InfiniteDimensionalGaussian.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 QUESO_INFINITEDIMENSIONALGAUSSIAN_H
#define QUESO_INFINITEDIMENSIONALGAUSSIAN_H

#include <boost/shared_ptr.hpp>

#include <queso/Environment.h>
#include <queso/OperatorBase.h>
#include <queso/GslVector.h>
#include <queso/GslMatrix.h>
#include <queso/VectorSpace.h>
#include <queso/VectorSubset.h>
#include <queso/VectorRV.h>
#include <queso/InfiniteDimensionalMeasureBase.h>
#include <queso/FunctionBase.h>

namespace QUESO {

class InfiniteDimensionalGaussian : public InfiniteDimensionalMeasureBase {
public:


  InfiniteDimensionalGaussian(const FullEnvironment& env,
      const FunctionBase &mean, const OperatorBase &precision,
      double alpha, double beta);

  ~InfiniteDimensionalGaussian();

  virtual boost::shared_ptr<FunctionBase> draw();

  virtual double get_kl_coefficient(unsigned int i) const;

private:
  // Mean
  const FunctionBase & mean;

  // Precision -- I suppose you saw that one coming.
  const OperatorBase & precision;

  // QUESO environment
  const FullEnvironment& env;

  // Fractional power
  double alpha;

  // Multiplicative constant
  double beta;

  // The coefficients for the KL expansion
  // (not multiplied by the evals)
  std::vector<double> coeffs;
};

}  // End namespace QUESO

#endif // QUESO_INFINITEDIMENSIONALGAUSSIAN_H