A class for exponential covariance matrices. More...

#include <ExponentialMatrixCovarianceFunction.h>

Inheritance diagram for QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >:

Collaboration diagram for QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >:

Public Member Functions
Constructor/Destructor methods
	ExponentialMatrixCovarianceFunction (const char *prefix, const VectorSet< P_V, P_M > &basicDomainSet, const VectorSet< Q_V, Q_M > &imageSet, const Q_M &sigmas, const Q_M &as)
	Default constructor. More...

virtual	~ExponentialMatrixCovarianceFunction ()
	Virtual destructor. More...

Math methods
@
void	covMatrix (const P_V &domainVector1, const P_V &domainVector2, Q_M &imageMatrix) const
	Calculates the covariance matrix, given two parameter domains. More...

Public Member Functions inherited from QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >
	BaseMatrixCovarianceFunction (const char *prefix, const VectorSet< P_V, P_M > &basicDomainSet, const VectorSet< Q_V, Q_M > &imageSet)
	Default constructor. More...

virtual	~BaseMatrixCovarianceFunction ()
	Virtual destructor. More...

const VectorSet< P_V, P_M > &	basicDomainSet () const
	Domain set; access to private attribute m_basicDomainSet. More...

Protected Attributes
Q_M *	m_sigmas

Q_M *	m_as

Protected Attributes inherited from QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >
const BaseEnvironment &	m_env

std::string	m_prefix

const VectorSet< P_V, P_M > &	m_basicDomainSet

const VectorSet< Q_V, Q_M > &	m_imageSet

Detailed Description

template<class P_V, class P_M, class Q_V, class Q_M>
class QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >

A class for exponential covariance matrices.

This class implements squared exponential covariance matrices of the form:

$cov = a \exp{(-d^2/\sigma^2)}$

, where $ d=d(x,y) $ is the distance between two vectors, $\sigma^2$ is the variance matrix and $ a $ is the length scale ().

Definition at line 47 of file ExponentialMatrixCovarianceFunction.h.

Constructor & Destructor Documentation

template<class P_V , class P_M , class Q_V , class Q_M >

QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::ExponentialMatrixCovarianceFunction	(	const char *	prefix,
		const VectorSet< P_V, P_M > &	basicDomainSet,
		const VectorSet< Q_V, Q_M > &	imageSet,
		const Q_M &	sigmas,
		const Q_M &	as
	)

Default constructor.

Instantiates an object of the class given a prefix, the domain and image sets, the variances scale factors.

Definition at line 31 of file ExponentialMatrixCovarianceFunction.C.

References QUESO::VectorSpace< V, M >::dimLocal(), QUESO::BaseEnvironment::displayVerbosity(), QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::m_as, QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::m_env, QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::m_imageSet, QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::m_prefix, QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::m_sigmas, QUESO::BaseEnvironment::subDisplayFile(), UQ_FATAL_TEST_MACRO, QUESO::VectorSet< V, M >::vectorSpace(), and QUESO::BaseEnvironment::worldRank().

   :
   BaseMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>(prefix,basicDomainSet,imageSet),
   m_sigmas(NULL),
   m_as    (NULL)
 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Entering ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::constructor()"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 
   m_sigmas = new Q_M(sigmas);
   m_as     = new Q_M(as);
 
   unsigned int matrixOrder = m_imageSet.vectorSpace().dimLocal();
 
   UQ_FATAL_TEST_MACRO(m_sigmas->numRowsLocal() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::Constructor()",
                       "m_sigmas has invalid number of rows");
 
   UQ_FATAL_TEST_MACRO(m_sigmas->numCols() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::Constructor()",
                       "m_sigmas has invalid number of columns");
 
   UQ_FATAL_TEST_MACRO(m_as->numRowsLocal() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::Constructor()",
                       "m_as has invalid number of rows");
 
   UQ_FATAL_TEST_MACRO(m_as->numCols() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::Constructor()",
                       "m_as has invalid number of columns");
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Leaving ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::constructor()"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 }

template<class P_V , class P_M , class Q_V , class Q_M >

QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::~ExponentialMatrixCovarianceFunction ( )

virtual

Virtual destructor.

Definition at line 81 of file ExponentialMatrixCovarianceFunction.C.

 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Entering ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::destructor()"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 
   delete m_as;
   delete m_sigmas;
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Leaving ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::destructor()"
                             << ": prefix = " << m_prefix
                             << std::endl;
   }
 }

Member Function Documentation

template<class P_V , class P_M , class Q_V , class Q_M >

void QUESO::ExponentialMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >::covMatrix	(	const P_V &	domainVector1,
		const P_V &	domainVector2,
		Q_M &	imageMatrix
	)		const

virtual

Calculates the covariance matrix, given two parameter domains.

Implements QUESO::BaseMatrixCovarianceFunction< P_V, P_M, Q_V, Q_M >.

Definition at line 101 of file ExponentialMatrixCovarianceFunction.C.

References UQ_FATAL_TEST_MACRO.

 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Entering ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::covMatrix()"
                           << std::endl;
   }
 
   unsigned int matrixOrder = m_imageSet.vectorSpace().dimLocal();
 
   UQ_FATAL_TEST_MACRO(imageMatrix.numRowsLocal() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::covMatrix()",
                       "imageMatrix has invalid number of rows");
 
   UQ_FATAL_TEST_MACRO(imageMatrix.numCols() != matrixOrder,
                       m_env.worldRank(),
                       "ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::covMatrix()",
                       "imageMatrix has invalid number of columns");
 
   double tmpSq = -(domainVector1 - domainVector2).norm2Sq();
 
   for (unsigned int i = 0; i < matrixOrder; ++i) {
     for (unsigned int j = 0; j < matrixOrder; ++j) {
       double tmp = tmpSq/( (*m_sigmas)(i,j) * (*m_sigmas)(i,j) );
       imageMatrix(i,j) = (*m_as)(i,j) * std::exp(tmp);
     }
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
     *m_env.subDisplayFile() << "Leaving ExponentialMatrixCovarianceFunction<P_V,P_M,Q_V,Q_M>::covMatrix()"
                           << std::endl;
   }
 
   return;
 }