sgpp::datadriven::KernelDensityEstimator Class Reference

#include <KernelDensityEstimator.hpp>

Inheritance diagram for sgpp::datadriven::KernelDensityEstimator:

Public Member Functions
void	cov (base::DataMatrix &cov, base::DataMatrix *bounds=nullptr) override
double	evalSubset (base::DataVector &x, std::vector< size_t > skipElements)
void	getBandwidths (base::DataVector &sigma)
void	getConditionalizationFactor (base::DataVector &pcond)
	getter and setter functions
size_t	getDim () override
Kernel &	getKernel ()
size_t	getNsamples () override
void	getSample (size_t isample, base::DataVector &sample)
std::shared_ptr< base::DataMatrix >	getSamples () override
std::shared_ptr< base::DataVector >	getSamples (size_t dim) override
void	initialize (base::DataMatrix &samples) override
void	initialize (std::vector< std::shared_ptr< base::DataVector > > &samplesVec)
void	initializeKernel (KernelType kernelType)
	KernelDensityEstimator (base::DataMatrix &samples, KernelType kernelType=KernelType::GAUSSIAN, BandwidthOptimizationType bandwidthOptimizationType=BandwidthOptimizationType::SILVERMANSRULE)
	KernelDensityEstimator (const KernelDensityEstimator &kde)
	KernelDensityEstimator (KernelType kernelType=KernelType::GAUSSIAN, BandwidthOptimizationType bandwidthOptimizationType=BandwidthOptimizationType::SILVERMANSRULE)
	KernelDensityEstimator (std::vector< std::shared_ptr< base::DataVector > > &samplesVec, KernelType kernelType=KernelType::GAUSSIAN, BandwidthOptimizationType bandwidthOptimizationType=BandwidthOptimizationType::SILVERMANSRULE)
KernelDensityEstimator *	marginalize (size_t idim)
KernelDensityEstimator *	margToDimX (size_t idim)
double	mean () override
void	pdf (base::DataMatrix &points, base::DataVector &res) override
double	pdf (base::DataVector &x) override
void	setBandwidths (const base::DataVector &sigma)
void	setConditionalizationFactor (base::DataVector &pcond)
void	updateConditionalizationFactors (base::DataVector &x, std::vector< size_t > &dims, base::DataVector &pcond)
double	variance () override
	~KernelDensityEstimator () override
Public Member Functions inherited from sgpp::datadriven::DensityEstimator
virtual void	corrcoef (base::DataMatrix &corr, base::DataMatrix *bounds=nullptr)
double	crossEntropy (sgpp::base::DataMatrix &samples)
	DensityEstimator ()
virtual double	std_deviation ()
virtual	~DensityEstimator ()

Constructor & Destructor Documentation

KernelDensityEstimator() [1/4]

sgpp::datadriven::KernelDensityEstimator::KernelDensityEstimator ( KernelType  kernelType = KernelType::GAUSSIAN, BandwidthOptimizationType  bandwidthOptimizationType = BandwidthOptimizationType::SILVERMANSRULE  )

explicit

References initializeKernel().

KernelDensityEstimator() [2/4]

sgpp::datadriven::KernelDensityEstimator::KernelDensityEstimator ( std::vector< std::shared_ptr< base::DataVector > > &  samplesVec, KernelType  kernelType = KernelType::GAUSSIAN, BandwidthOptimizationType  bandwidthOptimizationType = BandwidthOptimizationType::SILVERMANSRULE  )

explicit

References initialize(), and initializeKernel().

KernelDensityEstimator() [3/4]

sgpp::datadriven::KernelDensityEstimator::KernelDensityEstimator ( base::DataMatrix &  samples, KernelType  kernelType = KernelType::GAUSSIAN, BandwidthOptimizationType  bandwidthOptimizationType = BandwidthOptimizationType::SILVERMANSRULE  )

explicit

References initialize(), and initializeKernel().

KernelDensityEstimator() [4/4]

sgpp::datadriven::KernelDensityEstimator::KernelDensityEstimator

(

const KernelDensityEstimator &

kde

)

References initializeKernel().

