queso-0.53.0
Protected Attributes | List of all members
QUESO::GaussianJointPdf< V, M > Class Template Reference

A class for handling Gaussian joint PDFs. More...

#include <GaussianJointPdf.h>

Inheritance diagram for QUESO::GaussianJointPdf< V, M >:
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Collaboration diagram for QUESO::GaussianJointPdf< V, M >:
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Public Member Functions

Constructor/Destructor methods
 GaussianJointPdf (const char *prefix, const VectorSet< V, M > &domainSet, const V &lawExpVector, const V &lawVarVector)
 Constructor. More...
 
 GaussianJointPdf (const char *prefix, const VectorSet< V, M > &domainSet, const V &lawExpVector, const M &lawCovMatrix)
 Constructor. More...
 
 ~GaussianJointPdf ()
 Destructor. More...
 
Math methods
double actualValue (const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
 Actual value of the Gaussian PDF: More...
 
double lnValue (const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
 Logarithm of the value of the Gaussian PDF (scalar function). More...
 
double computeLogOfNormalizationFactor (unsigned int numSamples, bool updateFactorInternally) const
 Computes the logarithm of the normalization factor. More...
 
void updateLawExpVector (const V &newLawExpVector)
 Updates the mean with the new value newLawExpVector. More...
 
void updateLawCovMatrix (const M &newLawCovMatrix)
 Updates the lower triangular matrix from Cholesky decomposition of the covariance matrix to the new value newLowerCholLawCovMatrix. More...
 
const M & lawCovMatrix () const
 Returns the covariance matrix; access to protected attribute m_lawCovMatrix. 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
 
const M * m_lawCovMatrix
 
- 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 = GslVector, class M = GslMatrix>
class QUESO::GaussianJointPdf< V, M >

A class for handling Gaussian joint PDFs.

This class allows the mathematical definition of a Gaussian Joint PDF.

Definition at line 52 of file GaussianJointPdf.h.

Constructor & Destructor Documentation

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

Constructor.

Constructs a new object, 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 GaussianJointPdf.C.

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

38  :
39  BaseJointPdf<V,M>(((std::string)(prefix)+"gau").c_str(),domainSet),
40  m_lawExpVector (new V(lawExpVector)),
41  m_lawVarVector (new V(lawVarVector)),
42  m_diagonalCovMatrix(true),
43  m_lawCovMatrix (m_domainSet.vectorSpace().newDiagMatrix(lawVarVector))
44 {
45 
46  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
47  *m_env.subDisplayFile() << "Entering GaussianJointPdf<V,M>::constructor() [1]"
48  << ": prefix = " << m_prefix
49  << std::endl;
50  }
51 
52  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
53  *m_env.subDisplayFile() << "In GaussianJointPdf<V,M>::constructor()"
54  //<< ", prefix = " << m_prefix
55  << ": meanVector = " << this->lawExpVector()
56  << ", Variances = " << this->lawVarVector()
57  << std::endl;
58  }
59 
60  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
61  *m_env.subDisplayFile() << "Leaving GaussianJointPdf<V,M>::constructor() [1]"
62  << ": prefix = " << m_prefix
63  << std::endl;
64  }
65 }
QUESO::GaussianJointPdf::lawExpVector
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
Definition: GaussianJointPdf.C:111
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:396
QUESO::BaseScalarFunction::m_domainSet
const VectorSet< V, M > & m_domainSet
Domain set of the scalar function.
Definition: ScalarFunction.h:84
QUESO::BaseScalarFunction::m_env
const BaseEnvironment & m_env
Definition: ScalarFunction.h:80
QUESO::BaseScalarFunction::domainSet
const VectorSet< V, M > & domainSet() const
Access to the protected attribute m_domainSet: domain set of the scalar function. ...
Definition: ScalarFunction.C:50
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:274
QUESO::GaussianJointPdf::lawVarVector
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
Definition: GaussianJointPdf.C:118
template<class V , class M >
QUESO::GaussianJointPdf< V, M >::GaussianJointPdf ( const char *  prefix,
const VectorSet< V, M > &  domainSet,
const V &  lawExpVector,
const M &  lawCovMatrix 
)

Constructor.

Constructs a new object, given a prefix and the image set of the vector realizer, a vector of mean values, lawExpVector, and a covariance matrix, lawCovMatrix.

Definition at line 68 of file GaussianJointPdf.C.

