KarhunenLoeveExpansion.h

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#ifndef KARHUNENLOEVEEXPANSION_H
#define KARHUNENLOEVEEXPANSION_H
 
#include <Eigen/Core>
 
#include "MUQ/Approximation/GaussianProcesses/KernelBase.h"
#include "MUQ/Approximation/GaussianProcesses/KarhunenLoeveBase.h"
 
#include <boost/property_tree/ptree.hpp>
 
namespace muq
{
namespace Approximation
{
 
    class KarhunenLoeveExpansion : public KarhunenLoeveBase
    {
 
    public:
 
        KarhunenLoeveExpansion(std::shared_ptr<KernelBase> kernelIn,
                               Eigen::MatrixXd      const& seedPtsIn,
                               Eigen::VectorXd      const& seedWtsIn,
                               boost::property_tree::ptree options = boost::property_tree::ptree());
 
        virtual ~KarhunenLoeveExpansion() = default;
 
        virtual Eigen::MatrixXd GetModes(Eigen::Ref<const Eigen::MatrixXd> const& pts) const override;
 
        virtual unsigned int NumModes() const override;
 
    private:
 
 
        // Points used to discretize the KL modes.
        Eigen::MatrixXd seedPts;
        Eigen::VectorXd seedWts;
 
        // The covariance kernel used to construct this expansion
        std::shared_ptr<KernelBase> covKernel;
 
        // Values of the KL modes at the seed points.  Each column corresponds to a basis function and each row to a pt function
        Eigen::MatrixXd modeVecs;
        Eigen::VectorXd modeEigs;
 
    }; // class KarhuneLoeveExpansion
 
 
 
}// namespace Approximation
}// namespace muq
 
 
#endif