/usr/include/openturns/EllipticalDistribution.hxx is in libopenturns-dev 0.15-2.
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/**
* @file EllipticalDistribution.hxx
* @brief Abstract top-level class for elliptical distributions
*
* (C) Copyright 2005-2011 EDF-EADS-Phimeca
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License.
*
* 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., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*
* @author: $LastChangedBy: schueller $
* @date: $LastChangedDate: 2011-04-11 12:32:27 +0200 (Mon, 11 Apr 2011) $
* Id: $Id: EllipticalDistribution.hxx 1866 2011-04-11 10:32:27Z schueller $
*/
#ifndef OPENTURNS_ELLIPTICALDISTRIBUTIONIMPLEMENTATION_HXX
#define OPENTURNS_ELLIPTICALDISTRIBUTIONIMPLEMENTATION_HXX
#include "ContinuousDistribution.hxx"
#include "CorrelationMatrix.hxx"
namespace OpenTURNS {
namespace Uncertainty {
namespace Model {
/**
* @class EllipticalDistribution
*
* A subclass for elliptical usual distributions.
*/
class EllipticalDistribution
: public ContinuousDistribution
{
CLASSNAME;
public:
// Numerical precision for computing the quantile
typedef ContinuousDistribution::Implementation Implementation;
typedef ContinuousDistribution::InvalidArgumentException InvalidArgumentException;
typedef ContinuousDistribution::InvalidDimensionException InvalidDimensionException;
typedef ContinuousDistribution::NotDefinedException NotDefinedException;
typedef ContinuousDistribution::NumericalPoint NumericalPoint;
typedef ContinuousDistribution::NumericalSample NumericalSample;
typedef ContinuousDistribution::CovarianceMatrix CovarianceMatrix;
typedef ContinuousDistribution::Indices Indices;
typedef ContinuousDistribution::IsoProbabilisticTransformation IsoProbabilisticTransformation;
typedef ContinuousDistribution::InverseIsoProbabilisticTransformation InverseIsoProbabilisticTransformation;
typedef Base::Stat::CorrelationMatrix CorrelationMatrix;
typedef Base::Type::SymmetricMatrix SymmetricMatrix;
typedef Base::Type::SquareMatrix SquareMatrix;
typedef ContinuousDistribution::NumericalPointWithDescriptionCollection NumericalPointWithDescriptionCollection;
typedef ContinuousDistribution::StorageManager StorageManager;
/** Default constructor */
explicit EllipticalDistribution(const NumericalPoint & mean,
const NumericalPoint & sigma,
const CorrelationMatrix & R,
const NumericalScalar covarianceNormalizationFactor,
const String & name = OT::DefaultName);
/** Parameter constructor */
explicit EllipticalDistribution(const String & name = OT::DefaultName);
/** Virtual copy constructor */
virtual EllipticalDistribution * clone() const;
/** Comparison operator */
Bool operator ==(const EllipticalDistribution & other) const;
/** String converter */
String __repr__() const;
/** Tell if the distribution is elliptical */
Bool isElliptical() const;
/** Tell if the distribution has elliptical copula */
Bool hasEllipticalCopula() const;
/** Get the DDF of the distribution */
using ContinuousDistribution::computeDDF;
NumericalPoint computeDDF(const NumericalPoint & point) const;
/** Get the PDF of the distribution */
using ContinuousDistribution::computePDF;
NumericalScalar computePDF(const NumericalPoint & point) const;
/** Get the PDF gradient of the distribution */
NumericalPoint computePDFGradient(const NumericalPoint & point) const;
/** Compute the density generator of the elliptical distribution, i.e.
* the function phi such that the density of the distribution can
* be written as p(x) = phi(t(x-mu)R^{-1}(x-mu)) */
virtual NumericalScalar computeDensityGenerator(const NumericalScalar betaSquare) const;
/** Compute the derivative of the density generator */
virtual NumericalScalar computeDensityGeneratorDerivative(const NumericalScalar betaSquare) const;
/** Compute the second derivative of the density generator */
virtual NumericalScalar computeDensityGeneratorSecondDerivative(const NumericalScalar betaSquare) const;
/** Mean point accessor */
void setMean(const NumericalPoint & mean)
/* throw(InvalidArgumentException) */;
/** Sigma vector accessor */
void setSigma(const NumericalPoint & sigma)
/* throw(InvalidArgumentException) */;
/** Sigma vector accessor */
NumericalPoint getSigma() const;
/** Get the standard deviation of the distribution */
NumericalPoint getStandardDeviation() const /* throw(NotDefinedException) */;
/** Correlation matrix accessor */
void setCorrelation(const CorrelationMatrix & R)
/* throw(InvalidArgumentException) */;
/** Correlation matrix accessor */
CorrelationMatrix getCorrelation() const;
protected:
/** Compute the covariance of the distribution */
void computeCovariance() const /* throw(NotDefinedException) */;
public:
/** Normalize the given point u_i = (x_i - mu_i) / sigma_i */
NumericalPoint normalize(const NumericalPoint & x) const;
/** Denormalize the given point x_i = mu_i + sigma_i * x_i */
NumericalPoint denormalize(const NumericalPoint & u) const;
/** Inverse correlation matrix accessor */
SquareMatrix getInverseCorrelation() const;
/** Cholesky factor of the correlation matrix accessor */
SquareMatrix getCholesky() const;
/** Inverse of the Cholesky factor of the correlation matrix accessor */
SquareMatrix getInverseCholesky() const;
/** Get the isoprobabilist transformation */
IsoProbabilisticTransformation getIsoProbabilisticTransformation() const;
/** Get the inverse isoprobabilist transformation */
InverseIsoProbabilisticTransformation getInverseIsoProbabilisticTransformation() const;
/** Get the standard distribution, i.e. a distribution of the same kind but with zero mean,
* unit marginal standard distribution and identity correlation */
Implementation getStandardDistribution() const;
/** Parameters value and description accessor */
NumericalPointWithDescriptionCollection getParametersCollection() const;
using ContinuousDistribution::setParametersCollection;
void setParametersCollection(const NumericalPointCollection & parametersCollection);
/** Method save() stores the object through the StorageManager */
void save(StorageManager::Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(StorageManager::Advocate & adv);
protected:
/** The sigma vector of the distribution */
mutable NumericalPoint sigma_;
/** The correlation matrix (Rij) of the distribution */
mutable CorrelationMatrix R_;
/** The shape matrix of the distribution = Diag(sigma_) * R_ * Diag(sigma_) */
mutable CovarianceMatrix shape_;
/** The inverse of the correlation matrix of the distribution */
SymmetricMatrix inverseR_;
/** The Cholesky factor of the shape matrix shape_ = cholesky_ * cholesky_.transpose() */
SquareMatrix cholesky_;
/** The inverse Cholesky factor of the covariance matrix */
SquareMatrix inverseCholesky_;
/** The normalization factor of the distribution */
NumericalScalar normalizationFactor_;
/** The scaling factor of the covariance matrix covariance = covarianceScalingFactor_ * shape_*/
NumericalScalar covarianceScalingFactor_;
private:
/** Compute the value of the auxiliary attributes */
void update();
}; /* class EllipticalDistribution */
} /* namespace Model */
} /* namespace Uncertainty */
} /* namespace OpenTURNS */
#endif /* OPENTURNS_ELLIPTICALDISTRIBUTIONIMPLEMENTATION_HXX */
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