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

73  :
74  BaseJointPdf<V,M>(((std::string)(prefix)+"gau").c_str(),domainSet),
75  m_lawExpVector (new V(lawExpVector)),
76  m_lawVarVector (domainSet.vectorSpace().newVector(INFINITY)), // FIX ME
77  m_diagonalCovMatrix(false),
78  m_lawCovMatrix (new M(lawCovMatrix))
79 {
80  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
81  *m_env.subDisplayFile() << "Entering GaussianJointPdf<V,M>::constructor() [2]"
82  << ": prefix = " << m_prefix
83  << std::endl;
84  }
85 
86  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
87  *m_env.subDisplayFile() << "In GaussianJointPdf<V,M>::constructor()"
88  //<< ", prefix = " << m_prefix
89  << ": meanVector = " << this->lawExpVector()
90  << ", Covariance Matrix = " << lawCovMatrix
91  << std::endl;
92  }
93 
94  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 54)) {
95  *m_env.subDisplayFile() << "Leaving GaussianJointPdf<V,M>::constructor() [2]"
96  << ": prefix = " << m_prefix
97  << std::endl;
98  }
99 }
QUESO::GaussianJointPdf::lawExpVector
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
Definition: GaussianJointPdf.C:111
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:396
QUESO::BaseScalarFunction::m_env
const BaseEnvironment & m_env
Definition: ScalarFunction.h:80
QUESO::BaseScalarFunction::domainSet
const VectorSet< V, M > & domainSet() const
Access to the protected attribute m_domainSet: domain set of the scalar function. ...
Definition: ScalarFunction.C:50
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:274
QUESO::GaussianJointPdf::lawCovMatrix
const M & lawCovMatrix() const
Returns the covariance matrix; access to protected attribute m_lawCovMatrix.
Definition: GaussianJointPdf.C:277
template<class V , class M >
QUESO::GaussianJointPdf< V, M >::~GaussianJointPdf ( )

Destructor.

Definition at line 102 of file GaussianJointPdf.C.

103 {
104  delete m_lawCovMatrix;
105  delete m_lawVarVector;
106  delete m_lawExpVector;
107 }

Member Function Documentation

template<class V , class M >
double QUESO::GaussianJointPdf< V, M >::actualValue ( const V &  domainVector,
const V *  domainDirection,
V *  gradVector,
M *  hessianMatrix,
V *  hessianEffect 
) const
virtual

Actual value of the Gaussian PDF:

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

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 125 of file GaussianJointPdf.C.

References queso_require_equal_to_msg, and queso_require_msg.

131 {
132  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
133  *m_env.subDisplayFile() << "Entering GaussianJointPdf<V,M>::actualValue()"
134  << ", meanVector = " << *m_lawExpVector
135  << ", lawCovMatrix = " << *m_lawCovMatrix
136  << ": domainVector = " << domainVector
137  << std::endl;
138  }
139 
140  queso_require_equal_to_msg(domainVector.sizeLocal(), this->m_domainSet.vectorSpace().dimLocal(), "invalid input");
141 
142  queso_require_msg(!(gradVector || hessianMatrix || hessianEffect), "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
143 
144  double returnValue = 0.;
145 
146  if (this->m_domainSet.contains(domainVector) == false) { // prudenci 2011-Oct-04
147  returnValue = 0.;
148  }
149  else {
150  returnValue = std::exp(this->lnValue(domainVector,domainDirection,gradVector,hessianMatrix,hessianEffect));
151  }
152  //returnValue *= exp(m_logOfNormalizationFactor); // No need, because 'lnValue()' is called right above [PDF-03]
153 
154  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
155  *m_env.subDisplayFile() << "Leaving GaussianJointPdf<V,M>::actualValue()"
156  << ", meanVector = " << *m_lawExpVector
157  << ", lawCovMatrix = " << *m_lawCovMatrix
158  << ": domainVector = " << domainVector
159  << ", returnValue = " << returnValue
160  << std::endl;
161  }
162 
163  return returnValue;
164 }
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:396
QUESO::BaseScalarFunction::m_domainSet
const VectorSet< V, M > & m_domainSet
Domain set of the scalar function.
Definition: ScalarFunction.h:84
queso_require_equal_to_msg
#define queso_require_equal_to_msg(expr1, expr2, msg)
Definition: asserts.h:85
QUESO::BaseScalarFunction::m_env
const BaseEnvironment & m_env
Definition: ScalarFunction.h:80
queso_require_msg
#define queso_require_msg(asserted, msg)
Definition: asserts.h:69
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:274
QUESO::GaussianJointPdf::lnValue
double lnValue(const V &domainVector, const V *domainDirection, V *gradVector, M *hessianMatrix, V *hessianEffect) const
Logarithm of the value of the Gaussian PDF (scalar function).
Definition: GaussianJointPdf.C:168
template<class V , class M >
double QUESO::GaussianJointPdf< 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 237 of file GaussianJointPdf.C.

