queso-0.51.1
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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 35 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().

40  :
41  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
42 {
43  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
44  *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [1]"
45  << ": prefix = " << m_prefix
46  << std::endl;
47  }
48 
49  UQ_FATAL_TEST_MACRO((lawVarVector.getMinValue() <= 0.0),
50  m_env.worldRank(),
51  "GaussianVectorRV<V,M>::constructor() [1]",
52  "Covariance matrix is not symmetric positive definite.");
53 
54  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
55  m_imageSet,
56  lawExpVector,
57  lawVarVector);
58 
59  V cholDiag(lawVarVector);
60  cholDiag.cwSqrt();
61  M lowerCholLawCovMatrix(cholDiag);
62  lowerCholLawCovMatrix.zeroUpper(false);
63 
64  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
65  m_imageSet,
66  lawExpVector,
67  lowerCholLawCovMatrix);
68 
69  m_subCdf = NULL; // FIX ME: complete code
70  m_unifiedCdf = NULL; // FIX ME: complete code
71  m_mdf = NULL; // FIX ME: complete code
72 
73  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
74  *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [1]"
75  << ": prefix = " << m_prefix
76  << std::endl;
77  }
78 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:118
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_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:114
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:112
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:117
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:116
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::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:436
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:119
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:223
QUESO::BaseVectorRV::m_prefix
std::string m_prefix
Definition: VectorRV.h:113
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:115
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 81 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().

86  :
87  BaseVectorRV<V,M>(((std::string)(prefix)+"gau").c_str(),imageSet)
88 {
89  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
90  *m_env.subDisplayFile() << "Entering GaussianVectorRV<V,M>::constructor() [2]"
91  << ": prefix = " << m_prefix
92  << std::endl;
93  }
94 
95  m_pdf = new GaussianJointPdf<V,M>(m_prefix.c_str(),
96  m_imageSet,
97  lawExpVector,
98  lawCovMatrix);
99 
100  M lowerCholLawCovMatrix(lawCovMatrix);
101  int iRC = lowerCholLawCovMatrix.chol();
102  lowerCholLawCovMatrix.zeroUpper(false);
103  if (iRC) {
104  std::cerr << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed, will use svd\n";
105  if (m_env.subDisplayFile()) {
106  *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::constructor() [2]: chol failed; will use svd; lawCovMatrix contents are\n";
107  *m_env.subDisplayFile() << lawCovMatrix; // FIX ME: might demand parallelism
108  *m_env.subDisplayFile() << std::endl;
109  }
110  M matU (lawCovMatrix);
111  M matVt(m_imageSet.vectorSpace().zeroVector());
112  V vecS (m_imageSet.vectorSpace().zeroVector());
113  iRC = lawCovMatrix.svd(matU,vecS,matVt);
114  UQ_FATAL_TEST_MACRO(iRC,
115  m_env.worldRank(),
116  "GaussianVectorRV<V,M>::constructor() [2]",
117  "Cholesky decomposition of covariance matrix failed.");
118 
119  vecS.cwSqrt();
120  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
121  m_imageSet,
122  lawExpVector,
123  matU,
124  vecS, // already square rooted
125  matVt);
126  }
127  else {
128  m_realizer = new GaussianVectorRealizer<V,M>(m_prefix.c_str(),
129  m_imageSet,
130  lawExpVector,
131  lowerCholLawCovMatrix);
132  }
133 
134  m_subCdf = NULL; // FIX ME: complete code
135  m_unifiedCdf = NULL; // FIX ME: complete code
136  m_mdf = NULL; // FIX ME: complete code
137 
138  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
139  *m_env.subDisplayFile() << "Leaving GaussianVectorRV<V,M>::constructor() [2]"
140  << ": prefix = " << m_prefix
141  << std::endl;
142  }
143 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:118
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_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:114
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:112
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:117
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:116
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::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:436
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:119
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:223
QUESO::BaseVectorRV::m_prefix
std::string m_prefix
Definition: VectorRV.h:113
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:115
template<class V , class M >
QUESO::GaussianVectorRV< V, M >::~GaussianVectorRV ( )
virtual

Virtual destructor.

