GaussianLikelihoodFullCovariance.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_LIKELIHOOD_FULL_COV_H
#define UQ_GAUSSIAN_LIKELIHOOD_FULL_COV_H

#include <queso/GaussianLikelihood.h>

namespace QUESO {

class GslVector;
class GslMatrix;

template <class V = GslVector, class M = GslMatrix>
class GaussianLikelihoodFullCovariance : public BaseGaussianLikelihood<V, M> {
public:


  GaussianLikelihoodFullCovariance(const char * prefix,
      const VectorSet<V, M> & domainSet, const V & observations,
      const M & covariance, double covarianceCoefficient=1.0);

  virtual ~GaussianLikelihoodFullCovariance();

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

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

private:
  double m_covarianceCoefficient;
  const M & m_covariance;
};

}  // End namespace QUESO

#endif  // UQ_GAUSSIAN_LIKELIHOOD_FULL_COV_H