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

238 {
239  double value = 0.;
240 
241  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
242  *m_env.subDisplayFile() << "Entering GaussianJointPdf<V,M>::computeLogOfNormalizationFactor()"
243  << std::endl;
244  }
245  value = BaseJointPdf<V,M>::commonComputeLogOfNormalizationFactor(numSamples, updateFactorInternally);
246  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 2)) {
247  *m_env.subDisplayFile() << "Leaving GaussianJointPdf<V,M>::computeLogOfNormalizationFactor()"
248  << ", m_logOfNormalizationFactor = " << m_logOfNormalizationFactor
249  << std::endl;
250  }
251 
252  return value;
253 }
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:396
QUESO::BaseJointPdf::m_logOfNormalizationFactor
double m_logOfNormalizationFactor
Definition: JointPdf.h:100
QUESO::BaseJointPdf::commonComputeLogOfNormalizationFactor
double commonComputeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const
Common method (to the derived classes) to compute the logarithm of the normalization factor...
Definition: JointPdf.C:77
QUESO::BaseScalarFunction::m_env
const BaseEnvironment & m_env
Definition: ScalarFunction.h:80
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:274
template<class V , class M >
const M & QUESO::GaussianJointPdf< V, M >::lawCovMatrix ( ) const

Returns the covariance matrix; access to protected attribute m_lawCovMatrix.

Definition at line 277 of file GaussianJointPdf.C.

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

278 {
279  return *m_lawCovMatrix;
280 }
template<class V , class M >
const V & QUESO::GaussianJointPdf< V, M >::lawExpVector ( ) const

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

Definition at line 111 of file GaussianJointPdf.C.

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

112 {
113  return *m_lawExpVector;
114 }
template<class V , class M >
const V & QUESO::GaussianJointPdf< V, M >::lawVarVector ( ) const

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

Definition at line 118 of file GaussianJointPdf.C.

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

119 {
120  return *m_lawVarVector;
121 }
template<class V , class M >
double QUESO::GaussianJointPdf< V, M >::lnValue ( const V &  domainVector,
const V *  domainDirection,
V *  gradVector,
M *  hessianMatrix,
V *  hessianEffect 
) const
virtual

Logarithm of the value of the Gaussian PDF (scalar function).

The ln(value) comes from a summation of the Gaussian density:

\[ lnValue =- \sum_i \frac{1}{\sqrt{|covMatrix|} \sqrt{2 \pi}} exp(-\frac{(domainVector_i - lawExpVector_i)* covMatrix^{-1}* (domainVector_i - lawExpVector_i) }{2}, \]

where the $ covMatrix $ may recovered via this->lawVarVector(), in case of diagonal matrices or via this->m_lawCovMatrix, otherwise.

Implements QUESO::BaseJointPdf< V, M >.

Definition at line 168 of file GaussianJointPdf.C.

References queso_require_msg.

