This class represents a transition kernel with a scaled covariance matrix on hybrid bounded/unbounded state spaces. More...

#include <TransformedScaledCovMatrixTKGroup.h>

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

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

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Public Member Functions
void	transformToGaussianSpace (const V &physicalPoint, V &transformedPoint) const

Constructor/Destructor methods
	TransformedScaledCovMatrixTKGroup (const char *prefix, const BoxSubset< V, M > &boxSubset, const std::vector< double > &scales, const M &covMatrix)
	Default constructor. More...

	~TransformedScaledCovMatrixTKGroup ()
	Destructor. More...

Statistical/Mathematical methods
bool	symmetric () const
	Whether or not the matrix is symmetric. Always 'false'. More...

const InvLogitGaussianVectorRV < V, M > &	rv (unsigned int stageId) const
	InvLogitGaussian increment property to construct a transition kernel. More...

const InvLogitGaussianVectorRV < V, M > &	rv (const std::vector< unsigned int > &stageIds)
	InvLogitGaussian increment property to construct a transition kernel. More...

void	updateLawCovMatrix (const M &covMatrix)
	Scales the covariance matrix of the underlying Gaussian distribution. More...

Misc methods
bool	setPreComputingPosition (const V &position, unsigned int stageId)
	Sets the pre-computing positions `m_preComputingPositions`[stageId] with a new vector of size `position`. More...

void	clearPreComputingPositions ()
	Clears the pre-computing positions `m_preComputingPositions`[stageId]. More...

I/O methods
void	print (std::ostream &os) const
	TODO: Prints the transition kernel. More...

Public Member Functions inherited from QUESO::BaseTKGroup< V, M >
	BaseTKGroup ()
	Default constructor. More...

	BaseTKGroup (const char *prefix, const VectorSpace< V, M > &vectorSpace, const std::vector< double > &scales)
	Constructor. More...

virtual	~BaseTKGroup ()
	Destructor. More...

const BaseEnvironment &	env () const
	QUESO's environment. More...

const V &	preComputingPosition (unsigned int stageId) const
	Pre-computing position; access to protected attribute *m_preComputingPositions[stageId]. More...

Private Member Functions
void	setRVsWithZeroMean ()
	Sets the mean of the underlying Gaussian RVs to zero. More...

Private Attributes
const BoxSubset< V, M > &	m_boxSubset

M	m_originalCovMatrix

Additional Inherited Members
Protected Attributes inherited from QUESO::BaseTKGroup< V, M >
const EmptyEnvironment *	m_emptyEnv

const BaseEnvironment &	m_env

std::string	m_prefix

const VectorSpace< V, M > *	m_vectorSpace

std::vector< double >	m_scales

std::vector< const V * >	m_preComputingPositions

std::vector< BaseVectorRV< V, M > * >	m_rvs

Detailed Description

template<class V = GslVector, class M = GslMatrix>
class QUESO::TransformedScaledCovMatrixTKGroup< V, M >

This class represents a transition kernel with a scaled covariance matrix on hybrid bounded/unbounded state spaces.

The unbounded directions utilise a standard Gaussian proposal. The bounded or half-bounded directions utilise a transformed Gaussian proposal, so that no realizations are generated outside of the state space.

Definition at line 48 of file TransformedScaledCovMatrixTKGroup.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::TransformedScaledCovMatrixTKGroup< V, M >::TransformedScaledCovMatrixTKGroup	(	const char *	prefix,
		const BoxSubset< V, M > &	boxSubset,
		const std::vector< double > &	scales,
		const M &	covMatrix
	)

Default constructor.

Definition at line 33 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseEnvironment::displayVerbosity(), QUESO::BaseTKGroup< V, M >::m_env, QUESO::TransformedScaledCovMatrixTKGroup< V, M >::m_originalCovMatrix, QUESO::BaseTKGroup< V, M >::m_preComputingPositions, QUESO::BaseTKGroup< V, M >::m_rvs, QUESO::BaseTKGroup< V, M >::m_scales, QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setRVsWithZeroMean(), and QUESO::BaseEnvironment::subDisplayFile().

