muq2ithaca.H File Reference

Header file of the muq2ithaca namespace. More...

#include <iostream>
#include <Eigen/Eigen>
#include "ITHACAassert.H"
#include "Foam2Eigen.H"
#include "MUQ/Modeling/Distributions/Gaussian.h"
#include "MUQ/Modeling/Distributions/Density.h"
#include "MUQ/SamplingAlgorithms/SamplingProblem.h"
#include "MUQ/SamplingAlgorithms/SingleChainMCMC.h"
#include "MUQ/SamplingAlgorithms/MCMCFactory.h"
#include <boost/property_tree/ptree.hpp>

Go to the source code of this file.

Functions
Eigen::MatrixXd	ITHACAmuq::muq2ithaca::EnsembleKalmanFilter (Eigen::MatrixXd prior, Eigen::VectorXd measurements, Eigen::MatrixXd measurementsCov, Eigen::MatrixXd observedState)
	Ensemble Kalman Filter.
Eigen::MatrixXd	ITHACAmuq::muq2ithaca::EnsembleKalmanFilter (PtrList< volScalarField > &prior, Eigen::VectorXd measurements, Eigen::MatrixXd measurementsCov, Eigen::MatrixXd observedState)
	Ensemble Kalman Filter.
double	ITHACAmuq::muq2ithaca::quantile (Eigen::VectorXd samps, double p, int method=1)
	Returns quantile for a vector of samples.
Eigen::VectorXd	ITHACAmuq::muq2ithaca::quantile (Eigen::MatrixXd samps, double p, int method=1)
	Returns quantile for a matrix of samples.

Detailed Description

Header file of the muq2ithaca namespace.

It contains functions to

Definition in file muq2ithaca.H.

Function Documentation

EnsembleKalmanFilter() [1/2]

Eigen::MatrixXd ITHACAmuq::muq2ithaca::EnsembleKalmanFilter	(	Eigen::MatrixXd	prior,
		Eigen::VectorXd	measurements,
		Eigen::MatrixXd	measurementsCov,
		Eigen::MatrixXd	observedState )

Ensemble Kalman Filter.

Parameters

[in]	prior	Samples of the prior
[in]	measurements	Measured data
[in]	measurementsCov	Covariance matrix for the measurements, gaussian noise with zero mean is assumed
[in]	observedState	Ensemble of the observed state

Returns

Ensamble of the posterior

Definition at line 7 of file muq2ithaca.C.

EnsembleKalmanFilter() [2/2]

Eigen::MatrixXd ITHACAmuq::muq2ithaca::EnsembleKalmanFilter	(	PtrList< volScalarField > &	prior,
		Eigen::VectorXd	measurements,
		Eigen::MatrixXd	measurementsCov,
		Eigen::MatrixXd	observedState )

Ensemble Kalman Filter.

Parameters

[in]	prior	Samples of the prior
[in]	measurements	Measured data
[in]	measurementsCov	Covariance matrix for the measurements, gaussian noise with zero mean is assumed
[in]	observedState	Ensemble of the observed state

Returns

Ensamble of the posterior

Definition at line 70 of file muq2ithaca.C.

quantile() [1/2]

Eigen::VectorXd ITHACAmuq::muq2ithaca::quantile	(	Eigen::MatrixXd	samps,
		double	p,
		int	method = 1 )

Returns quantile for a matrix of samples.

Parameters

[in]	samps	Samples, each variable on a row
[in]	p	Quantile parameter
[in]	method	Method used to compute quantile according to Hyndman and Fan (1986)

Returns

Quantile

Definition at line 191 of file muq2ithaca.C.

quantile() [2/2]

double ITHACAmuq::muq2ithaca::quantile	(	Eigen::VectorXd	samps,
		double	p,
		int	method = 1 )

Returns quantile for a vector of samples.

Parameters

[in]	samps	Samples
[in]	p	Quantile parameter
[in]	method	Method used to compute quantile according to Hyndman and Fan (1986)

Returns

Quantile

Definition at line 134 of file muq2ithaca.C.