A class for handling Log-Normal joint PDFs. More...

#include <LogNormalJointPdf.h>

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

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

Public Member Functions
Constructor/Destructor methods
	LogNormalJointPdf (const char *prefix, const VectorSet< V, M > &domainSet, const V &lawExpVector, const V &lawVarVector)
	Constructor. More...

	~LogNormalJointPdf ()
	Destructor. More...

Math methods
double	actualValue (const V &domainVector, const V domainDirection, V gradVector, M hessianMatrix, V hessianEffect) const
	Actual value of the Log-Normal PDF (scalar function). More...

double	lnValue (const V &domainVector, const V domainDirection, V gradVector, M hessianMatrix, V hessianEffect) const
	Logarithm of the value of the Log-Normal PDF (scalar function). More...

double	computeLogOfNormalizationFactor (unsigned int numSamples, bool updateFactorInternally) const
	Computes the logarithm of the normalization factor. More...

const V &	lawExpVector () const
	Access to the vector of mean values and private attribute: m_lawExpVector. More...

const V &	lawVarVector () const
	Access to the vector of variance values and private attribute: m_lawVarVector. More...

Public Member Functions inherited from QUESO::BaseJointPdf< V, M >
	BaseJointPdf (const char *prefix, const VectorSet< V, M > &domainSet)
	Default constructor. More...

virtual	~BaseJointPdf ()
	Destructor. More...

virtual void	setNormalizationStyle (unsigned int value) const
	Sets a value to be used in the normalization style (stored in the protected attribute m_normalizationStyle.) More...

void	setLogOfNormalizationFactor (double value) const
	Sets a logarithmic value to be used in the normalization factor (stored in the protected attribute m_normalizationStyle.) More...

Public Member Functions inherited from QUESO::BaseScalarFunction< V, M >
	BaseScalarFunction (const char *prefix, const VectorSet< V, M > &domainSet)
	Default constructor. More...

virtual	~BaseScalarFunction ()
	Destructor. More...

const VectorSet< V, M > &	domainSet () const
	Access to the protected attribute `m_domainSet:` domain set of the scalar function. More...

Protected Attributes
V *	m_lawExpVector

V *	m_lawVarVector

bool	m_diagonalCovMatrix

Protected Attributes inherited from QUESO::BaseJointPdf< V, M >
unsigned int	m_normalizationStyle

double	m_logOfNormalizationFactor

Protected Attributes inherited from QUESO::BaseScalarFunction< V, M >
const BaseEnvironment &	m_env

std::string	m_prefix

const VectorSet< V, M > &	m_domainSet
	Domain set of the scalar function. More...

Additional Inherited Members
Protected Member Functions inherited from QUESO::BaseJointPdf< V, M >
double	commonComputeLogOfNormalizationFactor (unsigned int numSamples, bool updateFactorInternally) const
	Common method (to the derived classes) to compute the logarithm of the normalization factor. More...

Detailed Description

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

A class for handling Log-Normal joint PDFs.

This class allows the mathematical definition of a Log-Normal Joint PDF.

Definition at line 49 of file LogNormalJointPdf.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::LogNormalJointPdf< V, M >::LogNormalJointPdf	(	const char *	prefix,
		const VectorSet< V, M > &	domainSet,
		const V &	lawExpVector,
		const V &	lawVarVector
	)

Constructor.

Constructs a new object of the class, given a prefix and the domain of the PDF, a vector of mean values, lawExpVector, and a vector of covariance values lawVarVector (an alternative representation for a diagonal covariance matrix).

Definition at line 33 of file LogNormalJointPdf.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::LogNormalJointPdf< V, M >::lawExpVector(), QUESO::LogNormalJointPdf< V, M >::lawVarVector(), QUESO::BaseScalarFunction< V, M >::m_env, QUESO::BaseScalarFunction< V, M >::m_prefix, and QUESO::BaseEnvironment::subDisplayFile().

