >:

Public Member Functions
Constructor/Destructor methods
	GaussianVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, const V &lawExpVector, const M &lowerCholLawCovMatrix)
	Constructor. More...
	GaussianVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, const V &lawExpVector, const M &matU, const V &vecSsqrt, const M &matVt)
	Constructor. More...
	~GaussianVectorRealizer ()
	Destructor. More...
Realization-related methods
const V &	unifiedLawExpVector () const
	Access to the vector of mean values and private attribute: m_unifiedLawExpVector. More...
const V &	unifiedLawVarVector () const
	Access to the vector of variance values and private attribute: m_unifiedLawVarVector. More...
void	realization (V &nextValues) const
	Draws a realization. More...
void	updateLawExpVector (const V &newLawExpVector)
	Updates the mean with the new value newLawExpVector. More...
void	updateLowerCholLawCovMatrix (const M &newLowerCholLawCovMatrix)
	Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new value newLowerCholLawCovMatrix. More...
void	updateLowerCholLawCovMatrix (const M &matU, const V &vecSsqrt, const M &matVt)
	Updates the SVD matrices from SVD decomposition of the covariance matrix to the new values: matU, vecSsqrt, and matVt. More...
Public Member Functions inherited from QUESO::BaseVectorRealizer< V, M >
	BaseVectorRealizer (const char *prefix, const VectorSet< V, M > &unifiedImageSet, unsigned int subPeriod)
	Default constructor. More...
virtual	~BaseVectorRealizer ()
	Virtual destructor. More...
const VectorSet< V, M > &	unifiedImageSet () const
	Image set where the realizations lie. Access to protected attribute m_unifiedImageSet. More...
unsigned int	subPeriod () const
	Sub-period of the realization. Access to protected attribute m_subPeriod. More...

Private Attributes
V *	m_unifiedLawExpVector
V *	m_unifiedLawVarVector
M *	m_lowerCholLawCovMatrix
M *	m_matU
V *	m_vecSsqrt
M *	m_matVt

Additional Inherited Members
Protected Attributes inherited from QUESO::BaseVectorRealizer< V, M >
const BaseEnvironment &	m_env
std::string	m_prefix
const VectorSet< V, M > &	m_unifiedImageSet
unsigned int	m_subPeriod

Detailed Description

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

A class for handling sampling from Gaussian probability density distributions.

This class handles sampling from a Gaussian probability density distribution.

Definition at line 45 of file GaussianVectorRealizer.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::GaussianVectorRealizer	(	const char *	prefix,
		const VectorSet< V, M > &	unifiedImageSet,
		const V &	lawExpVector,
		const M &	lowerCholLawCovMatrix
	)

Constructor.

Constructs a new object, given a prefix and the image set of the vector realizer, a vector of mean values, lawExpVector, and a lower triangular matrix resulting from Cholesky decomposition of the covariance matrix, lowerCholLawCovMatrix.

Definition at line 33 of file GaussianVectorRealizer.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRealizer< V, M >::m_env, QUESO::BaseVectorRealizer< V, M >::m_prefix, QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawExpVector, and QUESO::BaseEnvironment::subDisplayFile().

  :
  BaseVectorRealizer<V,M>( ((std::string)(prefix)+"gau").c_str(), unifiedImageSet, std::numeric_limits<unsigned int>::max()), // 2011/Oct/02 - Correction thanks to Corey
  m_unifiedLawExpVector  (new V(lawExpVector)),
  m_unifiedLawVarVector  (unifiedImageSet.vectorSpace().newVector( INFINITY)), // FIX ME
  m_lowerCholLawCovMatrix(new M(lowerCholLawCovMatrix)),
  m_matU                 (NULL),
  m_vecSsqrt             (NULL),
  m_matVt                (NULL)
{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Entering GaussianVectorRealizer<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }

  *m_unifiedLawExpVector = lawExpVector; // ????

