PolynomialChaosExpansion.h

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#ifndef POLYNOMIALCHAOSEXPANSION_H_
#define POLYNOMIALCHAOSEXPANSION_H_
 
#include "MUQ/Approximation/Polynomials/BasisExpansion.h"
#include "MUQ/Approximation/Polynomials/OrthogonalPolynomial.h"
 
#include <vector>
#include <set>
 
namespace muq {
namespace Approximation {
 
  class PCEFactory;
 
  class PolynomialChaosExpansion : public BasisExpansion {
  friend class PCEFactory;
 
  public:
 
    PolynomialChaosExpansion(std::shared_ptr<OrthogonalPolynomial>          const& basisCompsIn,
                             std::shared_ptr<muq::Utilities::MultiIndexSet> const& multisIn,
                             Eigen::MatrixXd                                const& coeffsIn);
 
    PolynomialChaosExpansion(std::shared_ptr<OrthogonalPolynomial>          const& basisCompsIn,
                             std::shared_ptr<muq::Utilities::MultiIndexSet> const& multisIn,
                             unsigned int                                          outputDim);
 
    PolynomialChaosExpansion(std::vector<std::shared_ptr<IndexedScalarBasis>> const& basisCompsIn,
                             std::shared_ptr<muq::Utilities::MultiIndexSet>   const& multisIn,
                             Eigen::MatrixXd                                  const& coeffsIn);
 
    PolynomialChaosExpansion(std::vector<std::shared_ptr<IndexedScalarBasis>> const& basisCompsIn,
                             std::shared_ptr<muq::Utilities::MultiIndexSet>   const& multisIn,
                             unsigned int                                            outputDim);
 
 
    virtual ~PolynomialChaosExpansion() = default;
 
    Eigen::VectorXd Variance() const;
    Eigen::MatrixXd Covariance() const;
    Eigen::VectorXd Mean() const;
 
    Eigen::VectorXd Magnitude() const;
 
    static std::shared_ptr<PolynomialChaosExpansion> ComputeWeightedSum(std::vector<std::shared_ptr<PolynomialChaosExpansion>> expansions,
                                                                        Eigen::VectorXd                                 const& weights);
 
 
    Eigen::VectorXd TotalSensitivity(unsigned int targetDim) const;
 
    Eigen::MatrixXd TotalSensitivity() const;
 
    Eigen::VectorXd SobolSensitivity(unsigned int targetDim) const;
 
    Eigen::VectorXd SobolSensitivity(std::vector<unsigned int> const& targetDims) const;
 
    Eigen::MatrixXd MainSensitivity() const;
 
    virtual void ToHDF5(muq::Utilities::H5Object &group) const override;
 
    static std::shared_ptr<PolynomialChaosExpansion> FromHDF5(std::string filename, std::string groupName="/");
 
    static std::shared_ptr<PolynomialChaosExpansion> FromHDF5(muq::Utilities::H5Object &group);
 
 
 
  private:
 
    Eigen::VectorXd GetNormalizationVec() const;
 
    static std::shared_ptr<PolynomialChaosExpansion> ComputeWeightedSum(std::vector<std::shared_ptr<PolynomialChaosExpansion>> expansions,
                                                                        Eigen::VectorXd const&                                 weights,
                                                                        std::shared_ptr<muq::Utilities::MultiIndexSet> const&  polynomials,
                                                                        std::vector<std::vector<unsigned int>>         const&  locToGlob);
 
  };
 
} // namespace muq
} // namespace Approximation
 
 
 
#endif /* POLYNOMIALCHAOSEXPANSION_H_ */