   :
   BaseJointPdf<V,M>(((std::string)(prefix)+"gau").c_str(),domainSet),
   m_lawExpVector     (new V(lawExpVector)),
   m_lawVarVector     (new V(lawVarVector)),
   m_diagonalCovMatrix(true)
 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::constructor() [1]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
     *m_env.subDisplayFile() << "In LogNormalJointPdf<V,M>::constructor()"
                           //<< ", prefix = "     << m_prefix
                             << ": meanVector = " << this->lawExpVector()
                       << ", Variances = "  << this->lawVarVector()
                             << std::endl;
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::constructor() [1]"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 }

template<class V , class M >

QUESO::LogNormalJointPdf< V, M >::~LogNormalJointPdf ( )

Destructor.

Definition at line 66 of file LogNormalJointPdf.C.

 {
   delete m_lawVarVector;
   delete m_lawExpVector;
 }

Member Function Documentation

template<class V , class M >

double QUESO::LogNormalJointPdf< V, M >::actualValue	(	const V &	domainVector,
		const V *	domainDirection,
		V *	gradVector,
		M *	hessianMatrix,
		V *	hessianEffect
	)		const

virtual

Actual value of the Log-Normal PDF (scalar function).

This method calls lnValue() and applies the exponential to its result.

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 88 of file LogNormalJointPdf.C.

References UQ_FATAL_TEST_MACRO.

 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
     *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::actualValue()"
                             << ", meanVector = "               << *m_lawExpVector
                             << ": domainVector = "             << domainVector
                             << ", domainVector.sizeLocal() = " << domainVector.sizeLocal()
                             << ", this->m_domainSet.vectorSpace().dimLocal() = " << this->m_domainSet.vectorSpace().dimLocal()
                             << std::endl;
   }
 
   UQ_FATAL_TEST_MACRO(domainVector.sizeLocal() != this->m_domainSet.vectorSpace().dimLocal(),
                       m_env.worldRank(),
                       "LogNormalJointPdf<V,M>::actualValue()",
                       "invalid input");
 
   UQ_FATAL_TEST_MACRO((gradVector || hessianMatrix || hessianEffect),
                       m_env.worldRank(),
                       "LogNormalJointPdf<V,M>::actualValue()",
                       "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
 
   double returnValue = 0.;
 
   V zeroVector(domainVector);
   zeroVector.cwSet(0.);
   if (domainVector.atLeastOneComponentSmallerOrEqualThan(zeroVector)) {
     returnValue = 0.;
   }
   else if (this->m_domainSet.contains(domainVector) == false) { // prudenci 2011-Oct-04
     returnValue = 0.;
   }
   else {
     returnValue = std::exp(this->lnValue(domainVector,domainDirection,gradVector,hessianMatrix,hessianEffect));
   }
   //returnValue *= exp(m_logOfNormalizationFactor); // No need, because 'lnValue()' is called right above // [PDF-10]
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
     *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::actualValue()"
                             << ", meanVector = "   << *m_lawExpVector
                             << ": domainVector = " << domainVector
                             << ", returnValue = "  << returnValue
                             << std::endl;
   }
 
   return returnValue;
 }

template<class V , class M >

double QUESO::LogNormalJointPdf< V, M >::computeLogOfNormalizationFactor	(	unsigned int	numSamples,
		bool	updateFactorInternally
	)		const

virtual

Computes the logarithm of the normalization factor.

This routine calls BaseJointPdf::commonComputeLogOfNormalizationFactor().

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 209 of file LogNormalJointPdf.C.

References QUESO::BaseJointPdf< V, M >::commonComputeLogOfNormalizationFactor().

 {
   double value = 0.;
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
     *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::computeLogOfNormalizationFactor()"
                             << std::endl;
   }
   value = BaseJointPdf<V,M>::commonComputeLogOfNormalizationFactor(numSamples, updateFactorInternally);
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
     *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::computeLogOfNormalizationFactor()"
                             << ", m_logOfNormalizationFactor = " << m_logOfNormalizationFactor
                             << std::endl;
   }
 
   return value;
 }

template<class V , class M >

const V & QUESO::LogNormalJointPdf< V, M >::lawExpVector ( ) const

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

Definition at line 74 of file LogNormalJointPdf.C.