   : BaseTKGroup<V, M>(prefix, boxSubset.vectorSpace(), scales),
     m_boxSubset(boxSubset),
     m_originalCovMatrix(covMatrix)
 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Entering TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                            << std::endl;
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                            << ": m_scales.size() = "                << m_scales.size()
                            << ", m_preComputingPositions.size() = " << m_preComputingPositions.size()
                            << ", m_rvs.size() = "                   << m_rvs.size()
                            << ", m_originalCovMatrix = "            << m_originalCovMatrix
                            << std::endl;
   }
 
   // Set RVs to have zero mean in the Gaussian space
   setRVsWithZeroMean();
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Leaving TransformedScaledCovMatrixTKGroup<V,M>::constructor()"
                            << std::endl;
   }
 }

template<class V , class M >

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

Destructor.

Definition at line 66 of file TransformedScaledCovMatrixTKGroup.C.

67 {

68 }

Member Function Documentation

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::clearPreComputingPositions ( )

virtual

Clears the pre-computing positions m_preComputingPositions[stageId].

Reimplemented from QUESO::BaseTKGroup< V, M >.

Definition at line 213 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseTKGroup< V, M >::clearPreComputingPositions().

 {
   BaseTKGroup<V,M>::clearPreComputingPositions();
   return;
 }

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::print ( std::ostream & os ) const

virtual

TODO: Prints the transition kernel.

Todo:: : implement me!

Reimplemented from QUESO::BaseTKGroup< V, M >.

Definition at line 242 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::BaseTKGroup< V, M >::print().

 {
   BaseTKGroup<V,M>::print(os);
   return;
 }

template<class V , class M >

const InvLogitGaussianVectorRV< V, M > & QUESO::TransformedScaledCovMatrixTKGroup< V, M >::rv ( unsigned int stageId ) const

virtual

InvLogitGaussian increment property to construct a transition kernel.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 79 of file TransformedScaledCovMatrixTKGroup.C.

References queso_require_greater_msg, queso_require_msg, queso_require_not_equal_to_msg, and QUESO::InvLogitGaussianVectorRV< V, M >::updateLawExpVector().

 {
   queso_require_not_equal_to_msg(m_rvs.size(), 0, "m_rvs.size() = 0");
 
   queso_require_msg(m_rvs[0], "m_rvs[0] == NULL");
 
   queso_require_greater_msg(m_preComputingPositions.size(), stageId, "m_preComputingPositions.size() <= stageId");
 
   queso_require_msg(m_preComputingPositions[stageId], "m_preComputingPositions[stageId] == NULL");
 
   if ((m_env.subDisplayFile()        ) &&
       (m_env.displayVerbosity() >= 10)) {
     *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::rv1()"
                             << ", stageId = " << stageId
                             << ": about to call m_rvs[0]->updateLawExpVector()"
                             << ", vector = " << *m_preComputingPositions[stageId] // FIX ME: might demand parallelism
                             << std::endl;
   }
 
   InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
     dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[0]);
 
   V transformedPreComputingPositions(*m_preComputingPositions[stageId]);
   transformToGaussianSpace(*m_preComputingPositions[stageId],
       transformedPreComputingPositions);
 
   invlogit_gaussian->updateLawExpVector(transformedPreComputingPositions);
 
   return (*invlogit_gaussian);
 }

template<class V , class M >

const InvLogitGaussianVectorRV< V, M > & QUESO::TransformedScaledCovMatrixTKGroup< V, M >::rv ( const std::vector< unsigned int > & stageIds )

virtual

InvLogitGaussian increment property to construct a transition kernel.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 112 of file TransformedScaledCovMatrixTKGroup.C.

References queso_require_greater_equal_msg, queso_require_greater_msg, queso_require_msg, and QUESO::InvLogitGaussianVectorRV< V, M >::updateLawExpVector().

