MultiIndexEstimator.h

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#ifndef MULTIINDEXESTIMATOR_H
#define MULTIINDEXESTIMATOR_H
 
#include "MUQ/SamplingAlgorithms/SampleEstimator.h"
#include "MUQ/SamplingAlgorithms/MIMCMCBox.h"
#include "MUQ/SamplingAlgorithms/MarkovChain.h"
 
namespace muq{
namespace SamplingAlgorithms{
 
    class MultiIndexEstimator : public SampleEstimator
    {
    public:
 
        MultiIndexEstimator(std::vector<std::shared_ptr<MIMCMCBox>> const& boxesIn, 
                            bool                                           useQoisIn = false);
 
        virtual ~MultiIndexEstimator() = default;
 
        virtual unsigned int BlockSize(int blockInd) const override;
 
        virtual unsigned int NumBlocks() const override;
 
        virtual Eigen::VectorXd ExpectedValue(std::shared_ptr<muq::Modeling::ModPiece> const& f,
                                              std::vector<std::string> const& metains = std::vector<std::string>()) const override;
 
        virtual Eigen::MatrixXd Covariance(int blockInd=-1) const override { return SampleEstimator::Covariance(blockInd);};
        virtual Eigen::MatrixXd Covariance(Eigen::VectorXd const& mean, 
                                           int                    blockInd=-1) const override;
 
 
        
        virtual Eigen::VectorXd StandardError(int blockDim, std::string const& method) const override;
        virtual Eigen::VectorXd StandardError(std::string const& method="Batch") const override{return StandardError(-1,method);};
        virtual Eigen::VectorXd StandardError(int blockDim) const override{return StandardError(blockDim,"Batch");};
        
        virtual Eigen::VectorXd ESS(std::string const& method="Batch") const override{return ESS(-1,method);};
        virtual Eigen::VectorXd ESS(int blockDim) const override{return ESS(blockDim,"Batch");};
        virtual Eigen::VectorXd ESS(int blockDim, std::string const& method) const override;
        
    private:
        
        std::vector<std::shared_ptr<MarkovChain>> GetDiffChains(int blockInd=-1,
                                                                std::shared_ptr<muq::Modeling::ModPiece> const& f=nullptr) const;
 
 
 
        const Eigen::VectorXi blockSizes;
        const bool useQois;
 
        std::vector<std::shared_ptr<MIMCMCBox>> boxes;
        std::vector<std::shared_ptr<MarkovChain>> diffChains;
        
    };
}
}
 
 
 
#endif