GaussianJointPdf.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008-2015 The PECOS Development Team
//
// This library is free software; you can redistribute it and/or
// modify it under the terms of the Version 2.1 GNU Lesser General
// Public License as published by the Free Software Foundation.
//
// This library is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// Lesser General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc. 51 Franklin Street, Fifth Floor,
// Boston, MA  02110-1301  USA
//
//-----------------------------------------------------------------------el-

#ifndef UQ_GAUSSIAN_JOINT_PROB_DENSITY_H
#define UQ_GAUSSIAN_JOINT_PROB_DENSITY_H

#include <cmath>

#include <boost/math/special_functions.hpp> // for Boost isnan. Note parentheses are important in function call.

#include <queso/JointPdf.h>
#include <queso/Environment.h>
#include <queso/ScalarFunction.h>
#include <queso/BoxSubset.h>

namespace QUESO {

class GslVector;
class GslMatrix;

//*****************************************************
// Gaussian probability density class [PDF-03]
//*****************************************************
template <class V = GslVector, class M = GslMatrix>
class GaussianJointPdf : public BaseJointPdf<V,M> {
public:


  GaussianJointPdf(const char*                  prefix,
                          const VectorSet<V,M>& domainSet,
                          const V&                     lawExpVector,
                          const V&                     lawVarVector);

  GaussianJointPdf(const char*                  prefix,
                          const VectorSet<V,M>& domainSet,
                          const V&                     lawExpVector,
                          const M&                     lawCovMatrix);
 ~GaussianJointPdf();




 double   actualValue       (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const;


  double   lnValue           (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const;


  double   computeLogOfNormalizationFactor(unsigned int numSamples, bool updateFactorInternally) const;


  void     updateLawExpVector(const V& newLawExpVector);


  void     updateLawCovMatrix(const M& newLawCovMatrix);

  const M& lawCovMatrix      () const;

  const V& lawExpVector() const;

  const V& lawVarVector() const;
protected:
  using BaseScalarFunction<V,M>::m_env;
  using BaseScalarFunction<V,M>::m_prefix;
  using BaseScalarFunction<V,M>::m_domainSet;
  using BaseJointPdf<V,M>::m_normalizationStyle;
  using BaseJointPdf<V,M>::m_logOfNormalizationFactor;
  V*       m_lawExpVector;
  V*       m_lawVarVector;
  bool     m_diagonalCovMatrix;
  const M* m_lawCovMatrix;
};

}  // End namespace QUESO

#endif // UQ_GAUSSIAN_JOINT_PROB_DENSITY_H