sgpp::base::OperationQuadratureMC Class Reference

Quadrature on any sparse grid (that has OperationMultipleEval implemented) using Monte Carlo. More...

#include <OperationQuadratureMC.hpp>

Inheritance diagram for sgpp::base::OperationQuadratureMC:

Public Member Functions
double	doQuadrature (sgpp::base::DataVector &alpha) override
	Quadrature using simple MC in \(\Omega=[0,1]^d\). More...
double	doQuadratureFunc (FUNC func, void *clientdata)
	Quadrature of an arbitrary function using simple MC in \(\Omega=[0,1]^d\). More...
double	doQuadratureL2Error (FUNC func, void *clientdata, sgpp::base::DataVector &alpha)
	Quadrature of the \(L^2\)-norm of the error, \( ||f(x)-u(x)||_{L^2} \), between a given function and the current sparse grid function using simple MC in \(\Omega=[0,1]^d\). More...
	OperationQuadratureMC (sgpp::base::Grid &grid, int mcPaths)
	Constructor of OperationQuadratureMC, specifying a grid object and the number of samples to use. More...
	~OperationQuadratureMC () override
Public Member Functions inherited from sgpp::base::OperationQuadrature
	OperationQuadrature ()
	Constructor. More...
virtual	~OperationQuadrature ()
	Destructor. More...

Protected Attributes
sgpp::base::Grid *	grid
size_t	mcPaths
std::minstd_rand	simple_rand

Detailed Description

Quadrature on any sparse grid (that has OperationMultipleEval implemented) using Monte Carlo.

Constructor & Destructor Documentation

OperationQuadratureMC()

sgpp::base::OperationQuadratureMC::OperationQuadratureMC	(	sgpp::base::Grid &	grid,
		int	mcPaths
	)

Constructor of OperationQuadratureMC, specifying a grid object and the number of samples to use.

Parameters

grid	Reference to the grid object
mcPaths	Number of Monte Carlo samples

~OperationQuadratureMC()

sgpp::base::OperationQuadratureMC::~OperationQuadratureMC ( )

inlineoverride

References alpha, doQuadrature(), doQuadratureFunc(), and doQuadratureL2Error().

Member Function Documentation

doQuadrature()

double sgpp::base::OperationQuadratureMC::doQuadrature ( sgpp::base::DataVector &  alpha )

overridevirtual

Quadrature using simple MC in \(\Omega=[0,1]^d\).

Parameters

alpha

Coefficient vector for current grid

Implements sgpp::base::OperationQuadrature.

References sgpp::op_factory::createOperationMultipleEval(), chess::dim, sgpp::base::Grid::getBoundingBox(), sgpp::base::Grid::getDimension(), sgpp::base::BoundingBox::getIntervalWidth(), grid, python.statsfileInfo::i, mcPaths, sgpp::base::DataMatrix::set(), sgpp::base::DataVector::sum(), and sgpp::base::BoundingBox::transformPointToBoundingBox().

Referenced by ~OperationQuadratureMC().

doQuadratureFunc()

double sgpp::base::OperationQuadratureMC::doQuadratureFunc	(	FUNC	func,
		void *	clientdata
	)

Quadrature of an arbitrary function using simple MC in \(\Omega=[0,1]^d\).

Parameters

func	The function to integrate
clientdata	Optional data to pass to FUNC

References chess::dim, sgpp::base::Grid::getBoundingBox(), sgpp::base::Grid::getDimension(), sgpp::base::BoundingBox::getIntervalWidth(), grid, python.statsfileInfo::i, mcPaths, friedman::p, simple_rand, and sgpp::base::BoundingBox::transformPointToBoundingBox().

Referenced by ~OperationQuadratureMC().

doQuadratureL2Error()

double sgpp::base::OperationQuadratureMC::doQuadratureL2Error	(	FUNC	func,
		void *	clientdata,
		sgpp::base::DataVector &	alpha
	)

Quadrature of the \(L^2\)-norm of the error, \( ||f(x)-u(x)||_{L^2} \), between a given function and the current sparse grid function using simple MC in \(\Omega=[0,1]^d\).

