1 // -*- C++ -*- 2 /** 3 * @brief A class which implements the Gaussian process 4 * 5 * Copyright 2005-2021 Airbus-EDF-IMACS-ONERA-Phimeca 6 * 7 * This library is free software: you can redistribute it and/or modify 8 * it under the terms of the GNU Lesser General Public License as published by 9 * the Free Software Foundation, either version 3 of the License, or 10 * (at your option) any later version. 11 * 12 * This library is distributed in the hope that it will be useful, 13 * but WITHOUT ANY WARRANTY; without even the implied warranty of 14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 15 * GNU Lesser General Public License for more details. 16 * 17 * You should have received a copy of the GNU Lesser General Public License 18 * along with this library. If not, see <http://www.gnu.org/licenses/>. 19 * 20 */ 21 #ifndef OPENTURNS_GAUSSIANPROCESS_HXX 22 #define OPENTURNS_GAUSSIANPROCESS_HXX 23 24 #include "openturns/ProcessImplementation.hxx" 25 #include "openturns/SquareMatrix.hxx" 26 #include "openturns/CovarianceModel.hxx" 27 #include "openturns/TrendTransform.hxx" 28 #include "openturns/HMatrix.hxx" 29 #include "openturns/Process.hxx" 30 31 BEGIN_NAMESPACE_OPENTURNS 32 33 /** 34 * @class GaussianProcess 35 * 36 * The implementation of the Gaussian process class 37 */ 38 class OT_API GaussianProcess 39 : public ProcessImplementation 40 { 41 CLASSNAME 42 43 public: 44 45 /** Default constructor */ 46 GaussianProcess(); 47 48 /** Standard constructor */ 49 GaussianProcess(const TrendTransform & trend, 50 const CovarianceModel & covarianceModel, 51 const Mesh & mesh); 52 53 /** Standard constructor */ 54 GaussianProcess(const CovarianceModel & covarianceModel, 55 const Mesh & mesh); 56 57 /** Virtual constructor */ 58 GaussianProcess * clone() const override; 59 60 /** String converter */ 61 String __repr__() const override; 62 63 /** String converter - pretty print */ 64 String __str__(const String & offset = "") const override; 65 66 /** Mesh accessor */ 67 void setMesh(const Mesh & mesh) override; 68 void setTimeGrid(const RegularGrid & timeGrid) override; 69 70 /** Set sampling method accessor */ 71 enum SamplingMethod { CHOLESKY, HMAT, GIBBS }; 72 void setSamplingMethod(const SamplingMethod samplingMethod); 73 74 /** Realization accessor */ 75 Field getRealization() const override; 76 private: 77 Sample getRealizationCholesky() const; 78 Sample getRealizationGibbs() const; 79 Sample getRealizationHMatrix() const; 80 public: 81 82 /** Covariance model accessor */ 83 CovarianceModel getCovarianceModel() const override; 84 85 /** Trend accessor */ 86 TrendTransform getTrend() const override; 87 88 /** Check if the process is stationary */ 89 Bool isStationary() const override; 90 91 /** Check if the process trend is stationary */ 92 Bool isTrendStationary() const; 93 94 /** Check if the process is Normal */ 95 Bool isNormal() const override; 96 97 /** Get the process corresponding to indices components */ 98 Process getMarginal(const Indices & indices) const override; 99 100 /** Method save() stores the object through the StorageManager */ 101 void save(Advocate & adv) const override; 102 103 /** Method load() reloads the object from the StorageManager */ 104 void load(Advocate & adv) override; 105 106 protected: 107 108 /** Initialization of the process */ 109 void initialize() const; 110 111 /** Check if the trend function is stationary */ 112 void checkStationaryTrend() const; 113 114 115 /** Covariance model */ 116 CovarianceModel covarianceModel_; 117 118 /** Cholesky factor */ 119 mutable TriangularMatrix covarianceCholeskyFactor_; 120 121 /** Cholesky factor */ 122 mutable HMatrix covarianceHMatrix_; 123 124 /** Flag to manage process initialization */ 125 mutable Bool isInitialized_ = false; 126 127 /** Flag to tell if the process has a stationary trend */ 128 mutable Bool hasStationaryTrend_; 129 mutable Bool checkedStationaryTrend_; 130 131 /** Trend function */ 132 TrendTransform trend_; 133 134 mutable Point stationaryTrendValue_; 135 136 /** Sampling method */ 137 UnsignedInteger samplingMethod_ = SamplingMethod::CHOLESKY; 138 139 }; /* class GaussianProcess */ 140 141 END_NAMESPACE_OPENTURNS 142 143 #endif /* OPENTURNS_NORMALPROCESS_HXX */ 144