UQTk: Uncertainty Quantification Toolkit  3.1.1
post.h
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3  The UQ Toolkit (UQTk) version 3.1.1
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27 ===================================================================================== */
31 
32 #ifndef POST_H_SEEN
33 #define POST_H_SEEN
34 
35 #include "Array1D.h"
36 #include "Array2D.h"
37 #include "mrv.h"
38 
39 #include <iostream>
40 #include <string.h>
41 #include <stdio.h>
42 #include <sstream>
43 
44 using namespace std; // needed for python string conversion
45 
47 
48 class Post {
49 public:
50 
52  Post();
54  ~Post() {}
55 
57  void setData(Array2D<double>& xdata,Array2D<double>& ydata);
59  void setDataNoise(Array1D<double>& sigma);
61  void inferDataNoise();
63  void inferLogDataNoise();
65  Array1D<double> dataSigma(double m_last);
67  void setModel(Array1D< Array2D<double> (*)(Array2D<double>&, Array2D<double>&, Array2D<double>&, void *) > forwardFuncs, Array2D<double>& fixindnom, void* funcInfo);
69  void setModelRVinput(int pdim, int order, Array1D<int>& rndInd,string pdfType,string pcType);
71  int getChainDim();
73  void setPrior(string priorType, double priora, double priorb);
75  double evalLogPrior(Array1D<double>& m);
77  Array2D<double> getParamPCcf(Array1D<double>& m);
79  Array2D<double> samParam(Array1D<double>& m, int ns);
81  void momParam(Array1D<double>& m, Array1D<double>& parMean, Array1D<double>& parVar, bool covFlag, Array2D<double>& parCov);
83  Array2D<double> samForwardFcn(Array2D<double> (*forwardFunc)(Array2D<double>&, Array2D<double>&, Array2D<double>&, void*),Array1D<double>& m, Array2D<double>& xgrid, int ns);
85  void momForwardFcn(Array2D<double> (*forwardFunc)(Array2D<double>&, Array2D<double>&, Array2D<double>&, void*),Array1D<double>& m, Array2D<double>& xgrid, Array1D<double>& fcnMean, Array1D<double>& fcnVar, bool covflag, Array2D<double>& fcnCov);
87  void momForwardFcn(Array1D<double>& m, Array2D<double>& xgrid, Array1D<double>& fcnMean, Array1D<double>& fcnVar, bool covflag, Array2D<double>& fcnCov);
89  virtual double evalLogLik(Array1D<double>& m){return 0;};
90 
91 
92 protected:
94  Array2D<double> xData_;
96  Array2D<double> yData_;
98  Array1D<double> yDatam_;
100  int nData_;
102  int nEach_;
104  int xDim_;
106  int pDim_;
108  int chDim_;
110  bool inferDataNoise_;
112  bool dataNoiseLogFlag_;
114  Array1D<double> dataNoiseSig_;
116  //Array2D<double> (*forwardFcn_)(Array2D<double>&, Array2D<double>&, Array2D<double>&, void*);
117  Array1D< Array2D<double> (*)(Array2D<double>&, Array2D<double>&, Array2D<double>&, void *) > forwardFcns_;
119  void* funcinfo_;
121  int extraInferredParams_;
123  int ncat_;
124 
126  Mrv * Mrv_;
128  Array1D<int> rndInd_;
130  Array2D<double> fixIndNom_;
132  Array1D<double> lower_,upper_;
134  string pdfType_;
136  string rvpcType_;
138  string priorType_;
140  double priora_;
142  double priorb_;
143 
144  private:
145 
147  int verbosity_;
148 
149 };
150 
151 /*******************************************************************/
152 /*******************************************************************/
153 /*******************************************************************/
154 
157 class Lik_Full: public Post {
158 public:
160  Lik_Full(double bdw,int nsam){this->bdw_=bdw; this->nsam_=nsam; return;}
162  ~Lik_Full(){};
163 
165  double evalLogLik(Array1D<double>& m);
166 
167  private:
169  double bdw_;
171  int nsam_;
172 };
173 
174 /*******************************************************************/
175 /*******************************************************************/
176 /*******************************************************************/
177 
180 class Lik_Marg: public Post {
181 public:
183  Lik_Marg(double bdw,int nsam){this->bdw_=bdw; this->nsam_=nsam; return;}
185  ~Lik_Marg(){};
186 
188  double evalLogLik(Array1D<double>& m);
189 
190  private:
192  double bdw_;
194  int nsam_;
195 
196 };
197 
198 /*******************************************************************/
199 /*******************************************************************/
200 /*******************************************************************/