174 {
175  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 55)) {
176  *m_env.subDisplayFile() << "Entering GaussianJointPdf<V,M>::lnValue()"
177  << ", meanVector = " << *m_lawExpVector
178  << ", lawCovMatrix = " << *m_lawCovMatrix
179  << ": domainVector = " << domainVector
180  << std::endl;
181  }
182 
183  queso_require_msg(!(gradVector || hessianMatrix || hessianEffect), "incomplete code for gradVector, hessianMatrix and hessianEffect calculations");
184 
185  if (domainDirection) {}; // just to remove compiler warning
186 
187  double returnValue = 0.;
188 
189  double lnDeterminant = 0.;
190  if (this->m_domainSet.contains(domainVector) == false) { // prudenci 2011-Oct-04
191  returnValue = -INFINITY;
192  }
193  else {
194  V diffVec(domainVector - this->lawExpVector());
195  if (m_diagonalCovMatrix) {
196  returnValue = ((diffVec*diffVec)/this->lawVarVector()).sumOfComponents();
197  if (m_normalizationStyle == 0) {
198  unsigned int iMax = this->lawVarVector().sizeLocal();
199  for (unsigned int i = 0; i < iMax; ++i) {
200  lnDeterminant += log(this->lawVarVector()[i]);
201  }
202  }
203  }
204  else {
205  V tmpVec = this->m_lawCovMatrix->invertMultiply(diffVec);
206  returnValue = (diffVec*tmpVec).sumOfComponents();
207  if (m_normalizationStyle == 0) {
208  lnDeterminant = this->m_lawCovMatrix->lnDeterminant();
209  }
210  }
211  if (m_normalizationStyle == 0) {
212  returnValue += ((double) this->lawVarVector().sizeLocal()) * log(2*M_PI); // normalization of pdf
213  returnValue += lnDeterminant; // normalization of pdf
214  }
215  returnValue *= -0.5;
216  }
217  returnValue += m_logOfNormalizationFactor; // [PDF-03]
218 
219  if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 99)) {
220  *m_env.subDisplayFile() << "Leaving GaussianJointPdf<V,M>::lnValue()"
221  << ", m_normalizationStyle = " << m_normalizationStyle
222  << ", m_diagonalCovMatrix = " << m_diagonalCovMatrix
223  << ", m_logOfNormalizationFactor = " << m_logOfNormalizationFactor
224  << ", lnDeterminant = " << lnDeterminant
225  << ", meanVector = " << *m_lawExpVector
226  << ", lawCovMatrix = " << *m_lawCovMatrix
227  << ": domainVector = " << domainVector
228  << ", returnValue = " << returnValue
229  << std::endl;
230  }
231 
232  return returnValue;
233 }
QUESO::GaussianJointPdf::lawExpVector
const V & lawExpVector() const
Access to the vector of mean values and private attribute: m_lawExpVector.
Definition: GaussianJointPdf.C:111
QUESO::BaseEnvironment::displayVerbosity
unsigned int displayVerbosity() const
Definition: Environment.C:396
QUESO::BaseJointPdf::m_normalizationStyle
unsigned int m_normalizationStyle
Definition: JointPdf.h:99
QUESO::BaseJointPdf::m_logOfNormalizationFactor
double m_logOfNormalizationFactor
Definition: JointPdf.h:100
QUESO::BaseScalarFunction::m_domainSet
const VectorSet< V, M > & m_domainSet
Domain set of the scalar function.
Definition: ScalarFunction.h:84
QUESO::BaseScalarFunction::m_env
const BaseEnvironment & m_env
Definition: ScalarFunction.h:80
queso_require_msg
#define queso_require_msg(asserted, msg)
Definition: asserts.h:69
QUESO::BaseEnvironment::subDisplayFile
std::ofstream * subDisplayFile() const
Access function for m_subDisplayFile (displays file on stream).
Definition: Environment.C:274
QUESO::GaussianJointPdf::lawVarVector
const V & lawVarVector() const
Access to the vector of variance values and private attribute: m_lawVarVector.
Definition: GaussianJointPdf.C:118
template<class V , class M >
void QUESO::GaussianJointPdf< V, M >::updateLawCovMatrix ( const M &  newLawCovMatrix)

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

This method deletes old expected values (allocated at construction or last call to this method).

Definition at line 267 of file GaussianJointPdf.C.

268 {
269  // delete old expected values (allocated at construction or last call to this function)
270  delete m_lawCovMatrix;
271  m_lawCovMatrix = new M(newLawCovMatrix);
272  return;
273 }
template<class V , class M >
void QUESO::GaussianJointPdf< V, M >::updateLawExpVector ( const V &  newLawExpVector)

Updates the mean with the new value newLawExpVector.

This method deletes old expected values (allocated at construction or last call to this method).

Definition at line 257 of file GaussianJointPdf.C.

258 {
259  // delete old expected values (allocated at construction or last call to this function)
260  delete m_lawExpVector;
261  m_lawExpVector = new V(newLawExpVector);
262  return;
263 }

Member Data Documentation

template<class V = GslVector, class M = GslMatrix>
bool QUESO::GaussianJointPdf< V, M >::m_diagonalCovMatrix
protected

Definition at line 118 of file GaussianJointPdf.h.

template<class V = GslVector, class M = GslMatrix>
const M* QUESO::GaussianJointPdf< V, M >::m_lawCovMatrix
protected

Definition at line 119 of file GaussianJointPdf.h.

template<class V = GslVector, class M = GslMatrix>
V* QUESO::GaussianJointPdf< V, M >::m_lawExpVector
protected

Definition at line 116 of file GaussianJointPdf.h.

template<class V = GslVector, class M = GslMatrix>
V* QUESO::GaussianJointPdf< V, M >::m_lawVarVector
protected

Definition at line 117 of file GaussianJointPdf.h.

The documentation for this class was generated from the following files:
Generated on Thu Jun 11 2015 13:52:35 for queso-0.53.0 by  doxygen 1.8.5