a PCE object providing different methods to calculate the PCE coefficients and evaluating the expansion More...

#include <PolynomialChaosExpansion.hpp>

Public Member Functions
double	adaptiveQuadratureWeighted (const std::function< double(const base::DataVector &)> &funct, int dim, size_t n, size_t quadOrder)

base::DataVector	calculateCoefficients (int n, bool use_adaptive)

void	clearCoefficients ()

double	evalExpansion (const base::DataVector &xi, int n, bool use_adaptive)

base::DataVector	getCoefficients ()

double	getL2Error (int n, bool use_adaptive)

double	getMean (int n, bool use_adaptive)

double	getVariance (int n, bool use_adaptive)

	PolynomialChaosExpansion (std::function< double(const base::DataVector &)> func, int order, sgpp::base::DistributionsVector distributions)

double	sparseGridQuadrature (const std::function< double(const base::DataVector &)> &funct, int dim, int n, size_t quadOrder)

	~PolynomialChaosExpansion ()
	Destructor.

Detailed Description

a PCE object providing different methods to calculate the PCE coefficients and evaluating the expansion

Constructor & Destructor Documentation

◆ PolynomialChaosExpansion()

sgpp::datadriven::PolynomialChaosExpansion::PolynomialChaosExpansion	(	std::function< double(const base::DataVector &)>	func,
		int	order,
		sgpp::base::DistributionsVector	distributions
	)

References sgpp::base::Beta, sgpp::datadriven::Beta, sgpp::datadriven::Exponential, f, sgpp::datadriven::Gamma, sgpp::base::DistributionsVector::get(), sgpp::base::DistributionsVector::getSize(), sgpp::base::Lognormal, sgpp::base::Normal, sgpp::datadriven::Normal, sgpp::base::DistributionsVector::push_back(), sgpp::base::TruncExponential, sgpp::base::TruncGamma, sgpp::base::TruncNormal, sgpp::base::Uniform, and sgpp::datadriven::Uniform.

◆ ~PolynomialChaosExpansion()

sgpp::datadriven::PolynomialChaosExpansion::~PolynomialChaosExpansion ( )

Destructor.

Member Function Documentation

◆ adaptiveQuadratureWeighted()

double sgpp::datadriven::PolynomialChaosExpansion::adaptiveQuadratureWeighted	(	const std::function< double(const base::DataVector &)> &	funct,
		int	dim,
		size_t	n,
		size_t	quadOrder
	)

Refine adaptively until number of points is reached.

References sgpp::base::DataVector::copyFrom(), sgpp::base::Grid::createNakBsplineExtendedGrid(), sgpp::op_factory::createOperationHierarchisation(), sgpp::op_factory::createOperationWeightedQuadrature(), sgpp::base::HashGridPoint::getStandardCoordinate(), grid(), and sgpp::base::sle_solver::Eigen::solve().

Referenced by calculateCoefficients().

◆ calculateCoefficients()

base::DataVector sgpp::datadriven::PolynomialChaosExpansion::calculateCoefficients	(	int	n,
		bool	use_adaptive
	)

References adaptiveQuadratureWeighted(), and sparseGridQuadrature().

Referenced by evalExpansion(), getMean(), and getVariance().

◆ clearCoefficients()

void sgpp::datadriven::PolynomialChaosExpansion::clearCoefficients ( )

◆ evalExpansion()

double sgpp::datadriven::PolynomialChaosExpansion::evalExpansion	(	const base::DataVector &	xi,
		int	n,
		bool	use_adaptive
	)

References sgpp::base::Beta, calculateCoefficients(), sgpp::base::DistributionsVector::get(), sgpp::base::Lognormal, sgpp::base::Normal, sgpp::base::TruncExponential, sgpp::base::TruncGamma, sgpp::base::TruncNormal, and sgpp::base::Uniform.

Referenced by getL2Error().

◆ getCoefficients()

base::DataVector sgpp::datadriven::PolynomialChaosExpansion::getCoefficients ( )

◆ getL2Error()

double sgpp::datadriven::PolynomialChaosExpansion::getL2Error	(	int	n,
		bool	use_adaptive
	)

References sgpp::base::Beta, evalExpansion(), sgpp::base::DistributionsVector::get(), sgpp::base::DataVector::getSize(), sgpp::base::Lognormal, sgpp::base::Normal, sgpp::base::DistributionsVector::sample(), sgpp::base::DataVector::sum(), sgpp::base::TruncExponential, sgpp::base::TruncGamma, sgpp::base::TruncNormal, and sgpp::base::Uniform.

◆ getMean()

double sgpp::datadriven::PolynomialChaosExpansion::getMean	(	int	n,
		bool	use_adaptive
	)

References calculateCoefficients().

◆ getVariance()

double sgpp::datadriven::PolynomialChaosExpansion::getVariance	(	int	n,
		bool	use_adaptive
	)

References calculateCoefficients(), sgpp::base::DataVector::copyFrom(), sgpp::base::DataVector::getSize(), sgpp::base::DataVector::set(), sgpp::base::DataVector::sqr(), and sgpp::base::DataVector::sum().

◆ sparseGridQuadrature()

double sgpp::datadriven::PolynomialChaosExpansion::sparseGridQuadrature	(	const std::function< double(const base::DataVector &)> &	funct,
		int	dim,
		int	n,
		size_t	quadOrder
	)

References sgpp::base::Grid::createNakBsplineExtendedGrid(), sgpp::op_factory::createOperationHierarchisation(), sgpp::op_factory::createOperationWeightedQuadrature(), sgpp::base::DataVector::getSize(), sgpp::base::HashGridPoint::getStandardCoordinate(), grid(), and sgpp::base::sle_solver::Eigen::solve().