 {
   queso_require_greater_equal_msg(m_rvs.size(), stageIds.size(), "m_rvs.size() < stageIds.size()");
 
   queso_require_msg(m_rvs[stageIds.size()-1], "m_rvs[stageIds.size()-1] == NULL");
 
   queso_require_greater_msg(m_preComputingPositions.size(), stageIds[0], "m_preComputingPositions.size() <= stageIds[0]");
 
   queso_require_msg(m_preComputingPositions[stageIds[0]], "m_preComputingPositions[stageIds[0]] == NULL");
 
   if ((m_env.subDisplayFile()        ) &&
       (m_env.displayVerbosity() >= 10)) {
     *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::rv2()"
                             << ", stageIds.size() = " << stageIds.size()
                             << ", stageIds[0] = "     << stageIds[0]
                             << ": about to call m_rvs[stageIds.size()-1]->updateLawExpVector()"
                             << ", vector = " << *m_preComputingPositions[stageIds[0]] // FIX ME: might demand parallelism
                             << std::endl;
   }
 
   InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
     dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[stageIds.size()-1]);
 
   V transformedPreComputingPositions(*m_preComputingPositions[stageIds[0]]);
   transformToGaussianSpace(*m_preComputingPositions[stageIds[0]],
       transformedPreComputingPositions);
 
   invlogit_gaussian->updateLawExpVector(transformedPreComputingPositions);
 
   return (*invlogit_gaussian);
 }

template<class V , class M >

bool QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setPreComputingPosition	(	const V &	position,
		unsigned int	stageId
	)

virtual

Sets the pre-computing positions m_preComputingPositions[stageId] with a new vector of size position.

The vector position is in physical space. This is then transformed using transformToGaussianSpace to map to a point in Gaussian space where we can, for example, update the mean of the underlying Gaussian RV.

Reimplemented from QUESO::BaseTKGroup< V, M >.

Definition at line 174 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::InvLogitGaussianJointPdf< V, M >::lawCovMatrix(), and QUESO::BaseTKGroup< V, M >::setPreComputingPosition().

 {
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Entering TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                            << ": position = " << position
                            << ", stageId = "  << stageId
                            << std::endl;
   }
 
   BaseTKGroup<V,M>::setPreComputingPosition(position,stageId);
   //setRVsWithZeroMean();
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                            << ", position = "        << position
                            << ", stageId = "         << stageId
                            << ": preComputingPos = " << *m_preComputingPositions[stageId];
     if (stageId < m_scales.size()) {
       *m_env.subDisplayFile() << ", factor = " << 1./m_scales[stageId]/m_scales[stageId];
     }
     if (stageId < m_rvs.size()) {
       const InvLogitGaussianJointPdf<V,M>* pdfPtr = dynamic_cast< const InvLogitGaussianJointPdf<V,M>* >(&(m_rvs[stageId]->pdf()));
       *m_env.subDisplayFile() << ", rvCov = " << pdfPtr->lawCovMatrix(); // FIX ME: might demand parallelism
     }
     *m_env.subDisplayFile() << std::endl;
   }
 
   if ((m_env.subDisplayFile()) && (m_env.displayVerbosity() >= 5)) {
     *m_env.subDisplayFile() << "Leaving TransformedScaledCovMatrixTKGroup<V,M>::setPreComputingPosition()"
                            << ": position = " << position
                            << ", stageId = "  << stageId
                            << std::endl;
   }
 
   return true;
 }

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::setRVsWithZeroMean ( )

private

Sets the mean of the underlying Gaussian RVs to zero.

Definition at line 223 of file TransformedScaledCovMatrixTKGroup.C.

References queso_require_equal_to_msg, queso_require_msg, and queso_require_not_equal_to_msg.