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

 {
   return *m_lawExpVector;
 }

template<class V , class M >

const V & QUESO::LogNormalJointPdf< V, M >::lawVarVector ( ) const

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

Definition at line 81 of file LogNormalJointPdf.C.

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

 {
   return *m_lawVarVector;
 }

template<class V , class M >

double QUESO::LogNormalJointPdf< V, M >::lnValue	(	const V &	domainVector,
		const V *	domainDirection,
		V *	gradVector,
		M *	hessianMatrix,
		V *	hessianEffect
	)		const

virtual

Logarithm of the value of the Log-Normal PDF (scalar function).

The logarithm of the value of the Log-Normal density of diagonal covariance matrix (sigma^2) comes from the summation:

$lnValue =- \sum_i \frac{1}{domainVector_i * \sqrt{2 \pi * lawVarVector_i}} exp(-\frac{(\ln( domainVector_i) - lawExpVector_i)^2}{2 lawVarVector_i})$

as long as $ domainVector_i > 0 $ for all $ i $ .

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 142 of file LogNormalJointPdf.C.

References UQ_FATAL_TEST_MACRO.

 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
     *m_env.subDisplayFile() << "Entering LogNormalJointPdf<V,M>::lnValue()"
                             << ", meanVector = "   << *m_lawExpVector
                             << ": domainVector = " << domainVector
                             << std::endl;
   }
 
   UQ_FATAL_TEST_MACRO((gradVector || hessianMatrix || hessianEffect),
                       m_env.worldRank(),
                       "LogNormalJointPdf<V,M>::lnValue()",
                       "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
 
   if (domainDirection) {}; // just to remove compiler warning
 
   double returnValue = 0.;
 
   V zeroVector(domainVector);
   zeroVector.cwSet(0.);
   if (domainVector.atLeastOneComponentSmallerOrEqualThan(zeroVector)) {
     returnValue = -INFINITY;
   }
   else if (this->m_domainSet.contains(domainVector) == false) { // prudenci 2011-Oct-04
     returnValue = -INFINITY;
   }
   else {
     if (m_diagonalCovMatrix) {
       V diffVec(zeroVector);
       for (unsigned int i = 0; i < domainVector.sizeLocal(); ++i) {
         diffVec[i] = std::log(domainVector[i]) - this->lawExpVector()[i];
       }
       returnValue = ((diffVec*diffVec)/this->lawVarVector()).sumOfComponents();
       returnValue *= -0.5;
       if (m_normalizationStyle == 0) {
         for (unsigned int i = 0; i < domainVector.sizeLocal(); ++i) {
           returnValue -= std::log(domainVector[i] * std::sqrt(2. * M_PI * this->lawVarVector()[i])); // Contribution of 1/(x\sqrt{2\pi\sigma^2})
         }
       }
     }
     else {
       UQ_FATAL_TEST_MACRO(true,
                           m_env.worldRank(),
                           "LogNormalJointPdf<V,M>::lnValue()",
                           "situation with a non-diagonal covariance matrix makes no sense");
     }
     returnValue += m_logOfNormalizationFactor; // [PDF-10]
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
     *m_env.subDisplayFile() << "Leaving LogNormalJointPdf<V,M>::lnValue()"
                             << ", meanVector = "   << *m_lawExpVector
                             << ": domainVector = " << domainVector
                             << ", returnValue = "  << returnValue
                             << std::endl;
   }
 
   return returnValue;
 }

Member Data Documentation

template<class V, class M>

bool QUESO::LogNormalJointPdf< V, M >::m_diagonalCovMatrix

protected

Definition at line 96 of file LogNormalJointPdf.h.

template<class V, class M>

V* QUESO::LogNormalJointPdf< V, M >::m_lawExpVector

protected

Definition at line 94 of file LogNormalJointPdf.h.

template<class V, class M>

V* QUESO::LogNormalJointPdf< V, M >::m_lawVarVector

protected

Definition at line 95 of file LogNormalJointPdf.h.

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

src/stats/inc/LogNormalJointPdf.h
src/stats/src/LogNormalJointPdf.C

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

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

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation

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