Definition at line 146 of file GaussianVectorRV.C.

147 {
148  delete m_mdf;
149  delete m_unifiedCdf;
150  delete m_subCdf;
151  delete m_realizer;
152  delete m_pdf;
153 }
QUESO::BaseVectorRV::m_unifiedCdf
const BaseVectorCdf< V, M > * m_unifiedCdf
Definition: VectorRV.h:118
QUESO::BaseVectorRV::m_subCdf
const BaseVectorCdf< V, M > * m_subCdf
Definition: VectorRV.h:117
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:116
QUESO::BaseVectorRV::m_mdf
const BaseVectorMdf< V, M > * m_mdf
Definition: VectorRV.h:119
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:115

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 204 of file GaussianVectorRV.C.

205 {
206  os << "GaussianVectorRV<V,M>::print() says, 'Please implement me.'" << std::endl;
207  return;
208 }
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 167 of file GaussianVectorRV.C.

References UQ_FATAL_TEST_MACRO.

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

168 {
169  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
170  ( dynamic_cast< GaussianJointPdf<V,M>* >(m_pdf) )->updateLawCovMatrix(newLawCovMatrix);
171 
172  M newLowerCholLawCovMatrix(newLawCovMatrix);
173  int iRC = newLowerCholLawCovMatrix.chol();
174  newLowerCholLawCovMatrix.zeroUpper(false);
175  if (iRC) {
176  std::cerr << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed, will use svd\n";
177  if (m_env.subDisplayFile()) {
178  *m_env.subDisplayFile() << "In GaussianVectorRV<V,M>::updateLawCovMatrix(): chol failed; will use svd; newLawCovMatrix contents are\n";
179  *m_env.subDisplayFile() << newLawCovMatrix; // FIX ME: might demand parallelism
180  *m_env.subDisplayFile() << std::endl;
181  }
182  M matU (newLawCovMatrix);
183  M matVt(m_imageSet.vectorSpace().zeroVector());
184  V vecS (m_imageSet.vectorSpace().zeroVector());
185  iRC = newLawCovMatrix.svd(matU,vecS,matVt);
186  UQ_FATAL_TEST_MACRO(iRC,
187  m_env.worldRank(),
188  "GaussianVectorRV<V,M>::updateLawCovMatrix()",
189  "Cholesky decomposition of covariance matrix failed.");
190 
191  vecS.cwSqrt();
192  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(matU,
193  vecS, // already square rooted
194  matVt);
195  }
196  else {
197  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLowerCholLawCovMatrix(newLowerCholLawCovMatrix);
198  }
199  return;
200 }
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_imageSet
const VectorSet< V, M > & m_imageSet
Definition: VectorRV.h:114
QUESO::BaseVectorRV::m_env
const BaseEnvironment & m_env
Definition: VectorRV.h:112
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:116
UQ_FATAL_TEST_MACRO
#define UQ_FATAL_TEST_MACRO(test, givenRank, where, what)
Definition: Defines.h:223
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:115
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 157 of file GaussianVectorRV.C.

Referenced by QUESO::ScaledCovMatrixTKGroup< V, M >::rv(), and QUESO::HessianCovMatricesTKGroup< V, M >::rv().

158 {
159  // We are sure that m_pdf (and m_realizer, etc) point to associated Gaussian classes, so all is well
160  ( dynamic_cast< GaussianJointPdf <V,M>* >(m_pdf ) )->updateLawExpVector(newLawExpVector);
161  ( dynamic_cast< GaussianVectorRealizer<V,M>* >(m_realizer) )->updateLawExpVector(newLawExpVector);
162  return;
163 }
QUESO::BaseVectorRV::m_realizer
BaseVectorRealizer< V, M > * m_realizer
Definition: VectorRV.h:116
QUESO::BaseVectorRV::m_pdf
BaseJointPdf< V, M > * m_pdf
Definition: VectorRV.h:115
The documentation for this class was generated from the following files:
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