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Leaving GaussianVectorRealizer<V,M>::constructor() [1]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }
}

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::GaussianVectorRealizer	(	const char *	prefix,
		const VectorSet< V, M > &	unifiedImageSet,
		const V &	lawExpVector,
		const M &	matU,
		const V &	vecSsqrt,
		const M &	matVt
	)

Constructor.

Constructs a new object, given a prefix and the image set of the vector realizer, a vector of mean values, lawExpVector, and a set of two matrices and one vector resulting from the Single Value Decomposition of the covariance matrix, matU, vecSsqrt and matVt.

Definition at line 62 of file GaussianVectorRealizer.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseVectorRealizer< V, M >::m_env, QUESO::BaseVectorRealizer< V, M >::m_prefix, QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawExpVector, and QUESO::BaseEnvironment::subDisplayFile().

  :
  BaseVectorRealizer<V,M>( ((std::string)(prefix)+"gau").c_str(), unifiedImageSet, std::numeric_limits<unsigned int>::max()), // 2011/Oct/02 - Correction thanks to Corey
  m_unifiedLawExpVector  (new V(lawExpVector)),
  m_unifiedLawVarVector  (unifiedImageSet.vectorSpace().newVector( INFINITY)), // FIX ME
  m_lowerCholLawCovMatrix(NULL),
  m_matU                 (new M(matU)),
  m_vecSsqrt             (new V(vecSsqrt)),
  m_matVt                (new M(matVt))
{
  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Entering GaussianVectorRealizer<V,M>::constructor() [2]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }

  *m_unifiedLawExpVector = lawExpVector; // ????

  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
    *m_env.subDisplayFile() << "Leaving GaussianVectorRealizer<V,M>::constructor() [2]"
                            << ": prefix = " << m_prefix
                            << std::endl;
  }
}

template<class V , class M >

QUESO::GaussianVectorRealizer< V, M >::~GaussianVectorRealizer

(

)

Destructor.

Definition at line 93 of file GaussianVectorRealizer.C.

{
  delete m_matVt;
  delete m_vecSsqrt;
  delete m_matU;
  delete m_lowerCholLawCovMatrix;
  delete m_unifiedLawVarVector;
  delete m_unifiedLawExpVector;
}

Member Function Documentation

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::realization ( V &  nextValues ) const

virtual

Draws a realization.

This function draws a realization of a Gaussian distribution of mean m_unifiedLawExpVector and variance m_unifiedLawVarVector and saves it in nextValues.

Implements QUESO::BaseVectorRealizer< V, M >.

Definition at line 119 of file GaussianVectorRealizer.C.

References UQ_FATAL_TEST_MACRO.

{
  V iidGaussianVector(m_unifiedImageSet.vectorSpace().zeroVector());

  bool outOfSupport = true;
  do {
    iidGaussianVector.cwSetGaussian(0.0, 1.0);

    if (m_lowerCholLawCovMatrix) {
      nextValues = (*m_unifiedLawExpVector) + (*m_lowerCholLawCovMatrix)*iidGaussianVector;
    }
    else if (m_matU && m_vecSsqrt && m_matVt) {
      nextValues = (*m_unifiedLawExpVector) + (*m_matU)*( (*m_vecSsqrt) * ((*m_matVt)*iidGaussianVector) );
    }
    else {
      UQ_FATAL_TEST_MACRO(true,
                          m_env.worldRank(),
                          "GaussianVectorRealizer<V,M>::realization()",
                          "inconsistent internal state");
    }

    outOfSupport = !(this->m_unifiedImageSet.contains(nextValues));
  } while (outOfSupport); // prudenci 2011-Oct-04

  return;
}

template<class V , class M >

const V & QUESO::GaussianVectorRealizer< V, M >::unifiedLawExpVector

(

)

const

Access to the vector of mean values and private attribute: m_unifiedLawExpVector.

Definition at line 105 of file GaussianVectorRealizer.C.