201 
204 class Lik_MVN: public Post {
205 public:
207  Lik_MVN(double nugget){this->nugget_=nugget; return;}
209  ~Lik_MVN(){};
210 
212  double evalLogLik(Array1D<double>& m);
213 
214  private:
216  double nugget_;
217 
218 };
219 
220 /*******************************************************************/
221 
224 class Lik_GausMarg: public Post {
225 public:
227  Lik_GausMarg(){return;}
229  ~Lik_GausMarg(){};
230 
232  double evalLogLik(Array1D<double>& m);
233 
234 };
235 
236 /*******************************************************************/
237 
240 class Lik_GausMargD: public Post {
241 public:
243  Lik_GausMargD(){return;}
245  ~Lik_GausMargD(){};
246 
248  double evalLogLik(Array1D<double>& m);
249 
250 };
251 
252 /*******************************************************************/
253 
256 class Lik_ABC: public Post {
257 public:
259  Lik_ABC(double eps){this->abceps_=eps; return;}
261  ~Lik_ABC(){};
262 
264  double evalLogLik(Array1D<double>& m);
265 
266 private:
268  double abceps_;
269 
270 };
271 
272 /*******************************************************************/
273 
276 class Lik_ABCm: public Post {
277 public:
279  Lik_ABCm(double eps){this->abceps_=eps; return;}
281  ~Lik_ABCm(){};
282 
284  double evalLogLik(Array1D<double>& m);
285 
286 private:
288  double abceps_;
289 
290 };
291 
292 /*******************************************************************/
293 
296 class Lik_Koh: public Post {
297 public:
299  Lik_Koh(double corLength){ this->extraInferredParams_=1;this->corLength_=corLength; return;}
301  ~Lik_Koh(){};
302 
304  double evalLogLik(Array1D<double>& m);
305 private:
306  double corLength_;
307 
308 };
309 
310 /*******************************************************************/
311 
314 class Lik_Classical: public Post {
315 public:
317  Lik_Classical(){ return;}
319  ~Lik_Classical(){};
320 
322  double evalLogLik(Array1D<double>& m);
323 
324 
325 };
326 
327 /*******************************************************************/
330 class Lik_Eov: public Post {
331 public:
333  Lik_Eov(){ return;}
335  ~Lik_Eov(){};
336 
338  double evalLogLik(Array1D<double>& m);
339 
340 
341 };
342 
343 /*******************************************************************/
344 
345 #endif /* POST_H_SEEN */
Array1D.h
1D Array class for any type T
Array2D.h
2D Array class for any type T
Array1D< double >
Definition: Array1D.h:472
Array1D< int >
Definition: Array1D.h:262
Array1D
Stores data of any type T in a 1D array.
Definition: Array1D.h:61
Lik_ABC
Derived class for ABC likelihood.
Definition: post.h:256
Lik_ABC::Lik_ABC
Lik_ABC(double eps)
Constructor given ABC epsilon.
Definition: post.h:259
Lik_ABC::~Lik_ABC
~Lik_ABC()
Destructor.
Definition: post.h:261
Lik_ABC::abceps_
double abceps_
ABC epsilon.
Definition: post.h:268
Lik_ABCm
Derived class for ABC-mean likelihood.
Definition: post.h:276
Lik_ABCm::~Lik_ABCm
~Lik_ABCm()
Destructor.
Definition: post.h:281
Lik_ABCm::Lik_ABCm
Lik_ABCm(double eps)
Constructor given ABC epsilon.
Definition: post.h:279
Lik_ABCm::abceps_
double abceps_
ABC epsilon.
Definition: post.h:288
Lik_Classical
Derived class for classical likelihood.
Definition: post.h:314
Lik_Classical::Lik_Classical
Lik_Classical()
Constructor.
Definition: post.h:317
Lik_Classical::~Lik_Classical
~Lik_Classical()
Destructor.
Definition: post.h:319
Lik_Eov
Derived class for error-in-variable likelihood.
Definition: post.h:330
Lik_Eov::Lik_Eov
Lik_Eov()
Constructor.
Definition: post.h:333
Lik_Eov::~Lik_Eov
~Lik_Eov()
Destructor.
Definition: post.h:335
Lik_Full
Derived class for full likelihood.
Definition: post.h:157
Lik_Full::~Lik_Full
~Lik_Full()
Destructor.
Definition: post.h:162
Lik_Full::bdw_
double bdw_
KDE bandwidth.
Definition: post.h:169
Lik_Full::nsam_
int nsam_
KDE sample size.
Definition: post.h:171
Lik_Full::Lik_Full
Lik_Full(double bdw, int nsam)
Constructor given KDE bandwidth and sample size.
Definition: post.h:160
Lik_GausMargD
Derived class for gaussian-marginal likelihood with discrete parameter.
Definition: post.h:240
Lik_GausMargD::~Lik_GausMargD
~Lik_GausMargD()
Destructor.
Definition: post.h:245
Lik_GausMargD::Lik_GausMargD
Lik_GausMargD()
Constructor.
