#include <StateSpaceGP.h>

Inheritance diagram for muq::Approximation::StateSpaceGP:

Detailed Description

Definition at line 21 of file StateSpaceGP.h.

Public Member Functions
	StateSpaceGP (MeanFunctionBase &meanIn, KernelBase &kernelIn, boost::property_tree::ptree options=boost::property_tree::ptree())

	StateSpaceGP (std::shared_ptr< MeanFunctionBase > meanIn, std::shared_ptr< KernelBase > covKernelIn, boost::property_tree::ptree options=boost::property_tree::ptree())

virtual	~StateSpaceGP ()=default

virtual Eigen::MatrixXd	Sample (Eigen::MatrixXd const &times) override

virtual std::pair< Eigen::MatrixXd, Eigen::MatrixXd >	Predict (Eigen::MatrixXd const &newLocs, CovarianceType covType) override

virtual Eigen::MatrixXd	PredictMean (Eigen::MatrixXd const &newPts) override

virtual double	LogLikelihood (Eigen::MatrixXd const &xs, Eigen::MatrixXd const &vals) override

virtual double	MarginalLogLikelihood (Eigen::Ref< Eigen::VectorXd > grad, bool computeGrad=true) override

std::shared_ptr< muq::Modeling::LinearSDE >	GetSDE ()

std::shared_ptr< muq::Modeling::LinearOperator >	GetObs ()

void	SetObs (std::shared_ptr< muq::Modeling::LinearOperator > newObs)

Eigen::MatrixXd	GetCov ()

Public Member Functions inherited from muq::Approximation::GaussianProcess
	GaussianProcess (MeanFunctionBase &meanIn, KernelBase &kernelIn)

	GaussianProcess (std::shared_ptr< MeanFunctionBase > meanIn, std::shared_ptr< KernelBase > covKernelIn)

virtual	~GaussianProcess ()=default

virtual GaussianProcess &	Condition (Eigen::Ref< const Eigen::MatrixXd > const &loc, Eigen::Ref< const Eigen::MatrixXd > const &vals)

virtual GaussianProcess &	Condition (Eigen::Ref< const Eigen::MatrixXd > const &loc, Eigen::Ref< const Eigen::MatrixXd > const &vals, double obsVar)

virtual GaussianProcess &	Condition (std::shared_ptr< ObservationInformation > obs)

std::shared_ptr< muq::Modeling::Gaussian >	Discretize (Eigen::MatrixXd const &pts)

virtual void	Optimize ()

virtual double	MarginalLogLikelihood ()

virtual double	MarginalLogLikelihood (Eigen::Ref< Eigen::VectorXd > grad)

std::shared_ptr< MeanFunctionBase >	Mean ()

std::shared_ptr< KernelBase >	Kernel ()

Public Attributes
const int	stateDim

Additional Inherited Members
Public Types inherited from muq::Approximation::GaussianProcess
enum	CovarianceType { DiagonalCov , BlockCov , FullCov , NoCov }

Constructor & Destructor Documentation

◆ StateSpaceGP() [1/3]

muq::Approximation::StateSpaceGP::StateSpaceGP	(	MeanFunctionBase &	meanIn,
		KernelBase &	kernelIn,
		boost::property_tree::ptree	options = `boost::property_tree::ptree()`
	)

inline

Definition at line 25 of file StateSpaceGP.h.

◆ StateSpaceGP() [2/3]

StateSpaceGP::StateSpaceGP	(	std::shared_ptr< MeanFunctionBase >	meanIn,
		std::shared_ptr< KernelBase >	covKernelIn,
		boost::property_tree::ptree	options = `boost::property_tree::ptree()`
	)

Definition at line 18 of file StateSpaceGP.cpp.

◆ ~StateSpaceGP()

virtual muq::Approximation::StateSpaceGP::~StateSpaceGP ( )

virtualdefault

◆ StateSpaceGP() [3/3]

StateSpaceGP::StateSpaceGP	(	std::tuple< std::shared_ptr< muq::Modeling::LinearSDE >, std::shared_ptr< muq::Modeling::LinearOperator >, Eigen::MatrixXd >	ssInfo,
		std::shared_ptr< MeanFunctionBase >	meanIn,
		std::shared_ptr< KernelBase >	covKernelIn
	)

private

Definition at line 27 of file StateSpaceGP.cpp.

Member Function Documentation

◆ ComputeAQ()

bool StateSpaceGP::ComputeAQ ( double dt )

private

Definition at line 82 of file StateSpaceGP.cpp.

References dtAQ, sde, sdeA, and sdeQ.

Referenced by Predict().

◆ GetCov()

Eigen::MatrixXd muq::Approximation::StateSpaceGP::GetCov ( )

inline

Definition at line 57 of file StateSpaceGP.h.

References L.

◆ GetObs()

std::shared_ptr<muq::Modeling::LinearOperator> muq::Approximation::StateSpaceGP::GetObs ( )

inline

Definition at line 53 of file StateSpaceGP.h.

References obsOp.

◆ GetSDE()

std::shared_ptr<muq::Modeling::LinearSDE> muq::Approximation::StateSpaceGP::GetSDE ( )

inline

Definition at line 51 of file StateSpaceGP.h.

References sde.

◆ LogLikelihood()

double StateSpaceGP::LogLikelihood	(	Eigen::MatrixXd const &	xs,
		Eigen::MatrixXd const &	vals
	)

overridevirtual

Reimplemented from muq::Approximation::GaussianProcess.