Parameters

func	The function \(f(x)\)
clientdata	Optional data to pass to FUNC
alpha	Coefficient vector for current grid

References sgpp::op_factory::createOperationEval(), chess::dim, sgpp::base::Grid::getBoundingBox(), sgpp::base::Grid::getDimension(), sgpp::base::BoundingBox::getIntervalWidth(), grid, python.statsfileInfo::i, mcPaths, friedman::p, chess::point, sgpp::combigrid::pow(), simple_rand, and sgpp::base::BoundingBox::transformPointToBoundingBox().

Referenced by ~OperationQuadratureMC().

Member Data Documentation

grid

sgpp::base::Grid* sgpp::base::OperationQuadratureMC::grid

protected

Referenced by python.uq.dists.SGDEdist.SGDEdist::__str__(), python.learner.Learner.Learner::applyData(), python.tools.Matrix::ApplyMatrix(), python.uq.dists.SGDEdist.SGDEdist::cdf(), python.uq.learner.Interpolant.Interpolant::doLearningIteration(), python.learner.Learner.Learner::doLearningIteration(), doQuadrature(), doQuadratureFunc(), doQuadratureL2Error(), python.learner.Classifier.Classifier::evalError(), python.uq.learner.Interpolant.Interpolant::evalError(), python.tools.Matrix::generateb(), python.controller.CheckpointController.CheckpointController::generateFoldValidationJob(), python.uq.learner.SimulationLearner.SimulationLearner::getCollocationNodes(), python.uq.learner.SimulationLearner.SimulationLearner::getGrid(), python.uq.learner.SimulationLearner.SimulationLearner::getLearner(), python.uq.learner.Regressor.Regressor::learnData(), python.learner.Learner.Learner::learnData(), python.uq.learner.Regressor.Regressor::learnDataWithFolding(), python.learner.Learner.Learner::learnDataWithFolding(), python.uq.learner.Regressor.Regressor::learnDataWithTest(), python.learner.Learner.Learner::learnDataWithTest(), python.controller.CheckpointController.CheckpointController::loadAll(), python.uq.operations.forcePositivity.operationMakePositive.OperationMakePositive::makePositive(), python.uq.operations.forcePositivity.operationMakePositiveFast.OperationMakePositiveFast::makePositive(), python.uq.dists.SGDEdist.SGDEdist::mean(), python.uq.dists.SGDEdist.SGDEdist::pdf(), python.uq.dists.SGDEdist.SGDEdist::ppf(), python.learner.Classifier.Classifier::refineGrid(), python.learner.Regressor.Regressor::refineGrid(), python.uq.learner.Regressor.Regressor::refineGrid(), python.uq.learner.SimulationLearner.SimulationLearner::refineGrid(), python.controller.CheckpointController.CheckpointController::saveGrid(), python.controller.CheckpointController.CheckpointController::setGrid(), python.uq.learner.Learner.Learner::setGrid(), python.learner.Learner.Learner::setGrid(), python.uq.operations.forcePositivity.localFullGridSearch.LocalFullGrid::split(), python.uq.dists.SGDEdist.SGDEdist::toJson(), python.learner.Classifier.Classifier::updateResults(), python.learner.Regressor.Regressor::updateResults(), python.uq.learner.Regressor.Regressor::updateResults(), and python.uq.dists.SGDEdist.SGDEdist::var().

mcPaths

size_t sgpp::base::OperationQuadratureMC::mcPaths

protected

Referenced by doQuadrature(), doQuadratureFunc(), and doQuadratureL2Error().

simple_rand

std::minstd_rand sgpp::base::OperationQuadratureMC::simple_rand

protected

Referenced by doQuadratureFunc(), and doQuadratureL2Error().

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

• base/src/sgpp/base/tools/OperationQuadratureMC.hpp
• base/src/sgpp/base/tools/OperationQuadratureMC.cpp