Definition: post.h:243
Lik_GausMargD::evalLogLik
double evalLogLik(Array1D< double > &m)
Evaluate log-likelihood.
Lik_GausMarg
Derived class for gaussian-marginal likelihood.
Definition: post.h:224
Lik_GausMarg::Lik_GausMarg
Lik_GausMarg()
Constructor.
Definition: post.h:227
Lik_GausMarg::~Lik_GausMarg
~Lik_GausMarg()
Destructor.
Definition: post.h:229
Lik_Koh
Derived class for Kennedy-O'Hagan likelihood.
Definition: post.h:296
Lik_Koh::Lik_Koh
Lik_Koh(double corLength)
Constructor given correlation length.
Definition: post.h:299
Lik_Koh::corLength_
double corLength_
Definition: post.h:306
Lik_Koh::~Lik_Koh
~Lik_Koh()
Destructor.
Definition: post.h:301
Lik_MVN
Derived class for mvn likelihood.
Definition: post.h:204
Lik_MVN::nugget_
double nugget_
Nugget size.
Definition: post.h:216
Lik_MVN::~Lik_MVN
~Lik_MVN()
Destructor.
Definition: post.h:209
Lik_MVN::Lik_MVN
Lik_MVN(double nugget)
Constructor given fiagonal nugget.
Definition: post.h:207
Lik_Marg
Derived class for marginal likelihood.
Definition: post.h:180
Lik_Marg::nsam_
int nsam_
KDE sample size.
Definition: post.h:194
Lik_Marg::bdw_
double bdw_
KDE bandwidth.
Definition: post.h:192
Lik_Marg::Lik_Marg
Lik_Marg(double bdw, int nsam)
Constructor given KDE bandwidth and sample size.
Definition: post.h:183
Lik_Marg::~Lik_Marg
~Lik_Marg()
Destructor.
Definition: post.h:185
Mrv
multivariate RV parameterized by PC expansions
Definition: mrv.h:48
Post
posterior evaluation with various likelihood and prior options
Definition: post.h:48
Post::yDatam_
Array1D< double > yDatam_
ydata averaged per measurement (in case more than one y is given for each x)
Definition: post.h:98
Post::xData_
Array2D< double > xData_
xdata
Definition: post.h:89
Post::funcinfo_
void * funcinfo_
Auxiliary information for function evaluation.
Definition: post.h:119
Post::dataNoiseSig_
Array1D< double > dataNoiseSig_
Data noise stdev.
Definition: post.h:114
Post::dataNoiseLogFlag_
bool dataNoiseLogFlag_
Flag to check if data noise logarithm is used.
Definition: post.h:112
Post::priora_
double priora_
Prior parameter #1.
Definition: post.h:140
Post::nData_
int nData_
Number of data points.
Definition: post.h:100
Post::verbosity_
int verbosity_
Verbosity level.
Definition: post.h:147
Post::lower_
Array1D< double > lower_
Lower and upper bounds on parameters.
Definition: post.h:132
Post::~Post
~Post()
Destructor.
Definition: post.h:54
Post::pDim_
int pDim_
Dimensionality of parameter space (p-space)
Definition: post.h:106
Post::chDim_
int chDim_
Dimensionality of posterior input.
Definition: post.h:108
Post::rndInd_
Array1D< int > rndInd_
Indices of randomized inputs.
Definition: post.h:128
Post::fixIndNom_
Array2D< double > fixIndNom_
Indices and nominal values for fixed inputs.
Definition: post.h:130
Post::nEach_
int nEach_
Number of samples at each input.
Definition: post.h:102
Post::yData_
Array2D< double > yData_
ydata
Definition: post.h:96
Post::inferDataNoise_
bool inferDataNoise_
Flag for data noise inference.
Definition: post.h:110
Post::extraInferredParams_
int extraInferredParams_
Number of extra inferred parameters, such as data noise or Koh variance.
Definition: post.h:121
Post::xDim_
int xDim_
Dimensionality of x-space.
Definition: post.h:104
Post::priorb_
double priorb_
Prior parameter #2.
Definition: post.h:142
Post::ncat_
int ncat_
Number of categories.
Definition: post.h:123
Post::priorType_
string priorType_
Prior type.
Definition: post.h:138
Post::Mrv_
Mrv * Mrv_
Pointer to a multivariate PC RV object.
Definition: post.h:126
Post::evalLogLik
virtual double evalLogLik(Array1D< double > &m)
Dummy evaluation of log-likelihood.
Definition: post.h:89
Post::pdfType_
string pdfType_
Input parameter PDF type.
Definition: post.h:134
Post::rvpcType_
string rvpcType_
PC type parameter for the r.v.
Definition: post.h:136
mrv.h
Header for multivariate random variable class.
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