Definition at line 286 of file StateSpaceGP.cpp.

◆ MarginalLogLikelihood()

double StateSpaceGP::MarginalLogLikelihood	(	Eigen::Ref< Eigen::VectorXd >	grad,
		bool	computeGrad = `true`
	)

overridevirtual

Reimplemented from muq::Approximation::GaussianProcess.

Definition at line 292 of file StateSpaceGP.cpp.

◆ Predict()

std::pair< Eigen::MatrixXd, Eigen::MatrixXd > StateSpaceGP::Predict	(	Eigen::MatrixXd const &	newLocs,
		CovarianceType	covType
	)

overridevirtual

Evaluate the mean and covariance at the locations in newLocs

Reimplemented from muq::Approximation::GaussianProcess.

Definition at line 97 of file StateSpaceGP.cpp.

References muq::Approximation::GaussianProcess::BlockCov, muq::Approximation::GaussianProcess::coDim, ComputeAQ(), muq::Approximation::GaussianProcess::DiagonalCov, muq::Approximation::GaussianProcess::FullCov, L, mean, muq::Approximation::GaussianProcess::observations, obsOp, muq::Approximation::GaussianProcess::Predict(), sdeA, sdeQ, stateDim, and nlohmann::to_string().

Referenced by PredictMean().

◆ PredictMean()

Eigen::MatrixXd StateSpaceGP::PredictMean ( Eigen::MatrixXd const & newPts )

overridevirtual

Evaluate the GP mean at the locations in newPts

Reimplemented from muq::Approximation::GaussianProcess.

Definition at line 77 of file StateSpaceGP.cpp.

References muq::Approximation::GaussianProcess::NoCov, and Predict().

◆ Sample()

Eigen::MatrixXd StateSpaceGP::Sample ( Eigen::MatrixXd const & newPts )

overridevirtual

Draw a random sample from the GP at the specified points.

Reimplemented from muq::Approximation::GaussianProcess.

Definition at line 48 of file StateSpaceGP.cpp.

References L, muq::Approximation::GaussianProcess::observations, obsOp, and sde.

◆ SetObs()

void StateSpaceGP::SetObs ( std::shared_ptr< muq::Modeling::LinearOperator > newObs )

Definition at line 302 of file StateSpaceGP.cpp.

References obsOp, and nlohmann::to_string().

◆ SortObservations()

void StateSpaceGP::SortObservations ( )

private

Definition at line 38 of file StateSpaceGP.cpp.

References muq::Approximation::GaussianProcess::hasNewObs, and muq::Approximation::GaussianProcess::observations.

Member Data Documentation

◆ covKernel

std::shared_ptr<KernelBase> muq::Approximation::StateSpaceGP::covKernel

private

Definition at line 88 of file StateSpaceGP.h.

◆ dtAQ

double muq::Approximation::StateSpaceGP::dtAQ

private

Definition at line 76 of file StateSpaceGP.h.

Referenced by ComputeAQ().

◆ L

Eigen::MatrixXd muq::Approximation::StateSpaceGP::L

private

Definition at line 85 of file StateSpaceGP.h.

Referenced by GetCov(), Predict(), and Sample().

◆ mean

std::shared_ptr<MeanFunctionBase> muq::Approximation::StateSpaceGP::mean

private

Definition at line 87 of file StateSpaceGP.h.

Referenced by Predict().

◆ obsOp

std::shared_ptr<muq::Modeling::LinearOperator> muq::Approximation::StateSpaceGP::obsOp

private

Definition at line 82 of file StateSpaceGP.h.

Referenced by GetObs(), Predict(), Sample(), and SetObs().

◆ sde

std::shared_ptr<muq::Modeling::LinearSDE> muq::Approximation::StateSpaceGP::sde

private

Definition at line 79 of file StateSpaceGP.h.

Referenced by ComputeAQ(), GetSDE(), and Sample().

◆ sdeA

Eigen::MatrixXd muq::Approximation::StateSpaceGP::sdeA

private

Definition at line 75 of file StateSpaceGP.h.

Referenced by ComputeAQ(), and Predict().

◆ sdeQ

Eigen::MatrixXd muq::Approximation::StateSpaceGP::sdeQ

private

Definition at line 75 of file StateSpaceGP.h.

Referenced by ComputeAQ(), and Predict().

◆ stateDim

const int muq::Approximation::StateSpaceGP::stateDim

Definition at line 61 of file StateSpaceGP.h.

Referenced by Predict().

The documentation for this class was generated from the following files:

doxygen_prep/MUQ/Approximation/GaussianProcesses/StateSpaceGP.h
doxygen_prep/modules/Approximation/src/GaussianProcesses/StateSpaceGP.cpp

Detailed Description

Public Member Functions

Public Attributes

Additional Inherited Members

Constructor & Destructor Documentation

◆ StateSpaceGP() [1/3]

◆ StateSpaceGP() [2/3]

◆ ~StateSpaceGP()

◆ StateSpaceGP() [3/3]

Member Function Documentation

◆ ComputeAQ()

◆ GetCov()

◆ GetObs()

◆ GetSDE()

◆ LogLikelihood()

◆ MarginalLogLikelihood()

◆ Predict()

◆ PredictMean()

◆ Sample()

◆ SetObs()

◆ SortObservations()

Member Data Documentation

◆ covKernel

◆ dtAQ

◆ L

◆ mean

◆ obsOp

◆ sde

◆ sdeA

◆ sdeQ

◆ stateDim