~KernelDensityEstimator()

sgpp::datadriven::KernelDensityEstimator::~KernelDensityEstimator ( )

override

Member Function Documentation

cov()

void sgpp::datadriven::KernelDensityEstimator::cov ( base::DataMatrix &  cov, base::DataMatrix *  bounds = nullptr  )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

References cov(), sgpp::op_factory::createOperationDensityMarginalizeKDE(), mean(), sgpp::base::DataVector::setAll(), and variance().

Referenced by python.uq.dists.Dist.Dist::corrcoeff(), and cov().

evalSubset()

double sgpp::datadriven::KernelDensityEstimator::evalSubset	(	base::DataVector &	x,
		std::vector< size_t >	skipElements
	)

getBandwidths()

void sgpp::datadriven::KernelDensityEstimator::getBandwidths

(

base::DataVector &

sigma

)

References sgpp::base::DataVector::getSize().

Referenced by sgpp::datadriven::OperationInverseRosenblattTransformationKDE::OperationInverseRosenblattTransformationKDE(), sgpp::datadriven::OperationRosenblattTransformationKDE::OperationRosenblattTransformationKDE(), and python.uq.dists.KDEDist.KDEDist::toJson().

getConditionalizationFactor()

void sgpp::datadriven::KernelDensityEstimator::getConditionalizationFactor

(

base::DataVector &

pcond

)

getter and setter functions

Referenced by sgpp::datadriven::OperationDensityConditionalKDE::condToDimX(), and sgpp::datadriven::OperationDensityConditionalKDE::doConditional().

getDim()

size_t sgpp::datadriven::KernelDensityEstimator::getDim ( )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

Referenced by python.uq.dists.SGDEdist.SGDEdist::__str__(), sgpp::datadriven::OperationDensityConditionalKDE::condToDimX(), python.uq.dists.Dist.Dist::cov(), sgpp::datadriven::OperationDensityConditionalKDE::doConditional(), sgpp::datadriven::OperationRosenblattTransformationKDE::doShuffledTransformation(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::doShuffledTransformation(), python.uq.parameters.ParameterSet.ParameterSet::extractActiveSubset(), python.uq.dists.KDEDist.KDEDist::getBandwidths(), python.uq.dists.EstimatedDist.EstimatedDist::getBounds(), python.uq.uq_setting.UQSetting.UQSetting::getDim(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::OperationInverseRosenblattTransformationKDE(), sgpp::datadriven::SilvermansRule::optimizeBandwidths(), and sgpp::datadriven::ScottsRule::optimizeBandwidths().

getKernel()

Kernel & sgpp::datadriven::KernelDensityEstimator::getKernel

(

)

Referenced by sgpp::datadriven::OperationRosenblattTransformationKDE::doShuffledTransformation(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::doShuffledTransformation(), sgpp::datadriven::OperationRosenblattTransformationKDE::doTransformation(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::doTransformation(), sgpp::datadriven::OperationRosenblattTransformationKDE::doTransformation1D(), and sgpp::datadriven::KDEMaximumLikelihoodCrossValidation::eval().

getNsamples()

size_t sgpp::datadriven::KernelDensityEstimator::getNsamples ( )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

Referenced by sgpp::datadriven::OperationDensityConditionalKDE::condToDimX(), sgpp::datadriven::OperationDensityConditionalKDE::doConditional(), and sgpp::datadriven::OperationInverseRosenblattTransformationKDE::OperationInverseRosenblattTransformationKDE().

getSample()

void sgpp::datadriven::KernelDensityEstimator::getSample	(	size_t	isample,
		base::DataVector &	sample
	)

getSamples() [1/2]

std::shared_ptr< base::DataMatrix > sgpp::datadriven::KernelDensityEstimator::getSamples ( )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

Referenced by sgpp::datadriven::OperationRosenblattTransformationKDE::doShuffledTransformation(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::doShuffledTransformation(), sgpp::datadriven::OperationRosenblattTransformationKDE::doTransformation(), sgpp::datadriven::OperationInverseRosenblattTransformationKDE::doTransformation(), sgpp::datadriven::KDEMaximumLikelihoodCrossValidation::KDEMaximumLikelihoodCrossValidation(), sgpp::datadriven::SilvermansRule::optimizeBandwidths(), and sgpp::datadriven::ScottsRule::optimizeBandwidths().

getSamples() [2/2]

std::shared_ptr< base::DataVector > sgpp::datadriven::KernelDensityEstimator::getSamples ( size_t  dim )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

initialize() [1/2]

void sgpp::datadriven::KernelDensityEstimator::initialize ( base::DataMatrix &  samples )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

References sgpp::base::DataVector::setAll().