{
  return *m_unifiedLawExpVector;
}

template<class V , class M >

const V & QUESO::GaussianVectorRealizer< V, M >::unifiedLawVarVector

(

)

const

Access to the vector of variance values and private attribute: m_unifiedLawVarVector.

Definition at line 112 of file GaussianVectorRealizer.C.

{
  return *m_unifiedLawVarVector;
}

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLawExpVector

(

const V &

newLawExpVector

)

Updates the mean with the new value newLawExpVector.

Definition at line 148 of file GaussianVectorRealizer.C.

{
  // delete old expected values (allocated at construction or last call to this function)
  delete m_unifiedLawExpVector;

  m_unifiedLawExpVector = new V(newLawExpVector);
 
  return;
}

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLowerCholLawCovMatrix

(

const M &

newLowerCholLawCovMatrix

)

Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new value newLowerCholLawCovMatrix.

The lower triangular matrix results resulting from a Cholesky decomposition of the covariance matrix. This routine deletes old expected values: m_lowerCholLawCovMatrix; m_matU, m_vecSsqrt, m_matVt.

Definition at line 160 of file GaussianVectorRealizer.C.

{
  // delete old expected values (allocated at construction or last call to this function)
  delete m_lowerCholLawCovMatrix;
  delete m_matU;
  delete m_vecSsqrt;
  delete m_matVt;

  m_lowerCholLawCovMatrix = new M(newLowerCholLawCovMatrix);
  m_matU                  = NULL;
  m_vecSsqrt              = NULL;
  m_matVt                 = NULL;

  return;
}

template<class V , class M >

void QUESO::GaussianVectorRealizer< V, M >::updateLowerCholLawCovMatrix	(	const M &	matU,
		const V &	vecSsqrt,
		const M &	matVt
	)

Updates the SVD matrices from SVD decomposition of the covariance matrix to the new values: matU, vecSsqrt, and matVt.

The lower triangular matrix results resulting from a Cholesky decomposition of the covariance matrix. This routine deletes old expected values: m_lowerCholLawCovMatrix; m_matU, m_vecSsqrt, m_matVt.

Definition at line 178 of file GaussianVectorRealizer.C.

{
  // delete old expected values (allocated at construction or last call to this function)
  delete m_lowerCholLawCovMatrix;
  delete m_matU;
  delete m_vecSsqrt;
  delete m_matVt;

  m_lowerCholLawCovMatrix = NULL;
  m_matU                  = new M(matU);
  m_vecSsqrt              = new V(vecSsqrt);
  m_matVt                 = new M(matVt);

  return;
}

Member Data Documentation

template<class V, class M>

M* QUESO::GaussianVectorRealizer< V, M >::m_lowerCholLawCovMatrix

private

Definition at line 108 of file GaussianVectorRealizer.h.

template<class V, class M>

M* QUESO::GaussianVectorRealizer< V, M >::m_matU

private

Definition at line 109 of file GaussianVectorRealizer.h.

template<class V, class M>

M* QUESO::GaussianVectorRealizer< V, M >::m_matVt

private

Definition at line 111 of file GaussianVectorRealizer.h.

template<class V, class M>

V* QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawExpVector

private

Definition at line 106 of file GaussianVectorRealizer.h.

Referenced by QUESO::GaussianVectorRealizer< V, M >::GaussianVectorRealizer().

template<class V, class M>

V* QUESO::GaussianVectorRealizer< V, M >::m_unifiedLawVarVector

private

Definition at line 107 of file GaussianVectorRealizer.h.

template<class V, class M>

V* QUESO::GaussianVectorRealizer< V, M >::m_vecSsqrt

private

Definition at line 110 of file GaussianVectorRealizer.h.

---

The documentation for this class was generated from the following files:

• src/stats/inc/GaussianVectorRealizer.h
• src/stats/src/GaussianVectorRealizer.C