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

 {
   queso_require_not_equal_to_msg(m_rvs.size(), 0, "m_rvs.size() = 0");
 
   queso_require_equal_to_msg(m_rvs.size(), m_scales.size(), "m_rvs.size() != m_scales.size()");
 
   for (unsigned int i = 0; i < m_scales.size(); ++i) {
     double factor = 1./m_scales[i]/m_scales[i];
     queso_require_msg(!(m_rvs[i]), "m_rvs[i] != NULL");
     m_rvs[i] = new InvLogitGaussianVectorRV<V,M>(m_prefix.c_str(),
         m_boxSubset, m_vectorSpace->zeroVector(),
         factor*m_originalCovMatrix);
   }
 
   return;
 }

template<class V , class M >

bool QUESO::TransformedScaledCovMatrixTKGroup< V, M >::symmetric ( ) const

virtual

Whether or not the matrix is symmetric. Always 'false'.

Implements QUESO::BaseTKGroup< V, M >.

Definition at line 72 of file TransformedScaledCovMatrixTKGroup.C.

 {
   return false;
 }

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::transformToGaussianSpace	(	const V &	physicalPoint,
		V &	transformedPoint
	)		const

Definition at line 250 of file TransformedScaledCovMatrixTKGroup.C.

 {
   V min_domain_bounds(this->m_boxSubset.minValues());
   V max_domain_bounds(this->m_boxSubset.maxValues());
 
   for (unsigned int i = 0; i < transformedPoint.sizeLocal(); i++) {
     double min_val = min_domain_bounds[i];
     double max_val = max_domain_bounds[i];
 
     if (boost::math::isfinite(min_val) &&
         boost::math::isfinite(max_val)) {
         // Left- and right-hand sides are finite.  Do full transform.
         transformedPoint[i] = std::log(physicalPoint[i] - min_val) -
             std::log(max_val - physicalPoint[i]);
     }
     else if (boost::math::isfinite(min_val) &&
              !boost::math::isfinite(max_val)) {
       // Left-hand side finite, but right-hand side is not.
       // Do only left-hand transform.
       transformedPoint[i] = std::log(physicalPoint[i] - min_val);
     }
     else if (!boost::math::isfinite(min_val) &&
              boost::math::isfinite(max_val)) {
       // Right-hand side is finite, but left-hand side is not.
       // Do only right-hand transform.
       transformedPoint[i] = -std::log(max_val - physicalPoint[i]);
     }
     else {
       // No transform.
       transformedPoint[i] = physicalPoint[i];
     }
   }
 }

template<class V , class M >

void QUESO::TransformedScaledCovMatrixTKGroup< V, M >::updateLawCovMatrix ( const M & covMatrix )

Scales the covariance matrix of the underlying Gaussian distribution.

The covariance matrix is scaled by a factor of $ 1/scales^2 $ .

Definition at line 146 of file TransformedScaledCovMatrixTKGroup.C.

References QUESO::InvLogitGaussianVectorRV< V, M >::updateLawCovMatrix().

 {
   for (unsigned int i = 0; i < m_scales.size(); ++i) {
     double factor = 1./m_scales[i]/m_scales[i];
     if ((m_env.subDisplayFile()        ) &&
         (m_env.displayVerbosity() >= 10)) {
       *m_env.subDisplayFile() << "In TransformedScaledCovMatrixTKGroup<V,M>::updateLawCovMatrix()"
                               << ", m_scales.size() = " << m_scales.size()
                               << ", i = "               << i
                               << ", m_scales[i] = "     << m_scales[i]
                               << ", factor = "          << factor
                               << ": about to call m_rvs[i]->updateLawCovMatrix()"
                               << ", covMatrix = \n" << factor*covMatrix // FIX ME: might demand parallelism
                               << std::endl;
     }
 
     InvLogitGaussianVectorRV<V, M> * invlogit_gaussian =
       dynamic_cast<InvLogitGaussianVectorRV<V, M> * >(m_rvs[i]);
 
     invlogit_gaussian->updateLawCovMatrix(factor*covMatrix);
   }
 
   return;
 }