Referenced by sgpp::datadriven::OperationDensityMarginalizeKDE::doMarginalize(), sgpp::datadriven::OperationDensityMarginalizeKDE::doMarginalize(), KernelDensityEstimator(), KernelDensityEstimator(), sgpp::datadriven::OperationDensityMarginalizeKDE::margToDimX(), and sgpp::datadriven::OperationDensityMarginalizeKDE::margToDimXs().

initialize() [2/2]

void sgpp::datadriven::KernelDensityEstimator::initialize

(

std::vector< std::shared_ptr< base::DataVector > > &

samplesVec

)

References sgpp::base::DataVector::setAll().

initializeKernel()

void sgpp::datadriven::KernelDensityEstimator::initializeKernel

(

KernelType

kernelType

)

References sgpp::datadriven::EPANECHNIKOV, and sgpp::datadriven::GAUSSIAN.

Referenced by KernelDensityEstimator(), KernelDensityEstimator(), KernelDensityEstimator(), and KernelDensityEstimator().

marginalize()

KernelDensityEstimator * sgpp::datadriven::KernelDensityEstimator::marginalize

(

size_t

idim

)

References sgpp::op_factory::createOperationDensityMarginalizeKDE().

margToDimX()

KernelDensityEstimator * sgpp::datadriven::KernelDensityEstimator::margToDimX

(

size_t

idim

)

References sgpp::op_factory::createOperationDensityMarginalizeKDE().

mean()

double sgpp::datadriven::KernelDensityEstimator::mean ( )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

Referenced by python.uq.analysis.asgc.ASGCAnalysis.ASGCAnalysis::computeMoments(), python.uq.analysis.mc.MCAnalysis.MCAnalysis::computeMoments(), cov(), python.uq.dists.LibAGFDist.LibAGFDist::var(), python.uq.dists.SGDEdist.SGDEdist::var(), and variance().

pdf() [1/2]

void sgpp::datadriven::KernelDensityEstimator::pdf ( base::DataMatrix &  points, base::DataVector &  res  )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

References pdf(), and sgpp::base::DataVector::setAll().

Referenced by python.uq.dists.Dist.Dist::crossEntropy(), python.uq.dists.J.J::discretize(), python.uq.dists.Dist.Dist::klDivergence(), and python.uq.dists.Dist.Dist::l2error().

pdf() [2/2]

double sgpp::datadriven::KernelDensityEstimator::pdf ( base::DataVector &  x )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

Referenced by python.uq.dists.Dist.Dist::crossEntropy(), python.uq.dists.J.J::discretize(), python.uq.dists.Dist.Dist::klDivergence(), python.uq.dists.Dist.Dist::l2error(), and pdf().

setBandwidths()

void sgpp::datadriven::KernelDensityEstimator::setBandwidths

(

const base::DataVector &

sigma

)

References sgpp::base::DataVector::getSize().

Referenced by sgpp::datadriven::KDEMaximumLikelihoodCrossValidation::eval().

setConditionalizationFactor()

void sgpp::datadriven::KernelDensityEstimator::setConditionalizationFactor

(

base::DataVector &

pcond

)

Referenced by sgpp::datadriven::OperationDensityConditionalKDE::condToDimX(), and sgpp::datadriven::OperationDensityConditionalKDE::doConditional().

updateConditionalizationFactors()

void sgpp::datadriven::KernelDensityEstimator::updateConditionalizationFactors	(	base::DataVector &	x,
		std::vector< size_t > &	dims,
		base::DataVector &	pcond
	)

Referenced by sgpp::datadriven::OperationDensityConditionalKDE::condToDimX(), and sgpp::datadriven::OperationDensityConditionalKDE::doConditional().

variance()

double sgpp::datadriven::KernelDensityEstimator::variance ( )

overridevirtual

Implements sgpp::datadriven::DensityEstimator.

References mean(), and mu.

Referenced by cov().

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

• datadriven/src/sgpp/datadriven/application/KernelDensityEstimator.hpp
• datadriven/src/sgpp/datadriven/application/KernelDensityEstimator.cpp