JointPdf.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_JOINT_PROB_DENSITY_H
#define UQ_JOINT_PROB_DENSITY_H

#include <cmath>

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

namespace QUESO {

class GslVector;
class GslMatrix;

template <class V = GslVector, class M = GslMatrix>
class BaseJointPdf : public BaseScalarFunction<V,M> {
public:


  BaseJointPdf(const char*                  prefix,
                      const VectorSet<V,M>& domainSet);
  virtual ~BaseJointPdf();


  virtual double actualValue                    (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const = 0;

  virtual double lnValue                        (const V& domainVector, const V* domainDirection, V* gradVector, M* hessianMatrix, V* hessianEffect) const = 0;

  virtual void   distributionMean               (V & meanVector) const;

  virtual void   distributionVariance           (M & covMatrix) const;


  virtual void   setNormalizationStyle          (unsigned int value) const;

  void   setLogOfNormalizationFactor    (double value) const;

  virtual double computeLogOfNormalizationFactor(unsigned int numSamples, bool m_logOfNormalizationFactor) const = 0;

  virtual void print(std::ostream & os) const;

  //const BaseScalarPdf<double>& component(unsigned int componentId) const;
protected:

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

  using BaseScalarFunction<V,M>::m_env;
  using BaseScalarFunction<V,M>::m_prefix;
  using BaseScalarFunction<V,M>::m_domainSet;

  mutable unsigned int m_normalizationStyle;
  mutable double       m_logOfNormalizationFactor;

//std::vector<BaseScalarPdf<double>*> m_components; // FIXME: will need to be a parallel vector in case of a very large number of components
//BaseScalarPdf<double>               m_dummyComponent;
};

template <class V, class M>
std::ostream & operator<<(std::ostream & os, const BaseJointPdf<V, M> & obj)
{
  obj.print(os);
  return os;
}

}  // End namespace QUESO

#endif // UQ_JOINT_PROB_DENSITY_H